IYE Options History — August 2013

In August 2013, IYE traded between $45.36 and $47.56. ATM implied volatility averaged 14.6%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.4% (HV 20d: 11.1%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.80.

Notable Days

  • 2013-08-20: Highest Volume — 2,191 contracts
  • 2013-08-15: Largest IV spike — 76.4% change
  • 2013-08-30: Highest IV Rank — 18.7%
  • 2013-08-30: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.44$45.36$47.56$47.56$46.18
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.6%9.0%18.2%13.1%18.2%
Expected Move4.4%3.8%5.2%3.8%5.2%
HV 20d11.1%8.9%12.8%11.9%12.0%
HV 60d14.7%14.2%15.1%15.0%14.4%
IV Rank9.5%0.0%18.7%3.3%18.7%
IV Percentile26.4%0.0%71.4%3.6%71.4%
Term Structure0.8%-0.1%3.0%1.7%0.2%
VWIV14.8%13.3%16.9%16.9%13.7%
Skew 25d3.4%1.1%5.8%5.4%4.1%
Skew 10d7.2%1.2%11.6%4.9%1.9%
Call IV 25d13.6%10.6%16.4%11.1%15.5%
Put IV 25d16.9%13.2%19.6%16.5%19.6%
Bid-Ask Spread %58.5238.05132.5346.0146.66
Gamma HHI0.560.520.640.530.55
Net GEX455.7K342.4K597.7K342.4K530.7K
Net DEX-5.8M-7.6M-4.0M-6.4M-6.3M
Net VEX-26.4K-40.0K-19.4K-20.9K-37.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.005.670.000.00
Total Volume105.81802,191500
Total OI3,709.0452,8995,0982,9245,068

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$47.56$45.0013.1%3.8%11.9%3.3%0.0%5.4%1.7%342.4K-6.4M-20.9K0.0046.01N/AN/A5002,096828
2013-08-02$47.30$45.0013.4%3.9%11.8%4.1%0.0%2.9%1.6%371.5K-6.2M-20.6K0.0041.49N/AN/A002,089828
2013-08-05$47.23$45.0013.3%4.2%11.7%3.8%0.0%3.3%0.7%375.6K-6.2M-20.3K0.0048.57N/AN/A002,089828
2013-08-06$46.94$45.0012.5%4.3%11.4%2.1%0.0%3.2%0.6%419.8K-6.0M-19.9K0.0039.57N/AN/A002,089828
2013-08-07$46.74$45.0014.1%4.2%11.2%5.5%16.9%3.4%0.6%406.2K-5.7M-20.4K0.0046.96N/AN/A092,089828
2013-08-08$47.00$45.0012.3%4.1%10.9%1.6%0.0%4.0%0.4%403.6K-6.0M-19.8K0.0042.57N/AN/A002,089837
2013-08-09$46.85$45.0012.4%4.2%11.0%1.9%0.0%3.2%0.7%407.3K-5.8M-20.0K0.0038.05N/AN/A002,089837
2013-08-12$46.61$45.0012.8%4.1%11.1%2.8%0.0%3.8%0.4%443.6K-5.6M-20.0K0.0052.93N/AN/A002,089837
2013-08-13$46.69$45.009.0%4.1%11.0%0.0%0.0%4.0%0.7%427.5K-5.6M-19.5K0.0050.91N/AN/A002,089837
2013-08-14$46.51$45.0010.2%4.1%10.9%2.4%0.0%3.0%0.7%443.1K-5.5M-19.4K5.6745.39N/AN/A3172,089837
2013-08-15$46.27$45.0018.0%5.2%10.4%18.4%0.0%1.2%-0.1%412.1K-5.0M-20.1K0.0069.68N/AN/A002,087843
2013-08-16$46.09$45.0015.1%4.3%8.9%12.5%13.3%4.3%1.1%416.9K-4.9M-20.3K0.0046.93N/AN/A602,087843
2013-08-19$45.38$45.0017.1%4.9%10.1%16.4%0.0%3.0%0.1%422.0K-4.0M-20.2K0.3365.51N/AN/A622,060840
2013-08-20$45.61$45.0016.2%4.7%10.3%14.7%15.3%1.1%0.3%403.1K-4.3M-20.2K1.18132.53N/AN/A1,0051,1862,057842
2013-08-21$45.36$45.0016.4%4.7%9.9%15.1%0.0%1.5%0.4%597.7K-4.8M-40.0K0.0053.33N/AN/A003,0622,028
2013-08-22$45.97$45.0015.6%4.5%11.0%13.4%0.0%3.7%1.0%514.5K-6.2M-38.8K0.00122.99N/AN/A003,0622,028
2013-08-23$46.32$45.0015.0%4.3%11.5%12.1%13.7%5.8%0.6%576.4K-6.8M-37.7K0.0051.11N/AN/A403,0622,028
2013-08-26$46.21$45.0015.7%4.5%11.1%13.6%0.0%5.3%3.0%518.8K-6.9M-36.3K0.0095.51N/AN/A003,0662,028
2013-08-27$45.93$45.0016.9%4.8%11.3%16.0%0.0%4.3%0.5%557.0K-6.0M-37.7K0.0052.02N/AN/A503,0662,028
2013-08-28$46.69$45.0016.0%4.6%12.8%14.2%0.0%2.6%0.4%509.0K-7.6M-35.4K0.0050.57N/AN/A503,0662,028
2013-08-29$46.25$45.0016.9%4.8%12.1%16.1%0.0%1.3%1.2%526.8K-6.6M-36.4K0.0048.25N/AN/A3003,0702,028
2013-08-30$46.18$45.0018.2%5.2%12.0%18.7%0.0%4.1%0.2%530.7K-6.3M-37.0K0.0046.66N/AN/A003,0402,028