IYE Options History — May 2014

In May 2014, IYE traded between $53.13 and $54.28. ATM implied volatility averaged 12.7%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 2.1% (HV 20d: 10.7%). Max pain ranged from $51.00 to $53.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-05-15: Highest Volume — 438 contracts
  • 2014-05-12: Largest IV drop — 19.9% change
  • 2014-05-01: Highest IV Rank — 19.3%
  • 2014-05-01: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.67$53.13$54.28$53.36$54.19
Max Pain$51.76$51.00$53.00$52.00$52.00
ATM IV12.7%10.8%15.8%15.8%11.5%
Expected Move3.7%3.1%4.5%4.5%3.3%
HV 20d10.7%9.5%12.8%12.8%10.2%
HV 60d11.5%10.9%12.1%12.1%10.9%
IV Rank10.6%5.2%19.3%19.3%7.0%
IV Percentile17.6%1.2%67.5%67.5%4.0%
Term Structure0.4%-1.1%1.6%-1.1%1.5%
VWIV13.4%9.9%14.9%14.9%9.9%
Skew 25d3.2%1.2%5.9%3.6%2.2%
Skew 10d5.6%-1.0%10.2%1.1%1.5%
Call IV 25d11.8%10.1%14.0%13.0%10.8%
Put IV 25d15.0%12.8%16.7%16.6%12.9%
Bid-Ask Spread %91.0774.31120.38120.3894.77
Gamma HHI0.320.200.580.310.22
Net GEX40.9K-175.2K114.1K82.1K108.8K
Net DEX-1.1M-1.4M-458.7K-1.1M-1.4M
Net VEX-10.3K-15.1K-9.4K-10.4K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.005.000.001.00
Total Volume49.619043810130
Total OI1,042.6679141,4879271,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$53.36$52.0015.8%4.5%12.8%19.3%0.0%3.6%-1.1%82.1K-1.1M-10.4K0.00120.38N/AN/A100634293
2014-05-02$53.50$52.0014.5%4.2%12.8%15.7%14.9%5.9%0.3%87.0K-1.2M-10.5K0.00100.45N/AN/A0226644293
2014-05-05$53.74$51.0013.9%3.9%12.7%13.9%0.0%4.5%0.0%-23.3K-958.9K-10.3K0.0086.06N/AN/A00644424
2014-05-06$53.80$51.0012.3%3.8%10.8%9.3%0.0%4.2%0.2%-768-1.1M-10.6K0.0680.89N/AN/A161644424
2014-05-07$54.27$51.0013.3%3.8%10.7%12.1%0.0%3.6%0.0%-6.3K-1.4M-10.2K0.0082.32N/AN/A00655425
2014-05-08$53.40$51.0013.9%4.4%12.6%13.8%0.0%2.0%-1.0%-16.4K-1.1M-10.7K5.0086.85N/AN/A210655425
2014-05-09$53.41$51.0014.6%4.1%11.1%15.9%14.5%3.0%-0.2%-30.1K-886.7K-10.5K0.1079.97N/AN/A101656425
2014-05-12$53.72$51.0011.7%3.9%11.0%7.6%14.2%2.4%-0.0%-49.7K-1.2M-10.1K0.6774.31N/AN/A3624666425
2014-05-13$53.96$51.0013.1%3.8%10.4%11.6%0.0%3.0%0.4%114.1K-1.4M-9.9K0.0086.27N/AN/A00675425
2014-05-14$53.91$51.0012.5%3.7%9.7%10.0%0.0%2.9%-0.1%48.6K-1.4M-10.0K0.0084.12N/AN/A00675425
2014-05-15$53.26$53.0014.0%4.0%10.1%14.1%13.6%1.2%0.7%-78.8K-882.7K-9.8K0.9691.69N/AN/A223215651401
2014-05-16$53.13$53.0012.9%3.7%9.6%11.2%0.0%3.9%0.7%-175.2K-458.7K-15.1K0.0089.46N/AN/A10871616
2014-05-19$53.30$53.0013.4%3.8%9.5%12.5%13.5%3.6%0.1%97.6K-1.1M-9.4K1.0083.60N/AN/A66644270
2014-05-20$53.18$52.0012.5%3.6%9.5%9.9%0.0%3.5%0.6%101.4K-1.1M-9.4K0.0090.44N/AN/A052650276
2014-05-21$53.78$52.0011.2%3.2%10.2%6.2%0.0%4.0%1.6%98.8K-1.0M-9.7K0.0091.67N/AN/A00649328
2014-05-22$53.72$52.0011.2%3.2%10.2%6.2%0.0%2.8%1.3%93.5K-1.1M-9.8K0.0093.91N/AN/A100649328
2014-05-23$53.59$52.0011.5%3.3%10.0%7.0%0.0%3.1%0.7%93.9K-1.0M-10.0K0.0099.69N/AN/A100649328
2014-05-27$53.75$52.0011.6%3.3%10.0%7.5%0.0%2.2%0.2%103.6K-1.1M-9.7K0.0097.80N/AN/A00659328
2014-05-28$53.90$52.0011.3%3.3%9.9%6.6%0.0%3.0%0.6%99.7K-1.1M-9.5K0.0097.60N/AN/A530659328
2014-05-29$54.28$52.0010.8%3.1%10.2%5.2%0.0%2.7%0.9%109.7K-1.3M-10.1K0.00100.20N/AN/A00712328
2014-05-30$54.19$52.0011.5%3.3%10.2%7.0%9.9%2.2%1.5%108.8K-1.4M-10.3K1.0094.77N/AN/A6565712328