IYE Options History — August 2011

In August 2011, IYE traded between $35.84 and $43.57. ATM implied volatility averaged 41.6%, placing in the 45.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 6.8% (HV 20d: 48.4%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 1.60.

Notable Days

  • 2011-08-25: Highest Volume — 510 contracts
  • 2011-08-04: Largest IV spike — 138.3% change
  • 2011-08-10: Highest IV Rank — 100.0%
  • 2011-08-30: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.52$35.84$43.57$43.57$39.12
Max Pain$43.52$40.00$44.00$44.00$40.00
ATM IV41.6%26.1%83.6%26.5%32.3%
Expected Move11.3%7.5%18.3%7.6%9.3%
HV 20d48.4%19.3%61.3%19.3%61.0%
HV 60d33.4%20.8%39.2%20.8%39.0%
IV Rank45.0%24.6%100.0%26.1%28.3%
IV Percentile93.5%85.3%100.0%87.3%86.9%
Term Structure-4.5%-29.8%5.2%-1.1%2.3%
VWIV34.2%0.8%48.0%26.2%31.3%
Skew 25d10.8%-5.0%22.8%4.2%3.5%
Skew 10d19.8%-24.7%47.8%14.5%7.8%
Call IV 25d34.1%20.2%89.5%25.1%31.3%
Put IV 25d44.9%27.9%84.5%29.3%34.8%
Bid-Ask Spread %103.5573.49156.8282.2792.08
Gamma HHI0.310.180.380.250.20
Net GEX47.5K19.7K115.6K115.6K60.3K
Net DEX-229.5K-1.4M171.4K-1.4M-433.4K
Net VEX-5.0K-8.3K-3.1K-8.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0022.000.000.00
Total Volume47.2610510510
Total OI1,262.6091,1721,4861,2311,486

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$43.57$44.0026.5%7.6%19.3%26.1%26.2%4.2%-1.1%115.6K-1.4M-8.3K0.0082.27N/AN/A501,058173
2011-08-02$42.43$44.0027.3%7.8%21.4%27.6%28.2%2.5%0.2%98.9K-1.0M-7.8K0.0081.81N/AN/A2901,060173
2011-08-03$42.17$43.0026.1%7.5%21.5%25.5%23.3%4.1%-0.0%93.6K-824.5K-7.3K0.0091.41N/AN/A501,070173
2011-08-04$39.28$43.0062.3%17.9%32.0%90.9%0.8%11.6%-18.0%47.1K-248.2K-5.7K0.55145.40N/AN/A1161,074173
2011-08-05$39.11$44.0040.1%11.3%32.0%50.8%38.0%22.8%-4.2%54.4K-245.5K-5.6K0.83120.23N/AN/A12101,074174
2011-08-08$35.84$44.0061.5%14.6%42.9%89.5%48.0%5.4%-10.5%28.4K35.0K-3.9K1.2597.85N/AN/A8101,068164
2011-08-09$37.56$44.0045.6%11.2%47.3%60.7%0.0%20.5%5.2%40.8K-184.8K-5.2K0.00110.00N/AN/A101,063174
2011-08-10$36.18$44.0083.6%14.4%48.2%100.0%0.0%12.9%-9.2%28.0K65.4K-3.9K0.00142.70N/AN/A001,062174
2011-08-11$38.06$44.0038.9%11.1%52.6%37.5%0.0%9.7%1.9%26.8K118.5K-3.5K0.00138.63N/AN/A601,062174
2011-08-12$38.32$44.0038.6%11.1%51.4%37.1%0.0%10.8%-2.1%40.0K-109.0K-4.7K0.0073.49N/AN/A501,068174
2011-08-15$39.68$44.0032.4%9.3%53.5%28.5%0.0%8.4%0.3%50.0K-160.1K-4.7K0.1777.46N/AN/A2951,063174
2011-08-16$38.99$44.0034.2%9.8%53.0%31.0%37.3%9.1%-1.1%44.5K-137.2K-4.5K0.0077.52N/AN/A301,068174
2011-08-17$39.20$44.0032.9%9.4%53.1%29.2%0.0%9.0%0.1%47.9K-206.6K-4.8K0.0081.10N/AN/A2001,071174
2011-08-18$36.92$44.0033.6%9.6%55.5%30.1%0.0%18.4%-5.2%41.0K-78.2K-4.1K0.00136.25N/AN/A201,084174
2011-08-19$36.18$44.0050.2%14.4%55.4%53.3%43.9%22.5%-20.3%27.8K126.1K-3.3K7.25122.83N/AN/A4291,083174
2011-08-22$35.96$44.0046.3%13.3%55.3%47.9%43.7%9.1%-3.4%19.7K171.4K-3.1K0.0077.26N/AN/A90984188
2011-08-23$37.60$44.0037.1%10.6%58.8%35.1%0.0%15.7%-1.8%28.8K105.1K-3.3K22.0078.86N/AN/A122986188
2011-08-24$37.79$44.0029.6%8.5%58.8%24.6%40.9%19.0%0.6%29.6K52.0K-3.8K0.00119.57N/AN/A50987208
2011-08-25$36.90$44.0043.9%12.6%59.1%44.5%43.3%10.5%-5.5%29.0K19.1K-4.0K0.0578.73N/AN/A48822992208
2011-08-26$37.57$44.0038.0%10.9%59.9%36.3%40.1%12.6%-0.9%35.8K-58.7K-4.7K1.4179.92N/AN/A59831,079227
2011-08-29$38.71$43.0032.8%9.4%61.3%29.0%31.3%10.2%-1.3%47.3K-238.9K-5.6K0.13119.36N/AN/A167211,134263
2011-08-30$38.92$40.0063.8%18.3%60.9%72.4%0.0%-5.0%-29.8%57.0K-668.9K-7.7K0.00156.82N/AN/A001,202284
2011-08-31$39.12$40.0032.3%9.3%61.0%28.3%0.0%3.5%2.3%60.3K-433.4K-6.6K0.0092.08N/AN/A1001,202284