IYE Options History — December 2012

In December 2012, IYE traded between $39.95 and $41.84. ATM implied volatility averaged 25.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 12.0% (HV 20d: 13.8%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.08.

Notable Days

  • 2012-12-31: Highest Volume — 1,012 contracts
  • 2012-12-04: Largest IV spike — 173.5% change
  • 2012-12-04: Highest IV Rank — 100.0%
  • 2012-12-04: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.94$39.95$41.84$40.43$40.84
Max Pain$40.20$40.00$41.00$41.00$40.00
ATM IV25.9%13.9%41.1%15.0%34.4%
Expected Move6.8%4.0%11.8%4.3%9.9%
HV 20d13.8%11.9%18.5%18.5%15.8%
HV 60d16.3%15.7%17.4%17.4%16.9%
IV Rank48.3%7.6%100.0%13.4%77.3%
IV Percentile54.2%0.8%100.0%2.0%97.2%
Term Structure3.3%-29.3%15.0%0.3%-0.7%
VWIV17.0%14.5%18.9%16.8%18.9%
Skew 25d7.9%1.8%28.8%5.9%1.9%
Skew 10d12.0%1.7%50.1%1.7%6.0%
Call IV 25d15.2%11.5%18.5%13.8%18.5%
Put IV 25d23.1%17.5%41.4%19.8%20.4%
Bid-Ask Spread %72.4149.29133.6267.7394.66
Gamma HHI0.400.320.530.410.53
Net GEX272.7K137.8K433.4K138.5K290.8K
Net DEX-1.3M-2.1M-353.3K-357.0K-1.3M
Net VEX-4.4K-6.1K-3.1K-3.1K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.001.250.000.00
Total Volume83.101,01281,012
Total OI1,694.359662,0241,5061,048

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$40.43$41.0015.0%4.3%18.5%13.4%0.0%5.9%0.3%138.5K-357.0K-3.1K0.0067.73N/AN/A801,344162
2012-12-04$40.30$41.0041.1%11.8%18.3%100.0%0.0%11.4%1.0%137.8K-353.3K-3.1K0.0058.50N/AN/A22801,344162
2012-12-05$40.68$41.0036.9%10.6%17.7%85.6%16.8%28.8%1.2%223.4K-837.4K-4.5K0.0049.29N/AN/A27901,572162
2012-12-06$40.79$41.0038.6%11.1%14.5%91.4%0.0%9.5%1.8%304.3K-1.4M-6.0K0.0050.46N/AN/A401,851162
2012-12-07$41.03$40.0036.6%5.1%13.1%84.6%0.0%6.7%5.1%350.7K-1.6M-6.1K0.0070.50N/AN/A001,855162
2012-12-10$40.97$40.0039.9%5.0%13.1%95.7%0.0%6.6%13.6%321.2K-1.4M-5.5K0.0062.40N/AN/A051,855162
2012-12-11$41.19$40.0017.5%5.0%13.2%19.7%17.5%3.4%15.0%351.4K-1.6M-5.6K0.0060.06N/AN/A201,855167
2012-12-12$41.32$40.0017.4%5.0%12.8%19.6%18.2%3.1%4.3%386.2K-1.8M-5.6K1.2556.49N/AN/A8101,857167
2012-12-13$40.94$40.0017.7%5.1%12.6%20.4%17.6%1.8%10.2%266.5K-1.4M-4.9K0.0057.70N/AN/A1101,865157
2012-12-14$40.78$40.0017.5%5.0%12.8%19.7%15.4%4.0%9.3%227.4K-1.2M-4.6K0.0051.83N/AN/A101,854157
2012-12-17$41.14$40.0017.5%5.0%13.0%19.7%0.0%5.1%9.1%250.0K-1.4M-4.4K0.0066.39N/AN/A001,855157
2012-12-18$41.84$40.0013.9%4.0%12.0%7.6%17.3%1.8%11.9%433.4K-2.1M-4.5K0.0065.91N/AN/A101,855157
2012-12-19$41.36$40.0018.5%5.3%12.8%23.2%0.0%3.1%0.8%301.6K-1.7M-4.5K0.0066.09N/AN/A501,842157
2012-12-20$41.68$40.0016.4%4.7%12.9%15.8%14.5%5.1%7.4%275.6K-1.8M-4.2K0.0068.57N/AN/A101,847157
2012-12-21$41.24$40.0016.9%4.8%12.9%17.7%16.6%10.8%3.3%248.2K-1.5M-4.1K0.0064.39N/AN/A201,848157
2012-12-24$40.88$40.0017.1%4.9%12.9%18.5%0.0%18.4%1.7%260.0K-1.4M-3.9K0.0079.87N/AN/A01844122
2012-12-26$40.76$40.0035.1%10.1%12.5%79.4%0.0%3.2%-0.3%248.2K-1.2M-3.7K0.00101.81N/AN/A40844123
2012-12-27$40.67$40.0034.4%9.9%11.9%77.1%18.9%3.3%-0.2%232.5K-1.1M-3.5K0.00121.96N/AN/A630848123
2012-12-28$39.95$40.0035.3%10.1%13.5%80.2%0.0%24.6%-29.3%205.6K-836.1K-3.3K0.00133.62N/AN/A170908123
2012-12-31$40.84$40.0034.4%9.9%15.8%77.3%0.0%1.9%-0.7%290.8K-1.3M-3.6K0.0094.66N/AN/A1,0120925123