IYE Options History — May 2013

In May 2013, IYE traded between $43.98 and $47.34. ATM implied volatility averaged 15.5%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 1.7% (HV 20d: 17.3%). Max pain ranged from $40.00 to $44.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 2.74.

Notable Days

  • 2013-05-06: Highest Volume — 294 contracts
  • 2013-05-17: Largest IV drop — 12.6% change
  • 2013-05-31: Highest IV Rank — 12.7%
  • 2013-05-31: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.14$43.98$47.34$43.98$45.83
Max Pain$40.68$40.00$44.00$41.00$40.00
ATM IV15.5%13.5%17.4%17.1%17.4%
Expected Move4.6%4.3%5.0%4.9%5.0%
HV 20d17.3%12.7%23.0%21.7%15.0%
HV 60d17.0%16.2%17.6%17.0%16.7%
IV Rank8.6%4.3%12.7%12.1%12.7%
IV Percentile23.0%4.8%49.2%36.5%49.2%
Term Structure0.4%-0.3%1.1%0.2%0.3%
VWIV17.3%13.8%27.3%13.8%16.0%
Skew 25d3.8%-0.0%7.1%3.2%4.3%
Skew 10d9.6%4.1%14.1%6.8%6.3%
Call IV 25d14.3%12.2%16.1%15.3%16.1%
Put IV 25d18.1%14.5%20.3%18.6%20.3%
Bid-Ask Spread %53.4029.4992.9538.8838.24
Gamma HHI0.540.500.580.500.53
Net GEX396.0K362.4K447.1K414.2K405.9K
Net DEX-6.5M-8.2M-4.0M-4.0M-6.0M
Net VEX-25.1K-27.6K-21.3K-25.8K-24.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.740.0020.0012.000.00
Total Volume1902941310
Total OI3,068.9092,8643,1642,8643,079

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$43.98$41.0017.1%4.9%21.7%12.1%0.0%3.2%0.2%414.2K-4.0M-25.8K12.0038.88N/AN/A1122,470394
2013-05-02$44.51$41.0015.1%4.3%22.1%7.6%0.0%7.1%0.9%435.3K-4.6M-26.3K0.0032.86N/AN/A002,470406
2013-05-03$45.35$41.0015.3%4.4%23.0%8.0%13.8%4.8%1.1%447.1K-5.7M-26.2K0.0029.49N/AN/A3502,470406
2013-05-06$45.60$44.0014.0%4.4%23.0%5.3%15.3%4.3%0.4%436.4K-6.0M-25.7K20.0049.93N/AN/A142802,460406
2013-05-07$45.97$44.0014.0%4.4%23.0%5.3%18.3%4.0%0.2%391.9K-6.2M-27.6K0.0049.02N/AN/A012,469686
2013-05-08$46.05$44.0014.3%4.3%22.9%6.0%27.3%3.7%0.8%390.3K-6.3M-27.2K0.0051.19N/AN/A102,469687
2013-05-09$46.01$40.0013.8%4.4%22.9%4.9%16.3%3.1%-0.3%392.3K-6.3M-27.2K0.0062.42N/AN/A202,470687
2013-05-10$45.76$40.0013.5%4.5%22.3%4.3%0.0%4.6%0.2%392.3K-5.9M-27.4K0.0052.38N/AN/A002,472687
2013-05-13$45.73$40.0014.8%4.5%15.7%7.1%0.0%5.0%0.2%402.3K-5.9M-27.0K0.0057.49N/AN/A102,472687
2013-05-14$46.33$40.0015.9%4.5%15.7%9.4%0.0%4.2%0.6%383.2K-6.7M-26.2K0.8356.37N/AN/A652,473687
2013-05-15$46.21$40.0015.5%4.5%12.7%8.6%0.0%4.0%0.5%393.2K-6.7M-26.2K0.0057.96N/AN/A202,477687
2013-05-16$46.00$40.0017.0%4.9%13.0%11.8%15.2%2.7%0.3%397.9K-6.3M-26.3K0.0080.37N/AN/A1002,464687
2013-05-17$46.78$40.0014.9%4.3%13.7%7.2%16.7%3.6%0.5%378.0K-7.3M-24.8K0.0044.66N/AN/A1402,469687
2013-05-20$47.34$40.0015.5%4.4%13.8%8.5%0.0%3.6%-0.2%378.5K-8.2M-21.3K0.0076.68N/AN/A402,407650
2013-05-21$47.28$40.0015.5%4.4%13.7%8.6%0.0%2.7%-0.3%362.4K-7.8M-22.5K0.0046.84N/AN/A102,411650
2013-05-22$46.75$40.0015.6%4.5%14.4%8.8%0.0%2.6%1.1%381.4K-7.0M-24.1K8.0048.60N/AN/A182,412650
2013-05-23$46.62$40.0017.3%5.0%14.4%12.4%0.0%-0.0%-0.2%372.7K-7.0M-24.2K0.0092.95N/AN/A002,413658
2013-05-24$46.46$40.0016.5%4.7%14.5%10.6%0.0%4.1%0.9%407.2K-6.8M-24.3K0.0074.95N/AN/A002,413658
2013-05-28$46.94$40.0016.5%4.7%14.6%10.8%0.0%3.8%0.2%381.4K-7.4M-22.9K0.0039.23N/AN/A012,413658
2013-05-29$46.84$40.0016.6%4.8%14.7%10.8%16.4%3.8%0.7%379.3K-7.3M-22.9K0.0048.25N/AN/A102,413659
2013-05-30$46.71$40.0015.8%4.5%13.3%9.2%0.0%3.6%1.0%388.4K-7.1M-22.9K3.0045.97N/AN/A262,414659
2013-05-31$45.83$40.0017.4%5.0%15.0%12.7%16.0%4.3%0.3%405.9K-6.0M-24.3K0.0038.24N/AN/A1002,414665