IYE Options History — April 2013

In April 2013, IYE traded between $42.28 and $45.10. ATM implied volatility averaged 16.8%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.4% (HV 20d: 17.1%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2013-04-11: Highest Volume — 3,211 contracts
  • 2013-04-15: Largest IV spike — 23.5% change
  • 2013-04-17: Highest IV Rank — 19.8%
  • 2013-04-17: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.96$42.28$45.10$45.08$44.66
Max Pain$43.09$41.00$45.00$43.00$41.00
ATM IV16.8%14.2%20.7%14.6%14.2%
Expected Move4.8%4.1%5.9%4.2%4.1%
HV 20d17.1%10.6%22.0%10.6%22.0%
HV 60d15.2%12.9%17.2%12.9%16.9%
IV Rank11.2%5.7%19.8%6.6%5.7%
IV Percentile30.5%7.1%65.5%10.3%7.1%
Term Structure0.2%-1.0%1.2%0.6%1.1%
VWIV16.3%11.3%23.1%14.5%15.6%
Skew 25d5.1%0.0%7.6%3.1%7.6%
Skew 10d10.1%0.7%18.1%1.3%13.0%
Call IV 25d14.2%11.0%18.5%13.3%11.4%
Put IV 25d19.3%13.8%23.7%16.3%19.0%
Bid-Ask Spread %39.9826.1457.8831.5737.25
Gamma HHI0.420.260.590.380.52
Net GEX493.3K-157.2K2.5M232.4K438.2K
Net DEX-3.2M-6.5M2.9M-4.9M-4.8M
Net VEX-17.0K-27.3K-5.7K-5.7K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.670.000.00
Total Volume331.95503,2117000
Total OI3,865.5452,4696,6632,4692,864

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$45.08$43.0014.6%4.2%10.6%6.6%14.5%3.1%0.6%232.4K-4.9M-5.7K0.0031.57N/AN/A07001,4131,056
2013-04-02$44.82$43.0014.5%4.2%10.8%6.5%11.4%0.0%0.4%-157.2K-2.8M-9.2K0.0038.67N/AN/A601,4131,756
2013-04-03$44.01$43.0017.1%4.9%12.4%11.9%14.1%3.9%-0.7%-67.7K-1.2M-10.4K0.2026.14N/AN/A511,4171,756
2013-04-04$43.99$43.0017.0%4.9%12.4%11.7%16.7%4.4%0.1%-56.8K-866.6K-10.3K0.0031.65N/AN/A70101,4221,757
2013-04-05$44.00$45.0017.2%4.9%12.2%12.1%0.0%4.8%0.5%291.9K-2.6M-12.3K0.0045.96N/AN/A602,1121,757
2013-04-08$44.32$45.0016.3%4.8%12.4%10.3%16.2%4.0%0.7%299.1K-3.8M-10.2K1.6730.00N/AN/A352,1161,757
2013-04-09$44.71$45.0014.4%4.4%12.9%6.2%0.0%4.4%0.9%158.9K-5.1M-9.1K0.0056.68N/AN/A002,1191,757
2013-04-10$44.93$45.0014.7%4.4%13.0%6.8%0.0%5.9%0.8%76.9K-5.8M-8.1K0.0057.88N/AN/A002,1191,757
2013-04-11$45.10$45.0015.0%4.3%13.0%7.5%0.0%7.0%1.2%93.8K-6.5M-6.7K0.2555.14N/AN/A2,5616502,1191,757
2013-04-12$44.44$45.0016.6%4.8%12.9%10.9%0.0%4.4%0.1%43.2K-3.8M-16.4K0.0045.37N/AN/A002,5962,407
2013-04-15$42.65$45.0020.5%5.9%19.1%19.3%11.3%4.4%-0.9%383.9K2.9M-14.8K0.0044.93N/AN/A1,02112,5962,407
2013-04-16$43.22$45.0018.3%5.3%19.9%14.6%0.0%5.5%-0.6%2.0M-4.6M-15.0K0.0038.33N/AN/A003,5961,708
2013-04-17$42.28$45.0020.7%5.9%20.9%19.8%19.2%5.7%-0.9%575.2K1.3M-12.9K0.0031.54N/AN/A1,41653,5961,708
2013-04-18$42.64$43.0019.4%5.6%21.1%16.9%23.1%7.3%-0.9%1.7M-2.6M-27.3K1.1740.30N/AN/A674,9451,713
2013-04-19$42.67$41.0018.9%5.4%21.0%15.7%19.8%5.7%-1.0%2.5M-2.0M-24.5K0.6040.88N/AN/A1594,9431,720
2013-04-22$43.13$41.0017.4%5.0%21.2%12.6%17.3%6.9%0.9%333.1K-2.7M-24.0K0.0044.52N/AN/A1102,365384
2013-04-23$43.61$41.0016.0%4.6%21.6%9.6%15.6%4.9%0.3%370.5K-3.2M-25.3K0.0043.80N/AN/A13102,376384
2013-04-24$44.17$41.0016.0%4.6%21.7%9.6%0.0%5.2%0.6%399.5K-4.2M-26.5K1.1133.25N/AN/A9102,437384
2013-04-25$44.11$41.0016.7%4.8%21.7%11.0%0.0%5.3%0.7%397.9K-4.1M-26.4K0.0033.56N/AN/A1602,446394
2013-04-26$44.05$41.0016.5%4.7%21.7%10.7%0.0%5.1%0.1%416.1K-4.0M-26.4K0.0036.43N/AN/A102,462394
2013-04-29$44.45$41.0016.8%4.8%22.0%11.3%0.0%6.1%-0.1%428.8K-4.6M-26.5K0.0035.65N/AN/A702,463394
2013-04-30$44.66$41.0014.2%4.1%22.0%5.7%0.0%7.6%1.1%438.2K-4.8M-26.6K0.0037.25N/AN/A002,470394