IYE Options History — August 2012

In August 2012, IYE traded between $39.54 and $41.71. ATM implied volatility averaged 17.4%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.1% (HV 20d: 17.2%). Max pain ranged from $34.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-08-16: Highest Volume — 40 contracts
  • 2012-08-13: Largest IV spike — 62.8% change
  • 2012-08-13: Highest IV Rank — 13.5%
  • 2012-08-01: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.12$39.54$41.71$40.22$41.01
Max Pain$40.35$34.00$41.00$34.00$41.00
ATM IV17.4%11.7%20.8%20.8%18.7%
Expected Move5.2%4.5%6.0%6.0%5.4%
HV 20d17.2%10.3%20.6%19.3%10.3%
HV 60d22.8%20.7%24.0%23.2%20.7%
IV Rank8.8%0.0%13.5%10.3%12.9%
IV Percentile13.1%0.0%29.0%29.0%21.8%
Term Structure1.8%0.2%4.3%1.0%2.2%
VWIV17.6%15.7%21.0%21.0%16.4%
Skew 25d4.6%0.2%8.8%6.0%5.8%
Skew 10d5.5%1.0%15.3%7.2%5.3%
Call IV 25d15.6%11.4%18.3%17.7%15.4%
Put IV 25d20.2%16.2%23.7%23.7%21.3%
Bid-Ask Spread %99.3178.83128.01104.3698.80
Gamma HHI0.380.270.510.300.47
Net GEX37.2K24.1K51.8K43.9K27.6K
Net DEX-512.5K-764.2K-282.5K-415.1K-337.8K
Net VEX-4.1K-4.3K-4.0K-4.2K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.004.171.000.00
Total Volume8.609040107
Total OI582.957529624577577

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$40.22$34.0020.8%6.0%19.3%10.3%21.0%6.0%1.0%43.9K-415.1K-4.2K1.00104.36N/AN/A55396181
2012-08-02$39.54$37.0019.1%5.5%19.6%7.8%0.0%6.5%1.5%43.0K-288.4K-4.0K0.00127.04N/AN/A10401186
2012-08-03$40.50$37.0018.5%5.3%20.6%7.0%0.0%5.5%1.9%48.7K-473.4K-4.1K0.0096.87N/AN/A20400186
2012-08-06$40.57$41.0017.2%5.6%20.4%5.1%0.0%4.3%0.8%51.8K-513.0K-4.0K0.0079.07N/AN/A300402186
2012-08-07$41.15$41.0017.4%5.3%19.6%5.4%0.0%4.8%1.4%50.6K-634.0K-4.0K0.0078.83N/AN/A140411186
2012-08-08$41.24$41.0018.1%5.4%19.3%6.3%0.0%3.9%1.3%51.4K-667.3K-4.1K0.0086.77N/AN/A00419186
2012-08-09$41.45$41.0016.6%5.6%19.1%4.2%0.0%6.0%0.7%45.4K-721.1K-4.0K0.0092.69N/AN/A00419186
2012-08-10$41.58$41.0011.7%5.0%18.4%0.0%0.0%5.1%1.8%43.0K-728.7K-4.0K0.0096.99N/AN/A60419186
2012-08-13$41.37$41.0019.0%5.5%18.7%13.5%0.0%3.4%0.6%48.2K-721.6K-4.0K0.50106.18N/AN/A21425186
2012-08-14$41.35$41.0015.1%5.4%18.4%6.3%0.0%3.1%0.2%43.4K-749.3K-4.0K0.0098.28N/AN/A010427187
2012-08-15$41.28$41.0015.5%5.2%18.3%7.0%0.0%1.8%1.3%44.8K-725.2K-4.0K0.00115.61N/AN/A70427197
2012-08-16$41.71$41.0015.9%4.6%18.6%7.8%18.0%3.4%4.3%37.5K-764.2K-4.0K0.14101.77N/AN/A355426197
2012-08-17$41.66$41.0015.7%4.5%18.6%7.4%15.7%0.7%2.4%32.7K-646.4K-4.0K0.00128.01N/AN/A150401202
2012-08-20$41.51$41.0016.7%4.8%18.0%9.2%0.0%3.2%1.6%28.9K-434.3K-4.0K0.0096.98N/AN/A00362167
2012-08-21$41.37$41.0017.5%5.0%17.0%10.6%0.0%0.2%2.1%29.6K-425.0K-4.0K0.0095.13N/AN/A00362167
2012-08-22$41.47$41.0017.1%4.9%17.0%10.0%0.0%8.0%1.9%29.2K-410.4K-4.0K4.1794.78N/AN/A625362167
2012-08-23$41.04$41.0018.4%5.3%15.7%12.3%0.0%2.0%1.8%24.1K-350.6K-4.2K0.0097.39N/AN/A00368192
2012-08-24$41.31$41.0017.4%5.0%14.6%10.5%16.8%7.3%2.1%24.3K-354.4K-4.3K0.0095.80N/AN/A130368192
2012-08-27$41.27$41.0017.3%5.0%14.6%10.4%16.4%6.3%2.1%25.8K-389.1K-4.2K0.00100.78N/AN/A90376192
2012-08-28$41.34$41.0018.9%5.4%13.7%13.3%0.0%8.8%2.1%28.7K-401.3K-4.3K0.0098.59N/AN/A00385192
2012-08-29$41.07$41.0018.7%5.4%13.9%12.9%0.0%6.1%2.8%27.5K-354.7K-4.2K0.00101.22N/AN/A00385192
2012-08-30$40.64$41.0018.6%5.3%12.9%12.7%0.0%3.9%2.3%25.5K-282.5K-4.1K0.0092.30N/AN/A00385192
2012-08-31$41.01$41.0018.7%5.4%10.3%12.9%0.0%5.8%2.2%27.6K-337.8K-4.1K0.0098.80N/AN/A70385192