IYE Options History — July 2012

In July 2012, IYE traded between $37.55 and $40.51. ATM implied volatility averaged 20.7%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 4.8% (HV 20d: 25.5%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.93.

Notable Days

  • 2012-07-26: Highest Volume — 255 contracts
  • 2012-07-26: Largest IV drop — 23.8% change
  • 2012-07-18: Highest IV Rank — 14.6%
  • 2012-07-18: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.99$37.55$40.51$38.35$40.00
Max Pain$33.71$32.00$34.00$32.00$34.00
ATM IV20.7%17.0%23.9%21.6%21.1%
Expected Move6.0%4.9%6.8%6.2%6.1%
HV 20d25.5%20.1%29.0%28.1%20.9%
HV 60d23.2%22.7%23.8%22.9%23.2%
IV Rank10.1%4.8%14.6%11.4%10.7%
IV Percentile28.1%7.9%48.0%32.9%31.7%
Term Structure1.5%-3.1%5.2%-0.3%0.9%
VWIV21.3%17.1%23.9%23.1%19.8%
Skew 25d5.5%2.9%8.9%7.0%4.9%
Skew 10d6.0%3.0%16.8%3.0%7.5%
Call IV 25d17.3%13.9%20.7%15.9%18.0%
Put IV 25d22.8%18.9%26.5%22.9%22.9%
Bid-Ask Spread %101.5983.72130.6794.27101.06
Gamma HHI0.200.140.300.150.29
Net GEX15.8K-3.7K43.3K14.2K41.5K
Net DEX-55.5K-464.6K136.2K39.1K-409.5K
Net VEX-1.5K-4.2K-731-731-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.930.0018.330.005.00
Total Volume21.81025556
Total OI536.19279637569571

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$38.35$32.0021.6%6.2%28.1%11.4%0.0%7.0%-0.3%14.2K39.1K-7310.0094.27N/AN/A5047396
2012-07-03$39.28$32.0019.2%5.5%29.0%7.9%0.0%4.4%1.0%24.4K-28.0K-8180.00102.17N/AN/A3047896
2012-07-05$38.73$32.0019.7%5.7%27.8%8.7%0.0%4.8%0.4%19.3K-9.2K-8170.0098.25N/AN/A0048196
2012-07-06$38.27$34.0021.2%6.3%28.3%10.7%23.1%5.1%0.7%12.9K33.8K-7420.0083.72N/AN/A16048196
2012-07-09$38.13$34.0022.6%6.3%28.3%12.8%23.9%4.2%1.7%12.0K4.0K-8270.0088.25N/AN/A10049796
2012-07-10$37.55$34.0022.3%6.5%28.4%12.4%0.0%3.6%0.8%10.3K8.9K-8950.00119.53N/AN/A10050696
2012-07-11$38.06$34.0021.8%6.7%28.3%11.7%0.0%6.4%0.9%12.7K-13.7K-8430.0091.27N/AN/A0050696
2012-07-12$37.91$34.0022.3%6.4%27.9%12.3%23.2%6.5%1.3%11.7K-6.9K-8410.0089.87N/AN/A10050696
2012-07-13$38.58$34.0018.7%5.4%28.1%7.2%0.0%3.0%5.2%12.4K-33.8K-7420.0098.18N/AN/A6050196
2012-07-16$38.69$34.0020.7%5.9%27.3%10.1%20.6%6.9%2.1%14.1K-53.6K-8123.0093.37N/AN/A103050796
2012-07-17$39.18$34.0020.2%5.8%27.4%9.4%0.0%7.2%2.4%16.1K-43.5K-1.1K0.0098.56N/AN/A00511126
2012-07-18$39.52$34.0023.9%6.8%27.4%14.6%0.0%3.1%-3.1%20.3K-79.2K-1.2K0.00128.67N/AN/A00511126
2012-07-19$39.66$34.0019.2%5.5%27.3%7.9%0.0%4.2%1.9%22.3K-86.0K-1.1K0.0099.13N/AN/A10511126
2012-07-20$39.69$34.0018.1%5.2%21.6%6.3%0.0%2.9%4.2%21.4K-87.1K-1.1K18.33128.56N/AN/A355511126
2012-07-23$39.24$34.0021.5%6.2%22.3%11.2%0.0%8.9%0.7%-2.6K109.1K-1.6K0.0095.45N/AN/A00108171
2012-07-24$38.68$34.0022.4%6.4%21.3%12.5%0.0%6.4%1.4%-3.7K136.2K-1.6K0.0093.75N/AN/A00108171
2012-07-25$38.71$34.0022.3%6.4%21.1%12.4%0.0%6.7%0.9%-3.2K134.5K-1.6K0.6397.77N/AN/A85108171
2012-07-26$39.68$34.0017.0%4.9%21.8%4.8%17.1%3.8%4.9%-1.7K84.4K-1.6K0.00130.67N/AN/A2550115176
2012-07-27$40.41$34.0019.9%5.7%22.4%8.9%19.8%8.4%1.6%34.2K-401.2K-4.1K0.0098.03N/AN/A250370176
2012-07-30$40.51$34.0019.2%5.5%20.1%7.9%0.0%6.8%1.2%43.3K-464.6K-4.2K0.00102.84N/AN/A00395176
2012-07-31$40.00$34.0021.1%6.1%20.9%10.7%0.0%4.9%0.9%41.5K-409.5K-4.1K5.00101.06N/AN/A15395176