IYE Options History — December 2013

In December 2013, IYE traded between $48.43 and $50.49. ATM implied volatility averaged 13.9%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 11.5%). Max pain ranged from $48.00 to $49.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.03.

Notable Days

  • 2013-12-16: Highest Volume — 60 contracts
  • 2013-12-11: Largest IV spike — 22.7% change
  • 2013-12-11: Highest IV Rank — 15.9%
  • 2013-12-13: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.39$48.43$50.49$49.33$50.49
Max Pain$48.38$48.00$49.00$49.00$49.00
ATM IV13.9%10.9%16.8%14.5%13.9%
Expected Move4.0%3.1%4.6%4.2%4.0%
HV 20d11.5%10.2%13.9%13.9%11.2%
HV 60d12.4%12.0%12.7%12.3%12.7%
IV Rank10.0%3.7%15.9%11.2%9.9%
IV Percentile29.8%0.8%71.8%35.7%27.4%
Term Structure1.3%-0.5%3.2%-0.1%0.0%
VWIV15.0%11.5%17.7%17.4%11.5%
Skew 25d4.0%1.3%5.9%3.6%4.8%
Skew 10d5.7%1.2%12.4%3.4%4.9%
Call IV 25d11.7%8.3%14.8%11.6%9.5%
Put IV 25d15.7%12.2%18.0%15.2%14.3%
Bid-Ask Spread %45.9729.2875.4841.6730.33
Gamma HHI0.240.220.300.230.25
Net GEX-27.3K-97.5K60.0K-55.3K60.0K
Net DEX-4.1M-6.9M-2.5M-4.2M-4.6M
Net VEX-26.5K-33.3K-16.3K-32.5K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.030.000.200.000.13
Total Volume14.33306009
Total OI7,081.5246,5397,3957,2226,623

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$49.33$49.0014.5%4.2%13.9%11.2%0.0%3.6%-0.1%-55.3K-4.2M-32.5K0.0041.67N/AN/A002,3654,857
2013-12-03$49.40$49.0015.0%4.3%13.0%12.3%17.4%5.6%-0.2%-51.1K-4.2M-32.7K0.0043.35N/AN/A1502,3654,857
2013-12-04$49.28$48.0014.8%4.2%12.7%11.7%16.0%4.4%0.7%-54.3K-4.0M-33.3K0.0042.97N/AN/A1502,3804,857
2013-12-05$49.11$48.0015.8%4.5%12.7%13.8%0.0%3.0%-0.5%-55.9K-3.9M-32.7K0.0049.43N/AN/A002,3804,857
2013-12-06$49.26$48.0013.6%4.0%11.6%9.3%0.0%4.3%2.4%-51.5K-4.1M-31.6K0.0075.48N/AN/A002,3804,857
2013-12-09$49.28$48.0014.8%4.1%10.2%11.8%0.0%2.7%2.2%-38.4K-4.5M-29.5K0.0054.91N/AN/A002,3804,857
2013-12-10$49.16$48.0013.7%4.1%10.2%9.5%0.0%3.4%2.3%-40.0K-4.2M-29.9K0.0059.35N/AN/A002,3804,857
2013-12-11$48.43$48.0016.8%4.5%10.9%15.9%0.0%2.1%0.4%-81.1K-2.5M-32.3K0.0052.68N/AN/A102,3804,857
2013-12-12$48.67$48.0014.6%4.2%10.8%11.3%17.7%4.2%2.1%-68.8K-3.0M-31.9K0.0554.58N/AN/A5632,3804,857
2013-12-13$48.44$48.0016.0%4.6%10.4%14.3%0.0%3.7%1.3%-52.6K-2.7M-31.7K0.0057.71N/AN/A002,4304,857
2013-12-16$48.97$48.0015.5%4.4%10.9%13.2%16.3%5.0%1.2%-28.5K-3.9M-29.3K0.0047.56N/AN/A6002,4304,857
2013-12-17$48.70$48.0015.5%4.4%10.7%13.1%0.0%4.1%0.8%-6.5K-3.6M-29.9K0.0043.60N/AN/A002,4904,857
2013-12-18$49.46$48.0014.1%4.0%12.2%10.3%14.2%5.9%1.5%50.1K-5.3M-25.3K0.0048.40N/AN/A2102,4904,857
2013-12-19$49.54$48.0012.2%3.5%12.2%6.5%13.7%4.9%2.3%22.4K-5.9M-24.2K0.0047.54N/AN/A3002,5114,854
2013-12-20$49.69$48.0011.8%3.4%11.7%5.7%0.0%5.6%3.2%-97.5K-6.9M-21.7K0.0041.64N/AN/A102,5414,854
2013-12-23$49.51$49.0011.5%3.3%11.6%5.0%13.5%1.3%1.9%-77.2K-2.7M-20.6K0.0034.67N/AN/A5601,6854,854
2013-12-24$49.78$49.0010.9%3.1%11.2%3.7%0.0%5.3%2.3%-38.6K-3.1M-20.1K0.0037.41N/AN/A001,7414,854
2013-12-26$50.20$49.0012.3%3.5%11.6%6.8%0.0%3.4%1.3%6.3K-4.0M-18.7K0.0029.28N/AN/A1201,7414,854
2013-12-27$50.47$49.0012.4%3.6%11.3%6.9%0.0%4.4%1.1%40.1K-4.4M-16.9K0.0043.08N/AN/A1601,7534,854
2013-12-30$50.08$49.0012.8%3.7%11.2%7.7%14.4%2.6%0.9%45.9K-4.3M-16.3K0.2029.65N/AN/A511,7684,854
2013-12-31$50.49$49.0013.9%4.0%11.2%9.9%11.5%4.8%0.0%60.0K-4.6M-16.3K0.1330.33N/AN/A811,7684,855