IYE Options History — April 2014

In April 2014, IYE traded between $50.59 and $53.50. ATM implied volatility averaged 19.2%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 7.0% (HV 20d: 12.2%). Max pain ranged from $51.00 to $52.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2014-04-21: Highest Volume — 430 contracts
  • 2014-04-07: Largest IV spike — 173.2% change
  • 2014-04-02: Highest IV Rank — 100.0%
  • 2014-04-02: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.20$50.59$53.50$51.28$53.50
Max Pain$51.19$51.00$52.00$51.00$52.00
ATM IV19.2%13.4%44.0%31.5%14.6%
Expected Move5.1%3.9%9.4%9.0%4.2%
HV 20d12.2%10.0%13.3%10.9%12.8%
HV 60d13.6%12.2%14.4%13.8%12.2%
IV Rank32.9%12.4%100.0%94.7%15.9%
IV Percentile63.3%21.0%100.0%99.6%45.2%
Term Structure0.1%-7.4%26.1%-7.4%1.5%
VWIV13.1%11.3%14.4%13.5%12.6%
Skew 25d5.8%-0.5%46.8%46.8%2.8%
Skew 10d5.1%-46.3%81.8%81.8%14.8%
Call IV 25d13.3%9.9%19.8%18.9%12.8%
Put IV 25d19.2%10.8%65.7%65.7%15.6%
Bid-Ask Spread %121.3298.98146.85137.10134.41
Gamma HHI0.350.300.450.450.31
Net GEX89.9K69.9K117.8K69.9K88.1K
Net DEX-1.4M-2.9M-926.2K-1.6M-1.1M
Net VEX-7.3K-10.4K-4.1K-5.3K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0021.000.000.00
Total Volume29.905043040
Total OI1,342.8574212,0742,074927

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$51.28$51.0031.5%9.0%10.9%94.7%0.0%46.8%-7.4%69.9K-1.6M-5.3K0.00137.10N/AN/A406901,384
2014-04-02$51.49$51.0032.8%9.4%10.1%100.0%13.5%4.7%-4.9%106.5K-1.6M-6.7K0.00146.85N/AN/A70690910
2014-04-03$51.70$51.0014.4%4.1%10.0%22.7%11.3%2.1%-1.1%93.4K-1.8M-6.5K0.00139.17N/AN/A210686910
2014-04-04$51.49$51.0016.1%4.5%10.2%29.9%0.0%3.8%-0.4%89.3K-1.5M-6.7K0.00103.90N/AN/A100681910
2014-04-07$50.68$51.0044.0%4.4%11.9%100.0%0.0%2.9%1.0%86.5K-950.2K-6.5K0.0098.98N/AN/A160691910
2014-04-08$51.19$51.0013.4%4.3%11.3%12.4%0.0%7.1%-0.5%106.6K-1.2M-6.2K0.00100.89N/AN/A00707910
2014-04-09$51.46$51.0015.6%3.9%11.3%18.8%0.0%2.0%3.6%89.2K-1.5M-6.4K0.00121.64N/AN/A00707910
2014-04-10$50.75$51.0032.3%9.2%12.0%66.4%13.5%3.1%-6.3%92.4K-926.2K-6.3K1.18110.61N/AN/A1113707910
2014-04-11$50.59$51.0015.3%4.4%12.1%17.8%0.0%7.6%-1.1%79.7K-999.3K-6.4K0.00117.86N/AN/A03718923
2014-04-14$51.23$51.0019.5%5.6%12.7%29.9%0.0%5.7%-3.3%106.0K-1.2M-5.6K0.00120.55N/AN/A00713924
2014-04-15$51.89$51.0020.4%5.8%13.0%32.5%0.0%5.3%-7.4%98.3K-1.8M-5.6K0.00131.62N/AN/A00713924
2014-04-16$52.54$51.0014.2%4.1%13.0%14.9%14.4%5.6%-0.6%103.7K-2.5M-4.8K0.00120.17N/AN/A190703924
2014-04-17$53.03$51.0014.3%4.1%13.2%15.2%0.0%4.7%0.8%117.8K-2.9M-4.4K0.00125.88N/AN/A130721924
2014-04-21$53.33$51.0015.5%4.4%13.2%18.4%0.0%4.3%26.1%84.2K-1.4M-4.1K1.00122.73N/AN/A21521538833
2014-04-22$53.25$51.0014.8%4.2%13.2%16.4%0.0%3.1%-0.5%80.7K-1.1M-10.3K0.00109.02N/AN/A00603248
2014-04-23$53.50$51.0014.5%4.1%13.2%15.6%0.0%3.3%1.9%79.2K-1.1M-10.0K21.00125.31N/AN/A121603248
2014-04-24$53.44$51.0015.0%4.3%13.1%17.0%12.6%-0.5%1.9%74.6K-1.1M-10.3K0.83128.57N/AN/A2924604269
2014-04-25$53.13$52.0014.8%4.3%13.3%16.6%0.0%2.4%0.3%79.4K-983.1K-10.3K0.00114.67N/AN/A30633293
2014-04-28$53.19$52.0016.4%4.7%12.8%21.1%0.0%2.1%-1.9%80.6K-989.8K-10.4K0.00115.47N/AN/A30631293
2014-04-29$53.48$52.0014.5%4.2%12.8%15.7%0.0%3.6%-0.1%81.4K-1.2M-10.4K0.00122.26N/AN/A00634293
2014-04-30$53.50$52.0014.6%4.2%12.8%15.9%0.0%2.8%1.5%88.1K-1.1M-10.1K0.00134.41N/AN/A00634293