IYE Options History — March 2014

In March 2014, IYE traded between $49.12 and $50.98. ATM implied volatility averaged 17.1%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 5.0% (HV 20d: 12.0%). Max pain ranged from $44.00 to $51.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2014-03-10: Highest Volume — 2,000 contracts
  • 2014-03-21: Largest IV spike — 74.3% change
  • 2014-03-17: Highest IV Rank — 100.0%
  • 2014-03-21: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.91$49.12$50.98$49.63$50.98
Max Pain$47.38$44.00$51.00$44.00$51.00
ATM IV17.1%9.6%32.7%14.9%15.3%
Expected Move5.0%2.7%9.4%4.3%4.4%
HV 20d12.0%10.4%15.0%15.0%11.2%
HV 60d14.1%13.7%14.4%14.0%13.7%
IV Rank47.7%2.3%100.0%49.9%26.3%
IV Percentile59.4%0.4%100.0%52.8%59.1%
Term Structure1.0%-12.4%13.6%0.9%1.8%
VWIV15.4%8.1%28.1%14.7%10.2%
Skew 25d3.3%-4.1%13.8%3.0%2.1%
Skew 10d3.5%-25.2%28.5%0.8%4.3%
Call IV 25d13.8%9.5%22.9%14.3%12.3%
Put IV 25d17.1%12.2%34.1%17.3%14.4%
Bid-Ask Spread %97.5933.81146.9637.7183.11
Gamma HHI0.450.320.760.410.36
Net GEX-38.2K-774.9K396.5K250.6K87.9K
Net DEX-3.3M-5.7M-334.0K-4.8M-1.1M
Net VEX-11.3K-15.9K-6.5K-13.2K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.330.000.00
Total Volume112.90502,000302
Total OI3,529.9052,0544,5283,4412,076

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$49.63$44.0014.9%4.3%15.0%49.9%14.7%3.0%0.9%250.6K-4.8M-13.2K0.0037.71N/AN/A3001,7801,661
2014-03-04$50.15$44.0014.8%4.2%13.0%48.8%15.2%3.5%0.8%245.7K-5.5M-12.9K0.0034.54N/AN/A1301,8051,661
2014-03-05$49.66$44.0014.3%4.1%13.7%45.1%0.0%5.5%1.1%272.6K-4.9M-13.0K0.0033.81N/AN/A14001,8151,661
2014-03-06$49.94$44.0020.6%5.9%12.9%98.6%0.0%-0.3%-1.5%396.5K-5.7M-10.2K0.00138.68N/AN/A001,8441,661
2014-03-07$50.12$47.0013.8%4.2%12.2%40.8%0.0%3.2%1.6%312.8K-5.3M-11.7K0.0050.66N/AN/A001,7841,661
2014-03-10$50.22$47.0014.3%4.2%11.8%44.8%0.0%3.7%1.3%304.9K-5.4M-11.5K0.0047.11N/AN/A02,0001,7841,661
2014-03-11$49.58$47.0014.9%4.3%12.7%50.5%12.7%3.0%1.3%-394.2K-3.1M-15.5K1.3342.80N/AN/A30401,7842,661
2014-03-12$49.59$47.0013.4%5.7%11.9%37.6%0.0%8.6%1.0%-461.2K-3.3M-15.0K0.00118.67N/AN/A0101,8142,701
2014-03-13$49.12$47.0016.2%4.7%12.5%61.4%0.0%1.2%1.4%-390.9K-2.3M-15.7K0.0092.81N/AN/A001,8142,711
2014-03-14$49.23$47.0018.2%5.2%12.4%78.4%0.0%7.6%3.1%-368.9K-2.3M-15.9K0.0093.16N/AN/A001,8142,711
2014-03-17$49.51$47.0031.4%9.0%11.5%100.0%0.0%-1.8%-12.4%-122.3K-2.8M-14.9K0.00135.05N/AN/A001,8142,711
2014-03-18$49.96$47.0015.1%4.3%11.8%27.4%14.3%8.0%1.1%-774.9K-4.7M-11.6K0.00124.23N/AN/A301,8142,711
2014-03-19$49.57$47.0011.2%3.2%12.2%9.9%0.0%-3.8%0.3%-184.9K-3.0M-12.6K0.00146.96N/AN/A001,8172,711
2014-03-20$49.81$47.0018.8%5.4%12.0%43.7%16.2%-3.8%2.7%-614.0K-4.7M-8.2K0.00128.66N/AN/A2501,8172,374
2014-03-21$49.94$47.0032.7%9.4%11.8%100.0%28.1%13.8%-6.5%81.5K-2.6M-13.9K0.00144.72N/AN/A0101,8272,374
2014-03-24$49.88$47.0016.5%4.7%10.4%31.6%15.8%2.5%5.7%241.1K-5.2M-7.5K0.00126.09N/AN/A2701,6611,384
2014-03-25$50.08$51.0020.6%5.9%10.5%48.6%18.6%7.2%2.6%71.4K-347.4K-6.9K0.00132.64N/AN/A906701,384
2014-03-26$49.88$51.0017.9%5.1%10.4%37.5%0.0%4.6%0.5%71.2K-334.0K-7.1K0.00128.62N/AN/A306791,384
2014-03-27$50.33$51.009.6%2.7%10.8%2.3%8.1%-4.1%13.6%88.3K-350.9K-6.5K0.00123.81N/AN/A506821,384
2014-03-28$50.96$51.0013.6%3.9%11.5%19.4%10.2%6.0%1.0%85.6K-981.9K-7.2K0.0085.65N/AN/A2406821,384
2014-03-31$50.98$51.0015.3%4.4%11.2%26.3%0.0%2.1%1.8%87.9K-1.1M-7.1K0.0083.11N/AN/A206921,384