IYE Options History — September 2011

In September 2011, IYE traded between $33.83 and $38.86. ATM implied volatility averaged 40.7%, placing in the 40.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 0.3% (HV 20d: 40.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-09-30: Highest Volume — 164 contracts
  • 2011-09-26: Largest IV spike — 47.1% change
  • 2011-09-26: Highest IV Rank — 75.4%
  • 2011-09-26: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.77$33.83$38.86$38.86$33.88
Max Pain$38.81$38.00$40.00$40.00$38.00
ATM IV40.7%29.9%66.0%32.6%45.9%
Expected Move11.6%8.6%18.9%9.3%13.1%
HV 20d40.4%32.4%56.4%55.6%39.6%
HV 60d40.7%39.0%43.0%39.0%43.0%
IV Rank40.0%24.9%75.4%28.6%47.3%
IV Percentile92.0%84.9%99.2%87.3%95.2%
Term Structure-1.7%-34.7%22.0%1.3%5.1%
VWIV37.1%22.0%50.9%31.2%50.9%
Skew 25d6.6%-25.9%23.0%3.8%11.8%
Skew 10d14.7%-42.5%32.6%0.7%11.3%
Call IV 25d35.9%30.1%60.0%30.3%41.2%
Put IV 25d42.5%34.1%54.4%34.1%52.9%
Bid-Ask Spread %95.2466.83135.0495.89119.40
Gamma HHI0.150.110.190.190.11
Net GEX37.2K5.0K74.8K57.4K5.3K
Net DEX-38.6K-378.9K378.8K-378.9K305.8K
Net VEX-5.0K-6.4K-3.4K-6.4K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.006.670.000.01
Total Volume24.476016427164
Total OI1,5581,4961,6491,4961,592

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$38.86$40.0032.6%9.3%55.6%28.6%31.2%3.8%1.3%57.4K-378.9K-6.4K0.0095.89N/AN/A2701,212284
2011-09-02$37.82$40.0029.9%8.6%56.4%24.9%33.4%6.0%-1.2%51.7K-190.6K-5.8K0.00126.23N/AN/A1001,226284
2011-09-06$37.37$40.0040.9%11.2%46.8%40.3%38.0%13.1%-1.1%41.0K-39.6K-5.2K0.0073.25N/AN/A1101,236284
2011-09-07$38.77$39.0032.2%9.9%45.6%28.2%37.0%8.6%-1.3%63.5K-361.3K-6.0K1.6166.83N/AN/A18291,245284
2011-09-08$38.33$39.0036.5%10.6%43.5%34.2%0.0%8.6%-1.6%57.6K-274.6K-6.0K0.0071.25N/AN/A001,259312
2011-09-09$37.06$39.0042.2%12.0%41.5%42.2%0.0%12.6%-4.3%40.5K-40.0K-5.5K0.0073.87N/AN/A001,259312
2011-09-12$37.26$39.0045.6%11.9%41.5%46.9%47.4%13.3%-0.9%38.7K-11.7K-5.2K0.9175.20N/AN/A11101,259312
2011-09-13$37.39$39.0038.9%11.7%39.3%37.5%46.0%11.2%-2.9%44.6K-44.3K-5.2K6.6773.47N/AN/A6401,266322
2011-09-14$37.93$39.0039.5%10.8%39.3%38.4%34.9%7.9%-1.9%54.8K-176.0K-5.8K0.0097.26N/AN/A1601,269362
2011-09-15$38.63$39.0035.0%10.0%39.9%32.1%31.6%8.0%-1.3%73.0K-313.8K-5.7K0.0080.44N/AN/A201,285362
2011-09-16$38.63$39.0034.1%9.8%33.2%30.8%0.0%8.7%-0.4%74.8K-339.6K-5.7K0.0085.36N/AN/A001,287362
2011-09-19$38.05$39.0034.8%10.0%32.8%31.8%22.0%11.0%1.9%37.6K-158.0K-5.0K0.0080.41N/AN/A1901,207303
2011-09-20$37.82$39.0034.0%9.7%32.8%30.7%32.7%5.6%4.0%38.7K-176.2K-5.1K0.00106.02N/AN/A101,216303
2011-09-21$36.29$39.0039.7%11.4%32.4%38.7%36.6%8.2%0.2%21.7K85.2K-4.5K0.0076.00N/AN/A1201,217303
2011-09-22$34.34$38.0048.0%13.8%37.4%50.2%41.7%12.0%-1.3%7.2K345.4K-3.6K0.0075.71N/AN/A1101,217303
2011-09-23$33.83$38.0044.8%12.9%36.9%45.8%41.3%-3.5%0.4%5.0K378.8K-3.4K0.24106.60N/AN/A2561,217303
2011-09-26$35.05$38.0066.0%18.9%38.8%75.4%0.0%-25.9%-34.7%18.8K168.2K-4.3K0.00135.04N/AN/A501,242303
2011-09-27$35.56$38.0039.6%11.3%37.4%38.5%31.5%4.4%22.0%14.7K124.1K-4.1K0.00130.54N/AN/A8101,242303
2011-09-28$34.45$38.0050.6%14.5%38.4%53.9%0.0%-8.9%-31.9%17.4K162.8K-4.2K0.00126.69N/AN/A001,279303
2011-09-29$34.86$38.0043.8%12.5%38.7%44.3%0.0%23.0%14.0%16.7K123.0K-4.2K0.00124.59N/AN/A0101,279303
2011-09-30$33.88$38.0045.9%13.1%39.6%47.3%50.9%11.8%5.1%5.3K305.8K-3.7K0.01119.40N/AN/A16221,279313