IYE Options History — October 2011

In October 2011, IYE traded between $32.67 and $41.56. ATM implied volatility averaged 35.8%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 5.8% (HV 20d: 41.6%). Max pain ranged from $33.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2011-10-28: Highest Volume — 157 contracts
  • 2011-10-31: Largest IV spike — 34.3% change
  • 2011-10-03: Highest IV Rank — 55.2%
  • 2011-10-03: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.63$32.67$41.56$32.67$39.72
Max Pain$35.67$33.00$39.00$38.00$37.00
ATM IV35.8%24.8%51.5%51.5%33.2%
Expected Move10.4%7.1%14.8%14.8%9.5%
HV 20d41.6%35.6%47.4%40.3%37.3%
HV 60d45.7%43.5%47.5%43.5%46.1%
IV Rank33.2%17.7%55.2%55.2%29.6%
IV Percentile84.0%63.5%97.2%97.2%80.6%
Term Structure0.0%-2.7%3.1%-0.8%-0.9%
VWIV33.6%24.4%44.5%33.0%25.0%
Skew 25d9.4%4.9%14.8%9.3%5.4%
Skew 10d17.3%3.5%29.3%26.8%3.5%
Call IV 25d31.1%20.5%48.1%48.1%30.4%
Put IV 25d40.5%28.9%57.4%57.4%35.8%
Bid-Ask Spread %92.4572.33120.34109.43120.34
Gamma HHI0.120.100.200.100.16
Net GEX25.6K3.1K57.6K4.4K57.1K
Net DEX-328.4K-1.2M357.5K357.5K-956.0K
Net VEX-4.4K-6.0K-3.6K-3.6K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.0020.001.880.00
Total Volume30.28601572330
Total OI1,418.2866631,7701,642967

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$32.67$38.0051.5%14.8%40.3%55.2%33.0%9.3%-0.8%4.4K357.5K-3.6K1.88109.43N/AN/A8151,327315
2011-10-04$33.69$39.0047.3%13.5%42.5%49.2%0.0%4.9%1.9%3.1K315.4K-3.7K0.00105.50N/AN/A601,321310
2011-10-05$34.82$39.0042.7%12.2%42.0%42.8%0.0%9.3%-0.1%7.0K167.9K-4.1K0.0092.31N/AN/A001,327310
2011-10-06$35.44$39.0043.4%12.4%42.7%43.8%0.0%9.2%-2.7%8.3K103.2K-4.2K0.0089.74N/AN/A001,327310
2011-10-07$34.97$34.0041.0%11.9%41.4%40.4%43.9%9.8%-0.7%6.1K152.7K-4.0K20.0072.33N/AN/A1201,327310
2011-10-10$36.58$33.0035.5%11.0%44.7%32.8%44.5%10.0%-1.3%10.7K-7.9K-4.3K0.1073.24N/AN/A3131,327330
2011-10-11$36.55$33.0034.5%10.4%44.7%31.4%0.0%8.9%0.6%12.9K-59.4K-4.4K0.0079.40N/AN/A201,356330
2011-10-12$36.90$33.0031.5%10.1%44.5%27.2%29.8%7.4%-0.2%16.4K-122.2K-4.3K0.0082.42N/AN/A701,356330
2011-10-13$36.80$33.0034.0%9.8%43.9%30.7%0.0%7.9%0.9%14.8K-70.3K-4.2K0.0080.58N/AN/A601,363330
2011-10-14$38.20$33.0031.3%9.0%46.1%26.9%0.0%9.5%1.8%32.5K-383.0K-4.3K0.2085.81N/AN/A2041,369330
2011-10-17$37.55$33.0034.8%10.0%46.2%31.8%0.0%11.1%-0.1%25.3K-283.6K-4.3K0.00100.91N/AN/A001,379326
2011-10-18$38.68$33.0032.8%9.4%47.4%29.1%35.3%7.9%-0.1%39.1K-528.0K-4.4K0.5985.44N/AN/A46271,379326
2011-10-19$38.28$35.0036.2%10.4%44.9%33.8%33.3%9.3%-0.6%32.1K-404.9K-4.4K0.0084.10N/AN/A2201,371353
2011-10-20$38.56$35.0037.6%10.8%39.3%35.7%41.3%12.8%2.4%42.0K-483.9K-4.6K0.00115.34N/AN/A0291,390353
2011-10-21$39.29$37.0035.4%10.1%38.8%32.6%33.0%10.6%-1.2%48.6K-654.1K-4.6K0.0079.79N/AN/A2001,390380
2011-10-24$39.80$37.0029.8%8.5%37.5%24.7%30.3%14.8%3.1%25.9K-639.5K-4.5K0.00108.83N/AN/A50466197
2011-10-25$38.95$37.0034.4%9.9%38.6%31.2%31.6%12.7%-0.3%24.6K-526.6K-4.4K0.0083.83N/AN/A120471197
2011-10-26$39.80$37.0032.5%9.3%36.5%28.5%31.8%10.9%-1.2%29.3K-642.7K-4.5K0.0579.65N/AN/A372483197
2011-10-27$41.37$37.0027.7%7.9%38.2%21.8%24.4%8.0%-0.9%39.7K-1.0M-4.6K0.04113.95N/AN/A1215520199
2011-10-28$41.56$37.0024.8%7.1%35.6%17.7%25.0%6.6%0.7%57.6K-1.2M-5.4K0.0798.43N/AN/A14710631204
2011-10-31$39.72$37.0033.2%9.5%37.3%29.6%0.0%5.4%-0.9%57.1K-956.0K-6.0K0.00120.34N/AN/A300753214