IYE Options History — December 2011

In December 2011, IYE traded between $37.56 and $40.77. ATM implied volatility averaged 28.8%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 4.5% (HV 20d: 33.3%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2011-12-07: Highest Volume — 208 contracts
  • 2011-12-09: Largest IV drop — 18.8% change
  • 2011-12-08: Highest IV Rank — 34.5%
  • 2011-12-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.51$37.56$40.77$40.23$39.83
Max Pain$38.00$38.00$38.00$38.00$38.00
ATM IV28.8%20.4%36.7%33.0%22.9%
Expected Move8.0%5.9%9.5%9.5%6.6%
HV 20d33.3%27.1%36.2%35.7%27.1%
HV 60d37.4%33.9%39.4%39.0%33.9%
IV Rank22.9%10.4%34.5%29.3%13.9%
IV Percentile62.1%27.0%86.1%75.4%43.7%
Term Structure2.8%-1.6%17.9%-1.6%3.1%
VWIV26.7%19.2%31.7%28.0%21.3%
Skew 25d6.7%0.4%14.0%6.2%1.0%
Skew 10d9.9%1.1%24.0%4.8%3.6%
Call IV 25d23.6%13.7%28.9%24.8%18.6%
Put IV 25d30.3%19.6%36.0%31.0%19.6%
Bid-Ask Spread %92.8780.14132.8995.51103.73
Gamma HHI0.170.140.220.160.21
Net GEX101.9K53.1K129.7K87.0K117.3K
Net DEX-1.1M-1.5M-411.8K-1.2M-1.1M
Net VEX-5.4K-6.2K-4.2K-5.9K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.600.250.00
Total Volume29.571020851
Total OI1,268.0951,1311,3791,1361,317

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$40.23$38.0033.0%9.5%35.7%29.3%0.0%6.2%-1.6%87.0K-1.2M-5.9K0.2595.51N/AN/A41891245
2011-12-02$40.20$38.0030.6%8.8%34.7%25.9%28.0%0.4%-0.4%88.7K-1.3M-5.8K2.6098.87N/AN/A1026888246
2011-12-05$40.73$38.0031.2%8.5%35.0%26.7%0.0%5.6%2.0%96.1K-1.4M-5.7K0.0080.14N/AN/A30898233
2011-12-06$40.77$38.0029.8%8.4%35.0%24.8%29.2%6.3%1.4%99.1K-1.5M-5.7K0.0080.74N/AN/A40901233
2011-12-07$40.43$38.0032.5%8.9%34.6%28.6%29.0%10.7%1.5%99.4K-1.3M-5.6K0.0086.69N/AN/A2080903233
2011-12-08$39.39$38.0036.7%9.1%32.2%34.5%0.0%12.6%1.2%107.7K-1.2M-6.2K0.00100.99N/AN/A001,078233
2011-12-09$40.29$38.0029.8%8.3%32.6%24.8%27.5%8.3%3.0%129.7K-1.4M-6.1K0.0081.48N/AN/A5501,078233
2011-12-12$39.34$38.0035.2%8.9%32.8%32.4%30.6%6.9%2.6%117.6K-1.1M-5.9K0.0084.62N/AN/A2201,131233
2011-12-13$39.01$38.0031.7%8.9%32.7%27.4%28.4%5.6%1.1%118.4K-1.0M-5.7K0.5385.21N/AN/A19101,139233
2011-12-14$37.92$38.0035.1%9.2%34.0%32.3%28.1%6.8%1.5%83.1K-565.6K-5.0K0.0080.16N/AN/A3501,128243
2011-12-15$37.80$38.0031.1%8.9%33.9%26.6%31.2%6.4%2.0%77.4K-510.5K-4.8K0.0087.46N/AN/A801,128243
2011-12-16$38.20$38.0029.6%8.5%33.3%24.5%31.7%5.2%3.3%87.5K-570.3K-4.9K0.0090.03N/AN/A1601,136243
2011-12-19$37.56$38.0029.2%8.4%33.7%23.9%25.6%4.9%1.7%53.1K-411.8K-4.2K0.0089.10N/AN/A4101,000188
2011-12-20$39.05$38.0025.4%7.3%36.2%18.7%25.2%6.2%4.1%88.0K-814.0K-4.8K0.4591.29N/AN/A55251,032188
2011-12-21$39.48$38.0024.5%7.0%36.1%16.2%22.5%5.9%3.2%104.4K-935.9K-5.2K0.0094.39N/AN/A101,058213
2011-12-22$39.82$38.0023.3%6.7%34.0%14.5%24.5%7.5%3.1%113.3K-1.1M-5.4K0.0096.31N/AN/A1201,059213
2011-12-23$40.12$38.0020.4%5.9%33.8%10.4%29.6%14.0%17.9%127.7K-1.4M-5.6K1.00132.89N/AN/A10101,071213
2011-12-27$40.19$38.0022.9%6.6%31.9%13.9%19.2%9.8%3.3%126.2K-1.3M-5.2K0.0086.25N/AN/A1801,081223
2011-12-28$39.43$38.0025.7%7.4%32.5%17.8%0.0%4.6%2.6%106.1K-1.0M-5.0K0.00100.99N/AN/A001,089223
2011-12-29$39.85$38.0023.2%6.6%27.1%14.3%21.8%5.7%2.0%111.1K-1.1M-4.8K0.04103.40N/AN/A2611,089223
2011-12-30$39.83$38.0022.9%6.6%27.1%13.9%21.3%1.0%3.1%117.3K-1.1M-4.9K0.00103.73N/AN/A101,094223