IYE Options History — June 2011

In June 2011, IYE traded between $40.56 and $43.06. ATM implied volatility averaged 22.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.6% (HV 20d: 21.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.65.

Notable Days

  • 2011-06-16: Highest Volume — 41 contracts
  • 2011-06-23: Largest IV spike — 15.3% change
  • 2011-06-16: Highest IV Rank — 25.2%
  • 2011-06-16: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.90$40.56$43.06$42.98$43.06
Max Pain$41.18$41.00$43.00$43.00$41.00
ATM IV22.8%18.7%26.0%22.6%18.7%
Expected Move6.5%5.4%7.5%6.5%5.4%
HV 20d21.2%18.1%23.8%22.2%23.6%
HV 60d21.0%20.2%22.1%22.0%22.1%
IV Rank19.4%12.1%25.2%19.1%12.1%
IV Percentile55.6%19.0%76.6%54.0%19.0%
Term Structure1.6%0.1%8.7%0.3%1.9%
VWIV23.0%18.8%29.5%21.2%21.3%
Skew 25d4.6%-5.5%12.2%2.4%2.9%
Skew 10d13.3%2.9%19.2%9.7%3.9%
Call IV 25d20.2%12.5%24.1%21.6%15.9%
Put IV 25d24.8%16.0%28.6%24.1%18.8%
Bid-Ask Spread %84.2460.80132.8885.8398.73
Gamma HHI0.250.200.290.200.29
Net GEX82.3K34.9K130.2K89.5K130.2K
Net DEX-893.8K-1.4M-536.6K-1.3M-1.4M
Net VEX-8.2K-9.9K-7.0K-9.9K-8.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.650.0014.002.500.00
Total Volume14.77304105
Total OI1,305.4551,2671,3571,2781,338

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$42.98$43.0022.6%6.5%22.2%19.1%0.0%2.4%0.3%89.5K-1.3M-9.9K0.0085.83N/AN/A001,064214
2011-06-02$42.90$43.0021.5%6.2%21.4%17.1%21.2%7.1%0.1%91.1K-1.2M-9.5K2.5090.76N/AN/A251,064214
2011-06-03$42.92$41.0022.8%6.0%19.9%19.4%20.3%12.2%8.7%88.1K-1.3M-9.4K0.1299.48N/AN/A1721,064214
2011-06-06$42.00$41.0024.3%6.6%21.4%22.1%23.9%3.7%1.3%77.1K-944.5K-8.7K3.0061.25N/AN/A4121,075216
2011-06-07$41.96$41.0021.8%6.5%20.2%17.6%21.2%6.0%1.6%76.5K-917.6K-8.5K0.0060.89N/AN/A101,077222
2011-06-08$42.14$41.0023.7%6.6%20.2%21.1%22.4%5.5%1.1%79.5K-970.3K-8.5K0.2870.62N/AN/A1851,077222
2011-06-09$42.66$41.0021.6%6.2%18.1%17.2%0.0%4.2%2.1%92.3K-1.1M-9.0K0.0074.16N/AN/A071,090227
2011-06-10$41.88$41.0022.7%6.5%19.3%19.3%21.3%4.4%1.4%76.6K-779.2K-8.2K0.00100.38N/AN/A1301,090234
2011-06-13$41.25$41.0024.6%7.0%20.0%22.6%18.8%-5.5%0.5%64.3K-604.5K-7.8K0.43107.07N/AN/A731,097234
2011-06-14$42.07$41.0022.1%6.3%21.0%18.2%22.0%4.4%2.1%79.4K-886.0K-8.3K0.0074.48N/AN/A301,097234
2011-06-15$41.20$41.0025.1%7.2%22.3%23.6%28.4%5.2%0.2%59.2K-591.6K-7.5K8.0068.28N/AN/A2161,097234
2011-06-16$41.26$41.0026.0%7.5%21.0%25.2%27.8%4.6%1.3%57.1K-622.5K-7.7K1.0568.02N/AN/A20211,097240
2011-06-17$41.14$41.0025.4%7.3%20.9%24.2%25.7%3.6%0.6%34.9K-593.5K-7.9K14.0070.56N/AN/A2281,107250
2011-06-20$41.25$41.0024.5%7.0%21.0%22.6%21.8%4.4%0.8%77.0K-687.5K-7.5K0.0060.80N/AN/A2601,070197
2011-06-21$42.07$41.0021.6%6.2%21.7%17.2%21.5%6.8%2.2%94.1K-908.4K-7.9K0.0780.22N/AN/A1511,081197
2011-06-22$41.91$41.0020.3%5.8%21.2%14.9%19.1%7.1%3.6%95.4K-901.9K-7.9K0.0086.11N/AN/A601,096196
2011-06-23$41.47$41.0023.4%6.7%20.6%20.5%29.5%3.4%0.9%88.6K-764.7K-7.7K0.3380.47N/AN/A311,097196
2011-06-24$40.56$41.0023.7%6.8%21.6%21.0%23.7%1.7%0.9%72.0K-536.6K-7.0K0.3572.71N/AN/A2381,093196
2011-06-27$40.78$41.0024.1%6.9%21.8%21.7%26.6%5.5%0.4%77.5K-581.3K-7.1K2.00117.12N/AN/A121,096204
2011-06-28$41.89$41.0020.7%5.9%23.8%15.6%21.2%4.7%1.7%97.5K-917.9K-7.8K0.00132.88N/AN/A1601,097205
2011-06-29$42.46$41.0020.7%5.9%23.0%15.6%21.3%7.1%2.3%113.9K-1.1M-8.0K0.8892.41N/AN/A16141,105205
2011-06-30$43.06$41.0018.7%5.4%23.6%12.1%0.0%2.9%1.9%130.2K-1.4M-8.4K0.0098.73N/AN/A501,119219