IYE Options History — November 2013

In November 2013, IYE traded between $48.71 and $50.33. ATM implied volatility averaged 13.4%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.0% (HV 20d: 13.3%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 40.97.

Notable Days

  • 2013-11-04: Highest Volume — 1,003 contracts
  • 2013-11-05: Largest IV spike — 14.1% change
  • 2013-11-07: Highest IV Rank — 12.2%
  • 2013-11-07: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.53$48.71$50.33$48.91$48.92
Max Pain$48.95$48.00$49.00$48.00$49.00
ATM IV13.4%12.2%15.0%12.9%13.0%
Expected Move3.9%3.6%4.4%3.7%3.7%
HV 20d13.3%12.4%14.1%13.3%13.6%
HV 60d12.2%11.7%12.7%11.7%12.2%
IV Rank8.9%6.6%12.2%7.9%8.2%
IV Percentile13.7%1.6%39.3%6.0%9.5%
Term Structure0.8%-0.1%1.8%1.0%0.6%
VWIV13.0%12.6%13.6%13.6%12.9%
Skew 25d3.9%1.9%7.8%7.8%5.2%
Skew 10d6.9%2.0%11.8%8.3%2.0%
Call IV 25d11.8%9.5%13.5%9.5%10.5%
Put IV 25d15.7%14.1%17.8%17.3%15.7%
Bid-Ask Spread %52.5938.4163.5538.4142.03
Gamma HHI0.240.210.260.230.22
Net GEX48.3K-94.3K188.0K168.1K-83.4K
Net DEX-5.3M-6.7M-3.9M-5.2M-3.9M
Net VEX-31.9K-36.9K-26.4K-29.3K-36.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio40.970.00333.33333.330.00
Total Volume134.5501,00302
Total OI6,144.254,8097,2204,8097,220

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$48.91$48.0012.9%3.7%13.3%7.9%0.0%7.8%1.0%168.1K-5.2M-29.3K0.0038.41N/AN/A001,9962,813
2013-11-04$49.58$49.0012.2%3.9%13.6%6.6%13.6%4.0%0.8%188.0K-6.1M-26.4K333.3362.75N/AN/A31,0001,9962,813
2013-11-05$49.20$49.0014.0%4.1%13.3%10.1%0.0%2.9%1.1%93.0K-5.0M-34.8K0.0059.99N/AN/A001,9993,813
2013-11-06$49.41$49.0013.7%4.3%13.0%9.5%0.0%3.0%0.0%126.2K-5.5M-33.0K0.0063.55N/AN/A001,9993,813
2013-11-07$48.71$49.0015.0%4.4%13.2%12.2%0.0%4.3%0.7%84.5K-4.3M-36.9K0.0055.22N/AN/A001,9993,813
2013-11-08$49.46$49.0013.2%4.3%13.7%8.4%0.0%4.7%0.8%102.9K-5.1M-34.6K0.0056.81N/AN/A301,9993,813
2013-11-11$49.60$49.0013.8%3.9%13.6%9.7%0.0%3.3%0.9%128.4K-5.7M-31.7K0.0050.34N/AN/A001,9963,813
2013-11-12$49.11$49.0014.5%4.1%14.1%11.1%0.0%3.0%0.6%134.4K-5.1M-32.4K0.0057.46N/AN/A001,9963,813
2013-11-13$49.45$49.0014.3%4.0%13.5%10.8%0.0%4.6%0.6%145.5K-5.5M-31.2K0.0057.47N/AN/A4501,9963,813
2013-11-14$49.82$49.0013.7%3.9%13.7%9.6%0.0%4.2%0.4%154.3K-6.3M-29.2K0.0052.89N/AN/A2402,0413,813
2013-11-15$50.15$49.0012.9%3.7%13.4%7.9%0.0%4.8%1.8%160.9K-6.7M-27.7K116.6761.74N/AN/A67002,0493,813
2013-11-18$49.75$49.0013.6%3.9%13.7%9.3%0.0%2.6%-0.0%3.9K-5.4M-30.8K0.0051.84N/AN/A03002,0214,340
2013-11-19$49.77$49.0013.3%3.8%13.5%8.6%0.0%3.5%0.6%-94.3K-4.7M-34.9K0.0048.36N/AN/A102,0214,640
2013-11-20$49.59$49.0013.1%3.7%12.4%8.2%0.0%2.4%1.7%-77.8K-4.8M-32.7K0.0049.68N/AN/A1702,0224,640
2013-11-21$50.06$49.0012.7%3.6%12.7%7.4%12.6%4.0%1.0%-49.8K-5.6M-30.6K0.0052.71N/AN/A1202,0394,640
2013-11-22$50.33$49.0012.7%3.6%12.7%7.4%12.9%4.7%0.8%-36.4K-6.0M-29.5K0.0054.15N/AN/A102,0514,640
2013-11-25$49.82$49.0012.6%3.6%13.4%7.4%0.0%1.9%0.8%-66.0K-5.4M-31.9K0.0050.98N/AN/A002,0524,640
2013-11-26$49.71$49.0012.8%3.7%13.2%7.7%0.0%3.5%-0.1%-56.3K-5.4M-29.9K0.7043.26N/AN/A3382372,0524,640
2013-11-27$49.32$49.0013.6%3.9%13.3%9.4%0.0%4.4%1.0%-60.1K-4.1M-34.5K0.0042.08N/AN/A022,3634,855
2013-11-29$48.92$49.0013.0%3.7%13.6%8.2%0.0%5.2%0.6%-83.4K-3.9M-36.0K0.0042.03N/AN/A202,3634,857