IYE Options History — November 2012

In November 2012, IYE traded between $39.19 and $41.68. ATM implied volatility averaged 21.8%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.8% (HV 20d: 19.0%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-11-13: Highest Volume — 30 contracts
  • 2012-11-28: Largest IV spike — 69.3% change
  • 2012-11-30: Highest IV Rank — 88.6%
  • 2012-11-30: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.31$39.19$41.68$41.42$40.65
Max Pain$40.90$40.00$41.00$40.00$41.00
ATM IV21.8%17.1%33.9%19.0%33.9%
Expected Move6.2%4.9%9.7%5.5%9.7%
HV 20d19.0%16.3%20.7%16.3%19.2%
HV 60d16.6%14.7%17.5%14.7%17.3%
IV Rank40.4%21.7%88.6%28.9%88.6%
IV Percentile55.4%16.7%98.8%39.3%98.8%
Term Structure-0.3%-9.9%1.9%0.6%1.9%
VWIV17.2%17.1%17.2%17.2%17.1%
Skew 25d1.2%-35.3%8.2%6.2%2.9%
Skew 10d7.1%-12.8%15.4%4.2%-12.8%
Call IV 25d20.8%12.5%53.5%14.0%12.8%
Put IV 25d21.9%15.6%28.5%20.2%15.6%
Bid-Ask Spread %61.2632.33139.65127.20139.65
Gamma HHI0.520.420.680.670.50
Net GEX177.5K108.9K275.8K275.8K196.0K
Net DEX-681.6K-1.9M-147.4K-1.6M-561.9K
Net VEX-5.2K-8.5K-3.5K-8.5K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.002.670.710.00
Total Volume7.095030120
Total OI1,523.6671,4721,5591,5131,506

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$41.42$40.0019.0%5.5%16.3%28.9%0.0%6.2%0.6%275.8K-1.6M-8.5K0.71127.20N/AN/A751,355158
2012-11-02$40.75$40.0019.4%5.6%16.7%30.5%0.0%-0.1%0.2%223.6K-1.2M-7.7K0.0084.78N/AN/A501,362163
2012-11-05$41.05$41.0021.4%5.9%16.5%38.8%0.0%4.5%0.1%242.4K-1.4M-7.8K0.0038.91N/AN/A301,367163
2012-11-06$41.68$41.0020.2%5.6%17.6%34.1%0.0%4.2%-0.2%273.6K-1.9M-8.4K0.0041.06N/AN/A0101,370163
2012-11-07$40.52$41.0021.3%6.0%20.1%38.3%0.0%5.0%-0.6%205.3K-1.0M-6.9K2.0036.17N/AN/A361,370173
2012-11-08$39.83$41.0021.3%6.3%20.7%38.4%0.0%4.6%-0.2%162.6K-613.4K-6.0K0.0034.16N/AN/A201,373179
2012-11-09$39.84$41.0020.0%6.2%20.0%33.0%0.0%3.3%0.0%159.2K-578.5K-5.8K0.0040.39N/AN/A1101,375179
2012-11-12$39.88$41.0021.3%5.9%19.7%38.3%0.0%4.4%-0.1%164.6K-509.4K-5.4K0.0043.26N/AN/A101,379179
2012-11-13$39.62$41.0020.5%5.8%19.7%35.4%0.0%3.5%0.4%143.9K-355.6K-4.8K0.0032.33N/AN/A3001,380179
2012-11-14$39.19$41.0023.3%6.3%19.8%46.2%0.0%3.1%-0.2%114.5K-210.9K-4.3K0.0036.66N/AN/A501,380179
2012-11-15$39.23$41.0022.0%6.3%18.7%41.2%0.0%3.9%-0.2%108.9K-151.5K-3.8K0.0040.50N/AN/A041,375179
2012-11-16$39.37$41.0021.2%6.1%17.9%38.1%0.0%3.5%0.1%111.6K-147.4K-3.9K2.6738.14N/AN/A6161,375183
2012-11-19$40.26$41.0019.1%5.5%20.2%29.8%0.0%5.3%-0.4%149.1K-448.8K-4.2K0.0052.25N/AN/A061,326146
2012-11-20$40.12$41.0018.7%5.4%19.7%28.0%0.0%4.3%0.4%132.5K-364.7K-3.9K0.0052.90N/AN/A801,326152
2012-11-21$40.32$41.0018.6%5.3%19.9%27.6%0.0%8.2%0.3%152.5K-454.3K-4.2K0.0056.99N/AN/A0101,333152
2012-11-23$40.86$41.0017.1%4.9%18.9%21.7%17.2%5.1%0.7%207.8K-623.4K-4.6K0.0046.43N/AN/A1001,333162
2012-11-26$40.50$41.0018.9%5.4%19.0%28.9%17.1%3.9%-0.0%173.4K-512.5K-4.0K0.0049.84N/AN/A101,343162
2012-11-27$40.14$41.0018.7%5.4%18.9%28.0%0.0%3.3%0.4%128.8K-344.2K-3.5K0.0042.00N/AN/A001,344162
2012-11-28$40.57$41.0031.6%9.1%19.4%79.7%0.0%-19.7%-9.9%213.0K-733.2K-4.1K0.00119.14N/AN/A001,344162
2012-11-29$40.65$41.0030.5%8.7%19.4%75.0%0.0%-35.3%-0.1%188.1K-583.7K-4.0K0.00133.65N/AN/A001,344162
2012-11-30$40.65$41.0033.9%9.7%19.2%88.6%0.0%2.9%1.9%196.0K-561.9K-4.0K0.00139.65N/AN/A001,344162