IYE Options History — July 2013

In July 2013, IYE traded between $44.92 and $47.71. ATM implied volatility averaged 14.9%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.1% (HV 20d: 15.0%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.79.

Notable Days

  • 2013-07-15: Highest Volume — 1,405 contracts
  • 2013-07-05: Largest IV drop — 15.0% change
  • 2013-07-03: Highest IV Rank — 11.9%
  • 2013-07-03: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.55$44.92$47.71$44.92$46.94
Max Pain$45.73$45.00$47.00$45.00$45.00
ATM IV14.9%13.1%17.1%17.0%15.1%
Expected Move4.4%3.7%4.9%4.9%4.3%
HV 20d15.0%9.9%18.9%18.9%11.3%
HV 60d16.5%14.9%18.8%18.7%14.9%
IV Rank7.2%3.3%11.9%11.8%7.7%
IV Percentile18.8%3.2%42.5%41.7%26.2%
Term Structure1.5%0.4%2.7%0.9%0.4%
VWIV15.7%14.7%17.6%17.1%15.1%
Skew 25d3.9%1.8%6.5%3.3%1.8%
Skew 10d6.7%-0.2%12.8%6.3%1.0%
Call IV 25d13.3%9.0%15.5%15.1%13.9%
Put IV 25d17.3%15.5%20.1%18.4%15.7%
Bid-Ask Spread %50.7331.0970.6138.5262.77
Gamma HHI0.500.370.570.370.57
Net GEX270.7K52.7K373.0K52.7K373.0K
Net DEX-6.5M-9.2M-2.3M-2.3M-5.9M
Net VEX-22.2K-29.4K-16.1K-29.4K-21.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0024.000.000.55
Total Volume87.40901,405117
Total OI4,334.0452,8635,4455,1442,910

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$44.92$45.0017.0%4.9%18.9%11.8%17.1%3.3%0.9%52.7K-2.3M-29.4K0.0038.52N/AN/A102,5162,628
2013-07-02$45.04$45.0016.6%4.7%18.8%10.8%16.4%4.2%2.0%65.8K-2.6M-29.0K0.0031.09N/AN/A502,5162,628
2013-07-03$45.05$45.0017.1%4.9%18.4%11.9%0.0%3.3%1.6%78.5K-2.8M-28.5K0.0034.33N/AN/A002,5212,628
2013-07-05$45.57$47.0014.5%4.8%18.6%6.4%0.0%4.5%2.1%157.7K-4.6M-25.9K0.0044.76N/AN/A102,5212,628
2013-07-08$45.85$47.0014.9%4.7%18.3%7.2%0.0%3.8%2.2%211.2K-5.9M-23.2K0.0045.44N/AN/A602,5222,628
2013-07-09$46.38$47.0015.0%4.8%18.8%7.4%15.0%4.1%1.5%246.7K-7.7M-19.8K0.0043.84N/AN/A1002,5172,628
2013-07-10$46.10$47.0014.3%4.6%18.1%6.0%15.0%3.0%1.7%265.7K-7.1M-20.9K0.0046.76N/AN/A502,5272,628
2013-07-11$46.53$47.0014.2%4.1%18.0%5.8%0.0%3.6%2.7%272.0K-8.4M-18.2K0.0051.74N/AN/A012,5322,628
2013-07-12$46.66$47.0014.1%4.0%17.1%5.5%0.0%3.2%2.6%287.1K-9.1M-16.2K0.0059.68N/AN/A202,5322,627
2013-07-15$46.61$47.0014.9%4.3%16.7%7.2%14.7%3.3%2.0%257.9K-9.0M-16.1K0.0052.24N/AN/A1,40502,5322,627
2013-07-16$46.36$47.0016.1%4.6%16.3%9.8%17.6%3.9%1.0%344.8K-8.7M-22.8K0.4443.35N/AN/A942,8112,627
2013-07-17$46.58$45.0015.0%4.3%16.2%7.4%0.0%3.8%1.8%330.4K-9.2M-22.3K0.0044.05N/AN/A002,8142,631
2013-07-18$47.06$45.0014.8%4.3%16.2%7.1%0.0%4.8%2.1%336.0K-8.1M-20.6K0.0044.61N/AN/A40302,4582,399
2013-07-19$47.71$45.0014.0%4.0%12.1%5.3%0.0%3.0%2.0%322.3K-8.9M-22.1K0.0035.78N/AN/A702,6082,399
2013-07-22$47.56$45.0013.1%3.7%12.3%3.3%0.0%3.1%2.0%313.1K-6.3M-21.5K0.0068.27N/AN/A302,077786
2013-07-23$47.66$45.0013.7%3.9%9.9%4.7%0.0%6.5%1.2%317.8K-6.5M-21.3K0.0070.61N/AN/A012,080786
2013-07-24$47.14$45.0014.7%4.2%10.7%6.9%14.7%3.9%1.0%343.1K-6.0M-22.0K24.0059.54N/AN/A1242,080787
2013-07-25$47.39$45.0014.7%4.2%10.7%6.9%0.0%5.7%0.7%330.1K-6.2M-21.8K0.0070.47N/AN/A002,081811
2013-07-26$47.26$45.0014.7%4.2%10.9%6.8%0.0%4.2%0.7%340.0K-6.0M-21.8K0.0070.29N/AN/A302,081811
2013-07-29$46.84$45.0014.5%4.1%11.4%6.3%0.0%3.7%0.9%354.4K-5.6M-21.9K3.0051.67N/AN/A262,084811
2013-07-30$46.78$45.0014.8%4.3%11.2%7.1%0.0%6.2%0.8%354.2K-5.5M-22.2K2.5046.37N/AN/A252,086817
2013-07-31$46.94$45.0015.1%4.3%11.3%7.7%15.1%1.8%0.4%373.0K-5.9M-21.1K0.5562.77N/AN/A1162,088822