IYE Options History — January 2013

In January 2013, IYE traded between $41.82 and $44.70. ATM implied volatility averaged 21.0%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.8% (HV 20d: 16.3%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-01-30: Highest Volume — 1,008 contracts
  • 2013-01-23: Largest IV spike — 271.2% change
  • 2013-01-07: Highest IV Rank — 100.0%
  • 2013-01-23: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.98$41.82$44.70$41.85$44.26
Max Pain$41.95$40.00$43.00$40.00$42.00
ATM IV21.0%12.8%58.1%17.3%14.9%
Expected Move5.7%3.7%16.6%5.0%4.3%
HV 20d16.3%10.0%18.1%17.8%10.0%
HV 60d16.7%15.7%17.6%17.5%15.7%
IV Rank26.2%2.4%100.0%19.2%7.0%
IV Percentile31.6%0.4%100.0%21.4%4.8%
Term Structure-1.5%-55.8%3.9%-1.3%1.0%
VWIV14.5%13.4%15.5%15.5%13.4%
Skew 25d8.3%-29.0%39.8%5.1%2.9%
Skew 10d7.2%-44.3%46.6%24.4%3.3%
Call IV 25d16.5%7.9%63.4%11.9%13.4%
Put IV 25d24.7%11.9%58.0%17.0%16.3%
Bid-Ask Spread %84.0638.21146.42126.8041.42
Gamma HHI0.500.320.730.360.41
Net GEX408.6K92.1K655.6K566.6K92.1K
Net DEX-4.1M-6.0M-2.4M-3.7M-2.4M
Net VEX-11.7K-18.2K-10.0K-12.1K-18.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume72.04801,00853
Total OI1,866.9521,3732,3952,0602,395

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$41.85$40.0017.3%5.0%17.8%19.2%0.0%5.1%-1.3%566.6K-3.7M-12.1K0.00126.80N/AN/A501,937123
2013-01-03$41.82$40.0014.4%4.1%17.7%9.1%0.0%5.3%1.5%553.0K-3.9M-12.1K0.00121.60N/AN/A001,942123
2013-01-04$42.26$43.0017.3%4.6%17.8%19.1%0.0%2.9%2.2%552.0K-4.4M-12.0K0.0051.47N/AN/A051,942123
2013-01-07$41.96$43.0043.0%4.6%18.0%100.0%0.0%3.2%1.8%595.3K-4.2M-11.5K0.0047.99N/AN/A001,942128
2013-01-08$41.89$43.0014.8%4.5%18.0%9.8%15.5%3.0%2.3%629.7K-4.0M-11.3K0.0045.29N/AN/A1201,942128
2013-01-09$41.88$42.0013.3%4.5%18.0%5.1%0.0%2.9%2.5%655.6K-4.1M-11.1K0.0045.34N/AN/A001,954128
2013-01-10$42.25$42.0015.8%4.5%18.1%13.1%0.0%6.5%2.3%564.9K-4.7M-11.0K0.0052.01N/AN/A001,954128
2013-01-11$42.38$42.0015.1%4.3%18.1%11.0%0.0%2.7%2.5%476.0K-5.0M-10.2K0.0049.43N/AN/A011,954128
2013-01-14$42.32$42.0015.4%4.4%17.7%11.8%0.0%2.5%2.1%534.4K-4.9M-10.2K0.0058.73N/AN/A801,954129
2013-01-15$42.54$42.0026.9%7.7%17.7%48.4%13.4%39.7%3.9%498.8K-4.8M-10.6K0.00131.83N/AN/A301,945129
2013-01-16$42.65$42.0026.8%7.7%17.5%48.3%0.0%39.8%3.1%417.0K-5.3M-10.0K0.00145.71N/AN/A1801,948129
2013-01-17$42.96$42.0014.2%4.1%16.7%8.1%0.0%29.8%2.6%329.9K-5.7M-10.1K0.00135.58N/AN/A40601,957129
2013-01-18$43.33$42.0033.2%9.5%16.2%68.7%0.0%-17.6%-9.1%271.2K-6.0M-12.4K0.00146.33N/AN/A2202,108129
2013-01-22$43.71$42.0015.6%4.5%16.2%12.6%0.0%-29.0%0.6%282.5K-3.1M-12.0K0.0091.20N/AN/A901,34726
2013-01-23$43.57$42.0058.1%16.6%15.6%100.0%0.0%27.4%-55.8%233.2K-3.0M-12.0K0.00146.42N/AN/A0101,35226
2013-01-24$43.74$42.0029.6%8.5%15.0%38.8%0.0%29.5%1.8%262.4K-3.2M-12.0K0.00108.43N/AN/A001,35232
2013-01-25$44.14$42.0012.8%3.7%15.0%2.4%0.0%4.2%1.9%266.7K-3.5M-11.9K0.0098.21N/AN/A201,35232
2013-01-28$44.01$42.0014.3%4.1%15.0%5.7%0.0%7.4%0.8%276.4K-3.4M-11.8K0.0041.99N/AN/A001,35432
2013-01-29$44.70$42.0013.4%3.8%13.1%3.6%0.0%5.6%1.3%259.4K-3.8M-11.2K0.0038.21N/AN/A101,35432
2013-01-30$44.39$42.0015.5%4.4%12.3%8.3%0.0%-0.3%0.7%263.3K-3.8M-11.3K0.0041.21N/AN/A01,0081,35532
2013-01-31$44.26$42.0014.9%4.3%10.0%7.0%0.0%2.9%1.0%92.1K-2.4M-18.2K0.0041.42N/AN/A301,3551,040