IYE Options History — September 2013

In September 2013, IYE traded between $46.42 and $48.35. ATM implied volatility averaged 14.6%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 3.2% (HV 20d: 11.4%). Max pain ranged from $45.00 to $45.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.07.

Notable Days

  • 2013-09-24: Highest Volume — 2,700 contracts
  • 2013-09-27: Largest IV spike — 18.1% change
  • 2013-09-30: Highest IV Rank — 16.0%
  • 2013-09-06: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.47$46.42$48.35$46.42$47.10
Max Pain$45.00$45.00$45.00$45.00$45.00
ATM IV14.6%13.2%16.9%14.5%16.9%
Expected Move4.2%3.8%4.9%4.1%4.8%
HV 20d11.4%8.4%12.9%12.3%8.8%
HV 60d12.3%11.0%14.3%14.2%11.0%
IV Rank11.4%8.5%16.0%11.1%16.0%
IV Percentile23.3%6.0%56.3%19.0%56.3%
Term Structure1.5%-0.1%2.9%0.8%-0.0%
VWIV15.1%13.1%16.9%15.0%13.1%
Skew 25d3.5%0.8%6.2%0.8%4.3%
Skew 10d8.8%1.3%15.1%2.9%7.3%
Call IV 25d13.3%10.1%15.1%12.1%14.1%
Put IV 25d16.8%12.9%19.0%12.9%18.5%
Bid-Ask Spread %48.1435.69121.31121.3143.50
Gamma HHI0.460.220.580.580.24
Net GEX403.8K-50.0K634.5K606.2K100.2K
Net DEX-7.9M-11.6M287.7K-7.4M-2.7M
Net VEX-28.6K-42.3K-13.6K-33.0K-42.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.590.000.00
Total Volume137.302,70020
Total OI4,943.72,4025,1055,0685,105

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$46.42$45.0014.5%4.1%12.3%11.1%0.0%0.8%0.8%606.2K-7.4M-33.0K0.00121.31N/AN/A203,0402,028
2013-09-04$46.74$45.0015.8%4.5%12.4%13.9%0.0%2.6%1.2%535.9K-7.5M-33.8K0.0041.63N/AN/A003,0422,028
2013-09-05$46.88$45.0015.2%4.4%12.3%12.6%15.0%1.0%1.4%536.4K-8.2M-32.3K0.0044.39N/AN/A403,0422,028
2013-09-06$46.91$45.0015.4%4.9%12.2%13.0%0.0%4.3%2.0%533.3K-8.2M-31.8K0.0042.01N/AN/A003,0462,028
2013-09-09$47.41$45.0016.6%4.9%12.7%15.4%16.7%4.3%1.6%489.4K-9.0M-29.2K0.0042.06N/AN/A603,0462,028
2013-09-10$47.44$45.0015.7%4.7%12.5%13.5%0.0%4.5%1.8%540.3K-9.3M-28.5K0.0048.86N/AN/A003,0472,028
2013-09-11$47.83$45.0013.2%4.1%12.8%8.5%14.4%4.3%2.2%508.7K-10.2M-25.5K0.0047.87N/AN/A403,0472,028
2013-09-12$47.55$45.0014.6%4.2%12.9%11.4%15.9%3.8%1.8%515.7K-9.9M-26.2K0.0050.01N/AN/A203,0452,028
2013-09-13$47.56$45.0013.7%3.9%12.7%9.5%0.0%3.0%2.9%504.9K-10.0M-24.8K0.0044.89N/AN/A003,0442,028
2013-09-16$47.57$45.0014.6%4.2%12.5%11.3%0.0%4.2%1.7%536.8K-10.0M-24.3K0.0046.83N/AN/A003,0442,028
2013-09-17$47.82$45.0014.6%4.2%10.8%11.3%16.9%3.5%2.1%477.3K-10.5M-23.4K0.0043.82N/AN/A403,0442,028
2013-09-18$48.35$45.0014.9%4.3%11.2%12.0%13.4%2.8%1.4%373.4K-11.4M-20.8K0.0044.36N/AN/A903,0422,028
2013-09-19$48.24$45.0013.6%3.9%10.9%9.4%0.0%3.1%2.1%408.7K-11.6M-18.6K0.0041.24N/AN/A503,0402,028
2013-09-20$47.87$45.0013.2%3.8%10.9%8.6%13.1%2.2%2.8%475.3K-11.2M-19.5K0.1735.69N/AN/A613,0402,028
2013-09-23$47.65$45.0013.6%3.9%10.9%9.4%0.0%1.6%0.9%634.5K-11.3M-18.5K0.0055.80N/AN/A003,0392,015
2013-09-24$47.51$45.0013.7%3.9%10.9%9.6%0.0%2.7%1.0%-50.0K287.7K-13.6K0.5938.65N/AN/A1,7001,0003872,015
2013-09-25$47.53$45.0013.2%3.8%10.6%8.6%0.0%6.2%1.5%111.8K-3.5M-42.0K0.0045.85N/AN/A302,0873,015
2013-09-26$47.60$45.0013.3%3.8%9.0%8.8%0.0%4.7%1.1%123.7K-3.5M-41.6K0.0037.90N/AN/A002,0903,015
2013-09-27$47.43$45.0015.8%4.5%8.4%13.7%0.0%6.1%-0.1%113.8K-3.3M-41.7K0.0046.15N/AN/A002,0903,015
2013-09-30$47.10$45.0016.9%4.8%8.8%16.0%0.0%4.3%-0.0%100.2K-2.7M-42.3K0.0043.50N/AN/A002,0903,015