IYE Options History — October 2012

In October 2012, IYE traded between $40.81 and $42.98. ATM implied volatility averaged 18.1%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.6% (HV 20d: 15.6%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2012-10-23: Highest Volume — 1,006 contracts
  • 2012-10-23: Largest IV spike — 14.2% change
  • 2012-10-25: Highest IV Rank — 38.7%
  • 2012-10-25: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.92$40.81$42.98$42.38$41.15
Max Pain$40.38$40.00$42.00$42.00$40.00
ATM IV18.1%16.4%21.5%17.6%20.0%
Expected Move5.3%4.7%6.2%5.0%5.7%
HV 20d15.6%13.3%17.4%17.1%16.1%
HV 60d15.8%14.7%16.3%16.3%14.7%
IV Rank23.7%13.3%38.7%14.8%33.0%
IV Percentile26.0%8.3%57.5%19.0%46.4%
Term Structure1.2%-1.1%2.5%1.5%-0.9%
VWIV18.4%17.4%19.5%17.4%19.5%
Skew 25d4.5%-2.5%9.7%0.6%-2.5%
Skew 10d4.2%-3.4%15.2%-1.3%0.3%
Call IV 25d15.5%11.2%17.6%17.5%17.6%
Put IV 25d20.0%15.1%24.2%18.1%15.1%
Bid-Ask Spread %90.9154.97125.13100.10125.13
Gamma HHI0.460.350.650.420.64
Net GEX88.0K42.6K235.0K45.2K235.0K
Net DEX-774.9K-1.6M-449.3K-646.3K-1.4M
Net VEX-4.2K-8.5K-2.9K-3.6K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.290.001.29
Total Volume55.90501,006048
Total OI755.5244231,4726031,472

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$42.38$42.0017.6%5.0%17.1%14.8%0.0%0.6%1.5%45.2K-646.3K-3.6K0.00100.10N/AN/A00404199
2012-10-02$42.36$42.0017.0%4.9%16.8%13.3%0.0%1.4%2.5%47.4K-617.0K-3.5K0.00101.29N/AN/A00404199
2012-10-03$41.84$42.0017.5%5.0%17.4%16.4%0.0%5.0%1.5%42.6K-508.8K-3.5K0.00102.45N/AN/A00404199
2012-10-04$42.25$42.0017.1%4.9%16.2%17.0%0.0%3.5%2.1%48.4K-604.1K-3.5K0.00103.60N/AN/A00404199
2012-10-05$42.15$40.0016.4%5.2%15.2%14.9%0.0%2.8%2.1%49.2K-585.7K-3.4K0.0086.29N/AN/A30404199
2012-10-08$42.23$40.0017.3%5.3%15.1%19.3%0.0%4.6%1.7%50.4K-590.6K-3.4K0.0084.43N/AN/A50405199
2012-10-09$42.25$40.0016.9%5.4%14.7%20.2%0.0%3.6%1.5%53.0K-644.6K-3.3K0.0084.42N/AN/A00410199
2012-10-10$41.49$40.0018.3%5.6%15.9%25.7%0.0%3.1%1.1%43.0K-449.3K-3.3K0.0089.05N/AN/A60410199
2012-10-11$41.80$40.0018.2%5.2%14.6%25.3%0.0%4.0%1.3%55.2K-542.9K-3.3K0.0090.86N/AN/A20416199
2012-10-12$41.60$40.0017.8%5.1%13.3%23.7%0.0%5.2%1.8%50.8K-461.0K-3.2K0.0090.94N/AN/A00418199
2012-10-15$41.79$40.0017.2%4.9%13.3%21.2%0.0%5.6%1.9%62.2K-491.4K-3.1K0.0093.01N/AN/A00418199
2012-10-16$42.42$40.0017.7%5.1%14.4%23.4%0.0%7.7%1.4%75.7K-698.4K-3.0K0.0096.83N/AN/A00418199
2012-10-17$42.93$40.0016.7%4.8%14.7%19.3%0.0%3.9%2.2%71.8K-856.6K-2.9K0.0084.82N/AN/A80418199
2012-10-18$42.98$40.0016.5%4.7%14.7%18.6%0.0%5.2%1.9%72.0K-888.3K-2.9K0.0097.42N/AN/A030425199
2012-10-19$42.34$40.0017.9%5.1%15.6%24.0%17.4%3.9%1.8%79.6K-698.9K-3.0K0.0095.98N/AN/A60425199
2012-10-22$42.08$40.0018.3%5.3%15.6%26.2%0.0%5.1%1.6%48.4K-609.4K-2.9K1.0095.04N/AN/A1010321102
2012-10-23$41.11$40.0020.9%6.0%16.9%36.4%0.0%9.2%-0.7%44.1K-461.9K-3.1K0.0085.56N/AN/A1,0060331112
2012-10-24$40.81$40.0020.5%5.9%16.8%34.8%0.0%5.7%-0.1%212.6K-1.4M-8.1K0.0054.97N/AN/A0101,334112
2012-10-25$41.16$40.0021.5%6.2%16.2%38.7%0.0%9.7%-1.1%228.9K-1.6M-8.4K0.0087.01N/AN/A0301,334108
2012-10-26$41.20$40.0019.7%5.7%16.2%31.7%0.0%7.6%0.2%232.4K-1.5M-8.5K0.0059.87N/AN/A001,334138
2012-10-31$41.15$40.0020.0%5.7%16.1%33.0%19.5%-2.5%-0.9%235.0K-1.4M-7.7K1.29125.13N/AN/A21271,334138