IYE Options History — October 2013

In October 2013, IYE traded between $46.49 and $49.49. ATM implied volatility averaged 15.1%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.1% (HV 20d: 12.0%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 6.09.

Notable Days

  • 2013-10-15: Highest Volume — 206 contracts
  • 2013-10-07: Largest IV spike — 25.8% change
  • 2013-10-09: Highest IV Rank — 22.6%
  • 2013-10-09: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.25$46.49$49.49$47.43$49.10
Max Pain$46.10$45.00$49.00$45.00$48.00
ATM IV15.1%12.4%20.1%16.3%12.4%
Expected Move4.3%3.6%5.8%4.7%3.6%
HV 20d12.0%8.7%14.1%8.9%13.4%
HV 60d11.5%10.8%12.0%11.0%11.7%
IV Rank12.4%7.0%22.6%14.8%7.0%
IV Percentile32.9%2.8%84.5%48.8%2.8%
Term Structure0.9%-1.3%2.9%0.6%2.9%
VWIV16.2%13.0%22.9%18.3%13.4%
Skew 25d4.8%1.4%7.6%5.5%1.4%
Skew 10d9.6%2.2%15.1%10.5%2.2%
Call IV 25d12.8%9.6%17.9%12.2%11.9%
Put IV 25d17.7%13.3%22.6%17.7%13.3%
Bid-Ask Spread %44.8231.9358.2343.3332.44
Gamma HHI0.230.190.240.240.23
Net GEX125.1K46.4K184.7K114.8K181.2K
Net DEX-4.3M-6.0M-1.9M-3.3M-5.6M
Net VEX-35.3K-42.2K-27.4K-41.0K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.090.0056.330.000.00
Total Volume25.043020600
Total OI5,030.8264,7295,2875,1054,809

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$47.43$45.0016.3%4.7%8.9%14.8%0.0%5.5%0.6%114.8K-3.3M-41.0K0.0043.33N/AN/A002,0903,015
2013-10-02$47.54$45.0015.0%4.3%8.7%12.2%0.0%6.9%1.1%119.8K-3.4M-40.6K0.0044.85N/AN/A002,0903,015
2013-10-03$47.10$45.0017.1%4.9%9.4%16.5%18.3%5.0%0.3%95.6K-2.8M-41.8K0.0031.93N/AN/A402,0903,015
2013-10-04$47.52$0.0015.0%4.6%9.9%12.2%0.0%4.1%0.5%115.4K-3.4M-40.5K0.0040.59N/AN/A002,0903,015
2013-10-07$47.17$0.0018.9%5.3%9.5%20.2%20.1%4.0%-0.3%96.4K-2.9M-41.0K1.0046.78N/AN/A10102,0903,015
2013-10-08$46.70$45.0019.3%5.7%10.1%20.9%0.0%4.7%-1.3%72.3K-2.2M-42.2K0.0048.49N/AN/A002,1003,025
2013-10-09$46.49$45.0020.1%5.8%9.6%22.6%22.9%4.9%-0.3%75.0K-1.9M-41.8K56.3336.97N/AN/A31692,1003,025
2013-10-10$47.33$45.0017.4%5.0%11.6%17.1%0.0%3.8%0.1%100.2K-3.0M-41.1K0.3345.07N/AN/A312,1003,185
2013-10-11$47.85$45.0016.1%4.6%12.3%14.5%0.0%5.6%0.8%117.1K-3.9M-39.2K0.0047.26N/AN/A002,1023,184
2013-10-14$48.14$45.0016.2%4.6%12.5%14.6%0.0%7.0%0.5%131.3K-4.3M-37.1K0.0056.38N/AN/A7002,1023,184
2013-10-15$47.97$45.0017.2%4.9%12.4%16.7%20.1%7.6%0.2%121.2K-4.1M-38.4K33.3358.23N/AN/A62002,1023,184
2013-10-16$48.62$45.0013.5%3.9%12.7%9.1%0.0%4.7%2.0%46.4K-5.0M-34.5K0.0051.01N/AN/A1002,1023,184
2013-10-17$48.74$45.0012.8%3.7%12.7%7.6%0.0%3.9%2.3%77.8K-5.3M-33.3K0.0051.12N/AN/A202,1023,184
2013-10-18$49.23$45.0013.2%3.8%12.7%8.6%0.0%5.3%2.4%152.5K-6.0M-31.5K0.0046.28N/AN/A502,1033,184
2013-10-21$49.01$45.0013.4%3.8%12.7%9.0%13.0%4.5%0.6%150.5K-5.2M-31.0K0.0044.60N/AN/A071,9552,774
2013-10-22$49.33$46.0013.9%4.0%12.8%10.0%14.0%5.9%1.3%155.6K-5.5M-30.2K0.0045.13N/AN/A801,9552,781
2013-10-23$48.62$46.0013.8%4.0%14.0%9.7%13.6%7.5%1.0%130.6K-4.6M-32.3K0.0051.22N/AN/A0291,9602,781
2013-10-24$48.92$49.0013.2%3.8%14.1%8.5%0.0%4.5%1.2%135.3K-4.9M-32.1K0.3043.59N/AN/A1031,9602,810
2013-10-25$49.10$49.0013.0%3.7%14.0%8.0%0.0%3.7%1.6%167.2K-5.3M-29.4K0.0047.25N/AN/A101,9702,813
2013-10-28$49.15$49.0012.8%3.7%13.7%7.7%13.7%3.2%1.9%162.3K-5.4M-28.8K0.0034.75N/AN/A301,9712,813
2013-10-29$49.49$48.0013.1%3.7%13.6%8.3%13.2%4.6%1.1%175.3K-5.9M-27.8K0.0040.19N/AN/A601,9742,813
2013-10-30$49.19$48.0013.5%3.9%14.0%9.0%13.4%3.2%1.1%184.7K-5.6M-27.4K0.0043.38N/AN/A1601,9802,813
2013-10-31$49.10$48.0012.4%3.6%13.4%7.0%0.0%1.4%2.9%181.2K-5.6M-28.6K0.0032.44N/AN/A001,9962,813