IYE Options History — June 2013

In June 2013, IYE traded between $43.98 and $46.32. ATM implied volatility averaged 18.7%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.9% (HV 20d: 16.8%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 161.08.

Notable Days

  • 2013-06-27: Highest Volume — 2,051 contracts
  • 2013-06-20: Largest IV spike — 20.8% change
  • 2013-06-24: Highest IV Rank — 19.9%
  • 2013-06-24: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.38$43.98$46.32$46.24$44.53
Max Pain$43.90$40.00$45.00$40.00$45.00
ATM IV18.7%16.9%20.8%18.0%17.2%
Expected Move5.4%4.9%6.0%5.2%4.9%
HV 20d16.8%13.8%19.9%13.8%18.9%
HV 60d17.8%16.8%19.0%16.8%18.7%
IV Rank15.4%11.6%19.9%14.0%12.2%
IV Percentile61.8%39.3%81.0%56.0%46.0%
Term Structure0.7%-0.6%2.0%-0.2%1.0%
VWIV18.2%15.9%20.7%18.7%18.0%
Skew 25d4.4%1.3%7.4%7.4%3.4%
Skew 10d10.6%-2.5%16.6%16.6%8.7%
Call IV 25d17.0%14.0%19.8%14.0%16.3%
Put IV 25d21.4%17.7%24.5%21.3%19.7%
Bid-Ask Spread %43.5727.4995.8346.9134.64
Gamma HHI0.440.360.520.520.36
Net GEX363.5K15.9K461.2K413.2K15.9K
Net DEX-4.6M-6.6M-1.1M-6.4M-1.1M
Net VEX-24.0K-31.2K-22.0K-23.4K-31.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio161.080.002050.000.002050.00
Total Volume154.2502,05100
Total OI3,537.653,0895,1443,0895,144

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$46.24$40.0018.0%5.2%13.8%14.0%0.0%7.4%-0.2%413.2K-6.4M-23.4K0.0046.91N/AN/A002,424665
2013-06-04$45.89$40.0018.4%5.3%14.0%14.7%0.0%5.7%0.5%418.9K-6.1M-23.5K0.0042.96N/AN/A002,424665
2013-06-05$45.38$40.0020.4%5.9%14.3%19.1%18.7%2.7%-0.6%425.1K-5.4M-23.7K0.0043.84N/AN/A1202,424665
2013-06-06$45.75$40.0018.6%5.3%14.6%15.2%18.7%5.3%0.3%419.1K-5.8M-23.6K43.7527.49N/AN/A83502,436665
2013-06-07$46.27$44.0017.2%5.3%15.2%12.1%17.2%5.0%1.0%433.2K-6.6M-22.7K0.0051.53N/AN/A1102,443665
2013-06-10$46.16$44.0017.9%5.1%15.0%13.7%19.2%3.8%1.6%461.2K-6.5M-22.2K0.0047.89N/AN/A05002,444665
2013-06-11$45.50$45.0020.4%5.6%15.9%19.1%0.0%4.5%0.5%322.3K-4.6M-25.7K0.0039.80N/AN/A502,4441,165
2013-06-12$45.10$45.0020.5%5.7%15.4%19.3%0.0%5.3%0.1%307.3K-3.9M-25.8K0.0043.79N/AN/A5002,4491,165
2013-06-13$45.87$45.0018.3%5.2%16.7%14.5%0.0%4.5%1.6%337.2K-5.3M-25.4K0.0039.30N/AN/A102,4991,165
2013-06-14$45.46$45.0019.3%5.5%16.9%16.8%0.0%3.9%1.0%339.2K-4.6M-25.5K0.0037.14N/AN/A002,5001,165
2013-06-17$46.04$45.0018.7%5.4%16.4%15.5%17.5%5.0%0.4%348.9K-5.6M-24.1K0.0039.98N/AN/A202,5001,165
2013-06-18$46.32$45.0018.1%5.2%15.9%14.1%0.0%1.3%1.3%372.7K-6.4M-23.0K0.0095.83N/AN/A002,5021,165
2013-06-19$45.87$45.0016.9%4.9%16.2%11.6%15.9%2.7%2.0%397.1K-5.7M-23.5K0.0042.60N/AN/A1802,5021,165
2013-06-20$44.55$45.0020.4%5.9%18.7%19.1%20.1%4.7%0.1%332.8K-3.0M-23.8K0.0035.39N/AN/A1502,5121,085
2013-06-21$44.72$45.0019.4%5.6%18.8%16.9%20.7%5.0%0.9%372.1K-3.2M-23.5K0.2944.91N/AN/A722,5181,085
2013-06-24$43.98$45.0020.8%6.0%19.5%19.9%0.0%4.6%0.9%318.9K-1.9M-22.0K0.0041.29N/AN/A002,4691,086
2013-06-25$44.53$45.0018.6%5.3%19.8%15.3%16.2%5.5%0.4%388.1K-2.9M-22.1K0.0035.86N/AN/A1002,4691,086
2013-06-26$44.65$45.0017.7%5.1%19.8%13.2%17.8%4.8%0.8%410.2K-3.4M-22.2K0.0238.90N/AN/A4212,4741,086
2013-06-27$44.72$45.0017.1%4.9%19.9%11.9%18.0%3.1%1.0%437.6K-3.8M-22.3K2050.0041.41N/AN/A12,0502,5161,087
2013-06-28$44.53$45.0017.2%4.9%18.9%12.2%0.0%3.4%1.0%15.9K-1.1M-31.2K0.0034.64N/AN/A002,5162,628