IYE Options History — June 2014

In June 2014, IYE traded between $54.10 and $57.72. ATM implied volatility averaged 12.3%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 3.3% (HV 20d: 8.9%). Max pain ranged from $50.00 to $56.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-06-17: Highest Volume — 120 contracts
  • 2014-06-20: Largest IV drop — 42.3% change
  • 2014-06-19: Highest IV Rank — 22.5%
  • 2014-06-19: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.88$54.10$57.72$54.10$56.80
Max Pain$52.57$50.00$56.00$55.00$56.00
ATM IV12.3%9.8%16.9%11.7%12.4%
Expected Move3.6%2.8%4.8%3.3%3.6%
HV 20d8.9%6.1%12.3%10.2%12.0%
HV 60d10.7%10.2%11.6%10.9%11.6%
IV Rank9.3%2.1%22.5%7.5%9.7%
IV Percentile16.1%0.8%85.3%5.2%14.3%
Term Structure1.0%-1.1%4.7%1.2%-1.1%
VWIV12.6%9.5%14.2%11.3%14.2%
Skew 25d2.6%-4.7%5.4%0.4%2.8%
Skew 10d3.9%-4.9%8.3%-4.9%3.4%
Call IV 25d11.3%8.3%19.3%13.0%11.5%
Put IV 25d14.0%12.4%15.1%13.3%14.4%
Bid-Ask Spread %94.8384.27113.77101.16100.06
Gamma HHI0.170.110.300.210.17
Net GEX74.0K29.7K144.1K103.5K37.9K
Net DEX-2.0M-3.7M-791.7K-1.2M-1.0M
Net VEX-10.5K-11.2K-9.5K-10.7K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.009.910.001.30
Total Volume2801202020
Total OI1,222.8579321,5001,1701,043

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$54.10$55.0011.7%3.3%10.2%7.5%11.3%0.4%1.2%103.5K-1.2M-10.7K0.00101.16N/AN/A200777393
2014-06-03$54.28$55.0012.3%3.5%10.1%9.4%0.0%3.3%0.5%121.3K-1.3M-10.6K0.0099.26N/AN/A00797393
2014-06-04$54.26$55.0012.1%3.5%10.1%8.8%0.0%1.7%0.5%121.6K-1.3M-10.8K0.0097.72N/AN/A00797393
2014-06-05$54.54$55.0010.9%3.1%9.8%5.4%0.0%3.5%1.3%117.2K-1.5M-10.7K0.0099.66N/AN/A250797393
2014-06-06$55.05$50.0011.5%3.4%8.2%7.0%0.0%2.2%4.7%144.1K-1.9M-10.2K0.0087.61N/AN/A120822393
2014-06-09$55.08$50.0011.3%3.4%8.2%6.4%0.0%3.3%1.0%103.3K-2.0M-10.6K0.2989.98N/AN/A3410824393
2014-06-10$55.02$50.0011.1%3.7%8.1%5.9%0.0%2.7%1.6%104.3K-2.0M-10.6K0.0086.06N/AN/A10854403
2014-06-11$55.24$50.0011.3%3.5%8.0%6.5%0.0%3.6%1.4%101.8K-2.0M-10.8K0.0089.79N/AN/A00855403
2014-06-12$55.44$50.0013.0%3.7%8.0%11.3%11.6%2.9%1.4%77.3K-2.3M-10.3K1.6793.46N/AN/A610852403
2014-06-13$56.00$50.0012.3%3.5%6.9%9.3%12.9%2.4%1.7%29.7K-2.6M-9.5K0.4784.27N/AN/A3215858413
2014-06-16$56.27$50.0013.5%3.9%6.7%12.8%13.6%5.1%2.0%76.1K-2.9M-9.9K0.0387.15N/AN/A592890428
2014-06-17$56.18$50.0013.3%3.8%6.8%12.2%13.5%3.0%0.8%93.4K-3.0M-10.1K9.9184.71N/AN/A11109941430
2014-06-18$56.66$51.0012.2%3.5%6.9%8.9%0.0%2.9%1.8%45.3K-3.0M-10.6K0.0090.17N/AN/A490952519
2014-06-19$56.95$51.0016.9%4.8%6.3%22.5%0.0%-4.7%-0.9%41.5K-3.3M-11.2K0.00113.77N/AN/A150991509
2014-06-20$57.51$51.009.8%2.8%6.5%2.1%9.5%1.8%2.2%42.2K-3.7M-10.2K0.33101.91N/AN/A31991509
2014-06-23$57.72$51.0011.1%3.2%6.1%6.0%0.0%5.4%1.3%48.2K-3.1M-10.2K0.0096.33N/AN/A120854395
2014-06-24$56.25$56.0013.1%3.8%12.2%11.7%13.5%2.7%1.3%38.4K-836.3K-10.2K1.1199.63N/AN/A4651537395
2014-06-25$56.67$56.0011.8%3.4%12.3%8.1%12.8%5.3%-0.1%34.2K-791.7K-10.6K0.2098.05N/AN/A153582436
2014-06-26$56.70$56.0013.6%3.9%12.2%13.0%13.1%2.2%-0.9%38.3K-894.3K-10.8K1.3097.56N/AN/A1013593433
2014-06-27$56.72$56.0012.9%3.7%12.1%11.2%14.2%2.2%0.3%33.7K-901.0K-10.8K0.0093.20N/AN/A04598441
2014-06-30$56.80$56.0012.4%3.6%12.0%9.7%0.0%2.8%-1.1%37.9K-1.0M-10.4K0.00100.06N/AN/A020598445