IYE Options History — May 2012

In May 2012, IYE traded between $36.65 and $41.58. ATM implied volatility averaged 23.5%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.8% (HV 20d: 17.6%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.02.

Notable Days

  • 2012-05-15: Highest Volume — 11 contracts
  • 2012-05-02: Largest IV spike — 17.5% change
  • 2012-05-31: Highest IV Rank — 19.5%
  • 2012-05-31: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.38$36.65$41.58$41.58$36.65
Max Pain$41.00$38.00$42.00$40.00$38.00
ATM IV23.5%15.9%27.3%15.9%27.3%
Expected Move6.7%4.6%7.8%4.6%7.8%
HV 20d17.6%15.8%20.0%17.7%18.9%
HV 60d16.7%15.6%18.2%15.6%18.0%
IV Rank14.0%3.2%19.5%3.2%19.5%
IV Percentile46.0%3.6%61.9%3.6%61.9%
Term Structure0.8%-0.4%5.0%0.9%-0.4%
VWIV25.7%24.1%27.4%24.1%27.4%
Skew 25d4.9%-3.6%11.8%6.0%5.3%
Skew 10d6.0%1.9%11.9%4.5%3.7%
Call IV 25d20.0%12.9%25.2%12.9%23.8%
Put IV 25d24.9%13.4%29.7%18.9%29.1%
Bid-Ask Spread %101.8483.47140.27132.7596.31
Gamma HHI0.270.240.320.320.25
Net GEX34.7K13.9K76.6K76.6K13.9K
Net DEX-130.6K-636.6K38.6K-636.6K38.6K
Net VEX-1.8K-3.5K-780-3.5K-780
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.020.000.130.000.00
Total Volume1.90901182
Total OI513.227481537529487

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$41.58$40.0015.9%4.6%17.7%3.2%0.0%6.0%0.9%76.6K-636.6K-3.5K0.00132.75N/AN/A8048148
2012-05-02$40.92$40.0018.7%5.4%18.3%7.2%0.0%0.2%0.9%70.6K-499.4K-3.2K0.00101.64N/AN/A6048948
2012-05-03$40.28$40.0019.4%5.6%18.5%8.2%0.0%-3.6%0.6%63.6K-368.1K-2.8K0.00102.55N/AN/A0048548
2012-05-04$39.37$42.0022.7%6.3%20.0%13.0%0.0%3.9%1.0%49.1K-233.5K-2.4K0.00114.22N/AN/A0048548
2012-05-07$39.26$42.0022.7%6.4%19.6%12.9%0.0%5.7%0.4%48.6K-211.9K-2.3K0.0092.29N/AN/A0048548
2012-05-08$39.10$42.0021.9%6.5%18.3%11.8%0.0%11.8%0.7%44.1K-163.9K-2.1K0.00120.61N/AN/A0048548
2012-05-09$38.81$42.0024.6%6.7%18.5%15.7%0.0%5.3%-0.2%40.9K-155.6K-2.1K0.0086.32N/AN/A0048548
2012-05-10$39.00$42.0022.2%6.4%16.7%12.2%0.0%5.0%0.4%44.0K-168.3K-2.1K0.0083.47N/AN/A0048548
2012-05-11$38.77$42.0023.0%6.6%16.0%13.4%0.0%3.0%-0.0%39.3K-133.8K-1.9K0.0087.99N/AN/A0048548
2012-05-14$38.13$42.0024.8%7.1%16.9%16.0%0.0%5.3%0.3%28.1K-76.3K-1.7K0.0092.09N/AN/A0048548
2012-05-15$37.55$42.0025.2%7.2%15.8%16.5%0.0%3.1%0.3%21.3K-29.4K-1.5K0.0087.95N/AN/A11048548
2012-05-16$37.41$42.0026.9%7.7%15.8%19.0%0.0%5.0%0.5%19.2K-15.5K-1.4K0.0090.36N/AN/A0047448
2012-05-17$37.17$42.0027.1%7.8%15.8%19.3%0.0%7.8%0.5%17.0K8.6K-1.3K0.1389.38N/AN/A8147446
2012-05-18$36.90$42.0026.4%7.6%15.9%18.3%0.0%3.3%0.9%20.1K11.3K-1.2K0.0088.74N/AN/A0047446
2012-05-21$37.75$42.0024.4%7.0%18.5%15.4%0.0%7.5%0.7%24.4K-33.6K-1.3K0.0090.81N/AN/A0044635
2012-05-22$37.63$42.0024.3%7.0%18.1%15.3%0.0%5.2%-0.4%25.2K-55.2K-1.4K0.00132.59N/AN/A0044635
2012-05-23$37.77$42.0023.9%6.8%17.6%14.6%0.0%7.7%1.5%24.0K-28.7K-1.2K0.0093.91N/AN/A0144635
2012-05-24$37.69$42.0023.9%6.8%17.0%14.6%24.1%8.3%1.4%25.0K-44.1K-1.3K0.00120.92N/AN/A0244636
2012-05-25$37.58$38.0020.6%5.9%17.0%9.9%0.0%-0.8%5.0%25.7K-74.6K-1.5K0.00140.27N/AN/A0044638
2012-05-29$38.12$38.0023.6%6.8%18.0%14.3%0.0%6.3%1.5%25.2K-24.2K-1.2K0.0097.43N/AN/A2044638
2012-05-30$36.98$38.0026.3%7.5%19.2%18.0%0.0%7.0%1.3%16.7K21.7K-8670.0097.86N/AN/A1044838
2012-05-31$36.65$38.0027.3%7.8%18.9%19.5%27.4%5.3%-0.4%13.9K38.6K-7800.0096.31N/AN/A0244938