IYE Options History — January 2014

In January 2014, IYE traded between $47.34 and $50.05. ATM implied volatility averaged 14.1%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 0.8% (HV 20d: 13.4%). Max pain ranged from $47.00 to $49.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2014-01-23: Highest Volume — 455 contracts
  • 2014-01-13: Largest IV spike — 32.8% change
  • 2014-01-31: Highest IV Rank — 42.5%
  • 2014-01-31: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.00$47.34$50.05$49.80$47.34
Max Pain$47.19$47.00$49.00$49.00$47.00
ATM IV14.1%12.2%17.9%14.6%17.9%
Expected Move4.1%3.5%5.1%4.2%5.1%
HV 20d13.4%11.5%15.0%12.4%14.1%
HV 60d12.7%12.1%13.2%12.9%13.1%
IV Rank15.8%6.5%42.5%11.3%42.5%
IV Percentile34.5%2.8%88.9%40.9%88.9%
Term Structure0.7%-0.4%2.1%-0.1%-0.4%
VWIV14.2%7.5%17.1%15.0%12.5%
Skew 25d3.6%-0.3%6.2%4.7%3.4%
Skew 10d3.4%-2.5%9.7%3.8%5.7%
Call IV 25d12.2%9.4%15.5%12.6%15.5%
Put IV 25d15.8%13.0%18.9%17.3%18.9%
Bid-Ask Spread %40.1323.4254.1823.4231.00
Gamma HHI0.360.250.480.270.41
Net GEX168.6K-311.4K776.8K-22.3K187.6K
Net DEX-3.2M-4.3M-1.4M-3.3M-1.4M
Net VEX-16.9K-20.8K-13.7K-18.8K-20.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.090.000.00
Total Volume56.2380455303
Total OI5,102.0482,7466,6436,6323,316

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$49.80$49.0014.6%4.2%12.4%11.3%15.0%4.7%-0.1%-22.3K-3.3M-18.8K0.0023.42N/AN/A3001,7764,856
2014-01-03$49.67$49.0013.2%3.8%12.4%8.6%0.0%-0.3%0.2%-26.8K-3.4M-17.8K0.0030.23N/AN/A001,7464,856
2014-01-06$49.67$47.0013.0%3.9%12.3%8.1%0.0%3.4%1.2%-424-3.5M-16.8K0.0054.18N/AN/A1101,7464,856
2014-01-07$50.05$47.0013.3%3.9%12.6%8.7%14.3%3.6%0.9%74.0K-4.1M-15.2K0.0046.36N/AN/A701,7364,856
2014-01-08$49.75$47.0012.9%3.8%12.8%7.9%0.0%4.0%1.2%-29.5K-3.8M-15.7K0.0046.90N/AN/A001,7434,856
2014-01-09$49.58$47.0012.8%3.9%12.8%7.8%0.0%3.3%0.6%41.3K-3.6M-15.8K0.0038.78N/AN/A001,7434,856
2014-01-10$49.68$47.0012.3%3.9%11.5%6.6%0.0%3.6%1.1%120.3K-3.9M-15.0K0.0039.55N/AN/A001,7434,856
2014-01-13$48.66$47.0016.3%4.1%13.8%14.8%15.5%3.0%0.6%-311.4K-1.6M-17.3K0.0038.91N/AN/A1101,7434,856
2014-01-14$49.28$47.0013.1%3.8%14.3%8.2%16.8%2.8%1.6%241.8K-3.6M-14.2K0.0036.53N/AN/A1401,7384,856
2014-01-15$49.13$47.0015.0%3.9%13.9%12.2%13.5%2.6%1.4%175.1K-3.5M-14.4K0.0049.51N/AN/A3201,7504,856
2014-01-16$49.21$47.0013.2%3.8%13.7%8.4%7.5%4.8%0.7%776.8K-3.9M-13.7K0.0045.09N/AN/A501,7824,856
2014-01-17$49.17$47.0012.9%3.7%12.6%7.8%0.0%5.1%2.1%703.0K-4.0M-13.7K0.0038.65N/AN/A40201,7874,856
2014-01-21$49.41$47.0013.3%3.8%12.7%8.7%0.0%4.9%1.1%208.9K-4.1M-15.1K0.0034.96N/AN/A3801,3641,382
2014-01-22$49.60$47.0012.2%3.5%12.7%6.5%0.0%2.6%0.6%212.1K-4.3M-14.0K0.0037.26N/AN/A101,3641,382
2014-01-23$49.08$47.0014.0%4.0%13.2%10.1%0.0%4.1%0.1%221.9K-3.8M-15.3K1.0938.11N/AN/A2182371,3651,382
2014-01-24$48.03$47.0014.5%4.2%15.0%26.5%13.4%2.8%1.3%184.1K-2.2M-20.0K0.0044.03N/AN/A201,5831,619
2014-01-27$47.81$47.0014.8%4.3%14.5%28.0%0.0%3.6%1.6%186.7K-2.0M-20.0K0.7540.43N/AN/A40301,5831,619
2014-01-28$48.20$47.0015.8%4.5%14.7%32.8%15.8%6.2%-0.2%197.5K-2.3M-20.1K0.0046.00N/AN/A1901,6231,649
2014-01-29$47.92$47.0016.3%4.7%14.6%34.8%17.1%3.6%0.2%194.3K-2.1M-20.8K0.0046.98N/AN/A3601,6421,649
2014-01-30$47.97$47.0015.6%4.5%14.2%31.4%12.5%2.9%-0.1%205.1K-2.3M-19.9K0.0035.73N/AN/A4501,6671,649
2014-01-31$47.34$47.0017.9%5.1%14.1%42.5%0.0%3.4%-0.4%187.6K-1.4M-20.8K0.0031.00N/AN/A301,6671,649