IYE Options History — May 2011

In May 2011, IYE traded between $41.81 and $45.33. ATM implied volatility averaged 22.4%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 0.2% (HV 20d: 22.6%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2011-05-24: Highest Volume — 406 contracts
  • 2011-05-11: Largest IV spike — 25.8% change
  • 2011-05-11: Highest IV Rank — 25.7%
  • 2011-05-05: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.00$41.81$45.33$45.33$44.02
Max Pain$43.62$43.00$44.00$43.00$43.00
ATM IV22.4%19.1%26.3%19.8%19.5%
Expected Move6.4%5.5%7.3%5.7%5.6%
HV 20d22.6%20.0%24.3%20.0%22.3%
HV 60d21.5%20.2%22.1%20.2%21.5%
IV Rank18.8%12.6%25.7%14.1%13.4%
IV Percentile48.0%21.8%70.6%29.0%26.2%
Term Structure0.7%-0.9%3.1%1.5%-0.8%
VWIV21.3%12.8%28.1%20.0%19.8%
Skew 25d4.1%-4.0%8.4%2.9%6.2%
Skew 10d10.5%-1.1%16.6%5.8%13.2%
Call IV 25d20.6%16.3%24.7%18.3%17.1%
Put IV 25d24.7%14.1%29.3%21.1%23.3%
Bid-Ask Spread %85.3768.93138.3583.1088.22
Gamma HHI0.320.170.480.370.21
Net GEX125.5K37.3K235.3K200.2K108.9K
Net DEX-913.5K-2.4M-138.4K-2.4M-1.6M
Net VEX-6.9K-10.2K-4.6K-8.0K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.007.000.050.14
Total Volume40.8570406408
Total OI1,244.6198061,3441,2251,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$45.33$43.0019.8%5.7%20.0%14.1%20.0%2.9%1.5%200.2K-2.4M-8.0K0.0583.10N/AN/A3821,044181
2011-05-03$44.24$43.0021.0%6.0%21.7%16.1%20.6%3.6%0.6%202.4K-1.8M-8.1K0.3187.10N/AN/A35111,061181
2011-05-04$43.46$43.0022.0%6.3%22.3%18.0%20.8%4.5%2.0%190.4K-1.3M-7.4K0.3091.95N/AN/A2371,054187
2011-05-05$42.55$43.0025.6%7.3%23.2%24.5%28.1%5.5%1.7%146.3K-790.4K-6.6K0.2282.03N/AN/A45101,065186
2011-05-06$42.68$44.0023.5%7.0%23.2%20.7%23.8%6.4%-0.9%164.5K-784.7K-6.5K0.5468.93N/AN/A26141,067184
2011-05-09$43.44$44.0023.8%6.7%24.3%21.3%0.0%6.8%0.3%212.2K-1.2M-6.8K0.0077.43N/AN/A4601,068196
2011-05-10$43.64$44.0020.9%6.2%23.5%16.0%20.2%5.3%1.2%235.3K-1.4M-7.3K0.0074.31N/AN/A1001,111196
2011-05-11$42.41$44.0026.3%7.1%23.4%25.7%25.8%3.0%-0.7%146.1K-596.8K-6.1K0.0074.95N/AN/A031,113196
2011-05-12$42.38$44.0024.1%6.9%23.3%21.8%26.7%5.0%-0.2%145.3K-523.1K-5.8K1.4373.67N/AN/A14201,113195
2011-05-13$42.23$44.0025.3%7.2%23.1%23.9%24.0%3.9%-0.1%130.3K-456.3K-5.9K7.0077.15N/AN/A171,122215
2011-05-16$41.85$44.0024.3%7.0%23.0%22.1%0.0%2.2%0.4%80.7K-211.4K-5.1K0.0078.21N/AN/A001,122216
2011-05-17$41.81$44.0024.8%7.1%22.5%23.1%0.0%3.1%-0.4%64.5K-138.4K-4.9K0.0078.92N/AN/A021,122216
2011-05-18$42.66$44.0021.9%6.3%23.4%17.8%15.1%8.4%1.1%117.7K-369.2K-5.3K3.0087.02N/AN/A5151,122216
2011-05-19$42.76$44.0022.5%6.5%21.8%18.9%21.7%3.5%-0.6%75.9K-350.5K-5.5K0.88114.17N/AN/A871,125216
2011-05-20$42.71$44.0021.1%6.1%21.6%16.4%20.8%4.2%1.6%52.8K-300.5K-5.1K0.3083.53N/AN/A1031,129215
2011-05-23$42.06$44.0022.9%6.6%22.1%19.6%12.8%3.6%1.5%37.3K-313.6K-4.6K2.8676.28N/AN/A1440647159
2011-05-24$42.59$44.0020.9%6.0%22.2%16.0%20.8%4.1%2.1%39.3K-363.0K-5.5K0.0183.34N/AN/A4015654199
2011-05-25$43.22$43.0021.1%6.1%23.1%16.4%21.5%3.4%1.4%95.3K-1.3M-9.8K3.0086.07N/AN/A391,045204
2011-05-26$43.41$43.0020.9%6.0%23.2%16.1%20.9%5.1%0.2%94.7K-1.4M-10.2K1.0087.97N/AN/A551,048213
2011-05-27$43.54$43.0019.1%5.5%22.2%12.6%19.3%-4.0%3.1%96.3K-1.5M-10.1K0.00138.35N/AN/A601,051213
2011-05-31$44.02$43.0019.5%5.6%22.3%13.4%19.8%6.2%-0.8%108.9K-1.6M-9.9K0.1488.22N/AN/A711,057213