IYE Options History — March 2012

In March 2012, IYE traded between $41.21 and $43.56. ATM implied volatility averaged 16.8%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.6% (HV 20d: 14.2%). Max pain ranged from $37.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2012-03-21: Highest Volume — 37 contracts
  • 2012-03-30: Largest IV drop — 23.6% change
  • 2012-03-29: Highest IV Rank — 8.4%
  • 2012-03-06: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.49$41.21$43.56$43.56$41.52
Max Pain$38.55$37.00$42.00$42.00$41.00
ATM IV16.8%13.7%20.8%16.3%14.9%
Expected Move5.1%3.9%6.2%4.7%4.3%
HV 20d14.2%11.4%17.2%11.8%16.9%
HV 60d16.6%14.4%19.6%19.3%14.6%
IV Rank3.5%0.0%8.4%1.8%1.8%
IV Percentile6.9%0.0%26.2%1.2%0.8%
Term Structure2.8%0.2%5.0%2.4%4.5%
VWIV17.9%15.1%27.2%18.8%16.0%
Skew 25d4.6%1.1%7.6%5.5%5.7%
Skew 10d4.8%-1.0%9.4%4.9%3.1%
Call IV 25d15.1%11.2%18.7%13.9%13.2%
Put IV 25d19.8%15.9%24.6%19.4%19.0%
Bid-Ask Spread %96.0875.13133.92102.08105.15
Gamma HHI0.210.200.250.200.25
Net GEX97.9K85.3K122.4K94.1K95.0K
Net DEX-1.1M-1.5M-568.9K-1.4M-645.2K
Net VEX-5.0K-5.8K-4.0K-5.8K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.001.000.001.00
Total Volume10.682037820
Total OI775.591752801769755

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$43.56$42.0016.3%4.7%11.8%1.8%0.0%5.5%2.4%94.1K-1.4M-5.8K0.00102.08N/AN/A80667102
2012-03-02$43.15$42.0017.8%5.1%12.6%4.0%0.0%2.2%2.0%91.0K-1.4M-5.7K0.00101.11N/AN/A20661102
2012-03-05$42.94$37.0018.2%5.7%11.4%4.5%0.0%5.0%2.9%92.5K-1.3M-5.5K0.0081.56N/AN/A100663102
2012-03-06$42.21$37.0020.8%6.2%12.6%8.3%18.8%5.8%2.0%85.3K-1.1M-5.4K0.8075.13N/AN/A54668102
2012-03-07$42.54$37.0016.5%5.8%12.7%2.0%20.2%5.7%2.7%88.0K-1.2M-5.5K0.0078.03N/AN/A100673106
2012-03-08$42.79$37.0016.0%5.6%12.9%1.2%0.0%4.8%3.2%92.5K-1.3M-5.5K0.0081.71N/AN/A40678106
2012-03-09$42.75$37.0015.3%5.4%12.9%0.2%0.0%4.3%3.5%93.4K-1.2M-5.6K0.0084.29N/AN/A00682106
2012-03-12$42.55$37.0016.8%5.2%12.3%2.5%17.3%3.0%5.0%94.0K-1.1M-5.2K0.0080.90N/AN/A20682106
2012-03-13$43.13$37.0015.2%4.7%12.8%0.2%27.2%5.9%4.7%107.6K-1.3M-5.2K0.00114.45N/AN/A024680106
2012-03-14$42.68$37.0014.7%5.1%13.4%0.0%0.0%2.2%3.7%96.2K-1.2M-5.2K0.0090.92N/AN/A50680106
2012-03-15$42.77$37.0017.4%5.0%13.4%3.9%17.9%5.0%4.1%97.9K-1.2M-5.1K0.5091.07N/AN/A2010685106
2012-03-16$43.33$37.0016.1%4.6%13.2%2.0%18.1%5.9%5.0%105.9K-1.4M-5.3K0.0088.78N/AN/A220685116
2012-03-19$43.54$37.0013.7%3.9%13.2%0.0%16.4%4.7%2.9%122.4K-1.5M-5.2K0.4592.25N/AN/A115685102
2012-03-20$42.87$38.0015.1%4.3%14.3%2.1%15.1%3.7%3.3%110.5K-1.2M-5.1K0.0090.51N/AN/A90675105
2012-03-21$42.45$38.0017.4%5.0%14.6%5.4%15.4%7.6%1.8%107.4K-1.1M-4.9K0.0094.51N/AN/A370676105
2012-03-22$41.55$38.0016.9%4.9%16.0%4.7%0.0%4.2%2.6%91.5K-818.4K-4.4K0.0092.83N/AN/A60682105
2012-03-23$42.03$38.0016.6%4.8%16.6%4.3%0.0%5.5%2.3%104.3K-956.0K-4.6K0.0097.85N/AN/A00688105
2012-03-26$42.23$41.0016.9%4.8%16.8%4.6%16.6%4.4%1.7%110.2K-860.0K-4.7K0.00106.03N/AN/A10648105
2012-03-27$41.75$41.0017.9%5.1%17.1%6.0%0.0%1.1%0.6%100.7K-778.5K-4.5K0.00129.31N/AN/A00647105
2012-03-28$41.23$41.0019.5%5.6%17.2%8.3%15.5%5.3%0.9%86.8K-568.9K-4.0K0.13101.28N/AN/A162647105
2012-03-29$41.21$41.0019.6%5.6%16.7%8.4%0.0%4.5%0.2%87.6K-575.2K-4.0K1.00133.92N/AN/A11646107
2012-03-30$41.52$41.0014.9%4.3%16.9%1.8%16.0%5.7%4.5%95.0K-645.2K-4.2K0.00105.15N/AN/A020647108