IYE Options History — November 2011

In November 2011, IYE traded between $36.55 and $41.41. ATM implied volatility averaged 33.3%, placing in the 29.7% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 4.2% (HV 20d: 37.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2011-11-17: Highest Volume — 85 contracts
  • 2011-11-09: Largest IV spike — 25.4% change
  • 2011-11-01: Highest IV Rank — 34.9%
  • 2011-11-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.44$36.55$41.41$38.51$40.41
Max Pain$39.24$37.00$40.00$37.00$38.00
ATM IV33.3%28.5%37.0%37.0%29.9%
Expected Move9.5%8.2%10.6%10.6%8.6%
HV 20d37.5%34.0%40.1%39.1%36.9%
HV 60d39.5%37.5%42.9%42.9%39.7%
IV Rank29.7%23.0%34.9%34.9%24.9%
IV Percentile78.9%69.0%86.1%86.1%69.0%
Term Structure0.3%-14.9%9.9%0.1%7.9%
VWIV32.4%19.7%41.5%36.6%19.7%
Skew 25d9.3%0.9%18.5%8.7%11.9%
Skew 10d17.1%8.8%28.1%24.3%18.2%
Call IV 25d29.9%23.5%36.0%35.0%29.1%
Put IV 25d39.2%34.2%43.6%43.6%41.0%
Bid-Ask Spread %92.5764.80144.1284.49144.12
Gamma HHI0.160.140.180.160.16
Net GEX67.7K33.1K94.6K48.7K86.9K
Net DEX-930.6K-1.5M-237.9K-725.5K-1.3M
Net VEX-5.8K-6.5K-4.6K-5.9K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.001.830.930.00
Total Volume27.0481852731
Total OI1,065.2869911,1429911,121

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$38.51$37.0037.0%10.6%39.1%34.9%36.6%8.7%0.1%48.7K-725.5K-5.9K0.9384.49N/AN/A1413777214
2011-11-02$39.61$37.0033.2%9.5%38.7%29.5%31.2%8.5%2.2%59.5K-948.8K-6.2K0.00120.12N/AN/A220791227
2011-11-03$40.54$37.0030.7%8.8%38.9%26.1%30.3%11.6%1.1%69.5K-1.2M-6.5K1.6792.66N/AN/A610803227
2011-11-04$40.56$40.0030.6%9.1%38.3%25.9%0.0%11.0%-0.3%71.6K-1.2M-6.4K0.0064.80N/AN/A10809231
2011-11-07$40.81$40.0035.4%9.4%35.6%32.6%31.5%18.5%-0.4%76.9K-1.3M-6.2K0.00123.48N/AN/A490810231
2011-11-08$41.41$40.0029.2%8.7%35.7%24.0%0.0%10.2%1.1%89.9K-1.5M-6.4K0.0072.04N/AN/A40829231
2011-11-09$39.62$40.0036.7%10.3%39.9%34.4%33.0%11.5%-1.5%71.2K-1.0M-6.2K0.0074.05N/AN/A60833231
2011-11-10$40.33$40.0035.1%10.1%40.1%32.3%0.0%10.7%-1.5%80.2K-1.2M-6.2K1.6272.50N/AN/A1321837231
2011-11-11$41.09$40.0032.0%9.2%38.6%27.9%0.0%9.2%0.2%88.9K-1.4M-6.5K0.0065.55N/AN/A010836252
2011-11-14$40.60$40.0030.8%8.8%38.3%26.2%0.0%12.7%1.3%92.0K-1.3M-6.3K1.83110.13N/AN/A611836262
2011-11-15$40.60$40.0032.4%9.3%37.1%28.4%0.0%12.7%-0.4%93.8K-1.3M-6.3K0.0079.18N/AN/A10837273
2011-11-16$40.12$40.0035.2%10.1%37.1%32.4%0.0%8.3%-1.8%94.6K-1.1M-6.1K0.0081.49N/AN/A120837273
2011-11-17$39.19$40.0036.3%10.4%38.2%33.9%34.0%8.3%-0.6%74.6K-777.6K-5.7K0.0179.96N/AN/A841832273
2011-11-18$39.01$40.0034.0%9.8%37.6%30.7%32.6%8.2%0.7%69.5K-790.7K-5.7K0.3182.48N/AN/A165868274
2011-11-21$38.36$40.0028.5%8.2%37.7%23.0%37.6%0.9%9.9%45.0K-448.6K-5.0K0.71114.56N/AN/A2417787215
2011-11-22$37.96$39.0033.9%9.7%37.2%30.5%41.5%6.6%1.3%44.7K-446.6K-5.0K1.30101.89N/AN/A1013799232
2011-11-23$36.82$39.0035.7%10.2%37.5%33.1%25.8%9.0%0.3%33.7K-237.9K-4.6K0.0085.04N/AN/A660809245
2011-11-25$36.55$39.0033.8%9.7%34.0%30.5%0.0%6.2%-14.9%33.1K-271.7K-4.8K0.00113.46N/AN/A200806245
2011-11-28$37.82$39.0035.6%10.2%36.7%32.9%33.3%4.7%-0.5%44.0K-428.8K-4.9K0.0092.28N/AN/A70826245
2011-11-29$38.42$39.0033.7%9.7%34.1%30.3%34.0%5.0%2.5%53.2K-608.9K-5.2K0.0089.60N/AN/A750831245
2011-11-30$40.41$38.0029.9%8.6%36.9%24.9%19.7%11.9%7.9%86.9K-1.3M-6.2K0.00144.12N/AN/A310876245