IYE Options History — July 2014

In July 2014, IYE traded between $54.77 and $57.18. ATM implied volatility averaged 13.4%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 0.4% (HV 20d: 13.1%). Max pain ranged from $56.00 to $56.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-07-31: Highest Volume — 88 contracts
  • 2014-07-23: Largest IV spike — 33.0% change
  • 2014-07-30: Highest IV Rank — 25.2%
  • 2014-07-30: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.48$54.77$57.18$56.85$54.77
Max Pain$56.00$56.00$56.00$56.00$56.00
ATM IV13.4%9.7%17.9%11.5%17.8%
Expected Move3.9%2.8%5.1%3.3%5.1%
HV 20d13.1%11.5%15.2%12.1%14.7%
HV 60d11.1%10.4%12.5%11.5%12.5%
IV Rank12.6%2.1%25.2%7.2%25.2%
IV Percentile39.6%0.8%91.7%7.5%91.3%
Term Structure0.5%-3.9%2.0%1.4%-1.8%
VWIV13.6%12.1%18.4%14.3%18.4%
Skew 25d1.0%-6.0%3.9%1.8%-5.1%
Skew 10d3.5%-10.8%18.4%3.5%-10.8%
Call IV 25d13.6%8.3%19.9%12.1%19.9%
Put IV 25d14.6%11.6%17.0%13.9%14.8%
Bid-Ask Spread %102.6283.03123.3893.50108.56
Gamma HHI0.190.140.260.170.14
Net GEX43.0K18.9K65.0K32.4K32.8K
Net DEX-866.2K-1.2M-323.5K-1.0M-323.5K
Net VEX-10.0K-10.6K-9.2K-10.4K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.003.700.130.83
Total Volume20.5088988
Total OI1,069.9099871,2011,0531,013

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$56.85$56.0011.5%3.3%12.1%7.2%14.3%1.8%1.4%32.4K-1.0M-10.4K0.1393.50N/AN/A81598455
2014-07-02$56.76$56.0011.8%3.4%12.1%8.0%0.0%-0.6%1.1%35.5K-934.0K-10.6K0.00101.51N/AN/A80603454
2014-07-03$57.04$56.0010.4%3.0%12.1%4.1%12.1%3.3%1.5%65.0K-1.2M-10.1K0.00100.49N/AN/A010606454
2014-07-07$56.55$56.009.7%3.6%12.4%2.1%14.0%2.1%0.9%44.2K-991.8K-10.1K3.7084.71N/AN/A1037606454
2014-07-08$56.50$56.0012.6%3.8%12.4%10.3%12.4%2.9%1.0%22.6K-803.6K-10.3K0.0083.03N/AN/A010606491
2014-07-09$56.88$56.0011.2%3.5%12.5%6.2%0.0%3.5%1.9%54.5K-1.1M-9.9K0.0086.87N/AN/A00606481
2014-07-10$56.28$56.0013.5%3.9%13.2%12.9%12.9%3.2%0.6%20.9K-734.1K-10.1K0.0084.78N/AN/A220606481
2014-07-11$55.84$56.0014.4%4.1%13.5%15.4%13.7%3.5%2.0%18.9K-551.8K-10.3K0.0085.73N/AN/A160628481
2014-07-14$56.35$56.0015.1%4.3%13.4%17.3%0.0%-0.3%-1.3%30.8K-690.0K-10.1K0.00104.20N/AN/A070633481
2014-07-15$56.06$56.0013.8%3.9%13.4%13.5%0.0%1.9%0.7%23.1K-589.1K-10.5K0.00102.00N/AN/A100643551
2014-07-16$56.93$56.0012.6%3.6%14.5%10.2%12.6%3.5%1.0%58.6K-1.2M-10.1K0.0093.84N/AN/A60650551
2014-07-17$56.09$56.0013.3%3.8%15.2%12.3%0.0%2.5%1.5%27.3K-722.8K-10.3K0.00103.92N/AN/A70643551
2014-07-18$56.28$56.0013.1%3.8%15.1%11.7%0.0%1.9%1.6%61.0K-762.9K-10.0K0.0091.99N/AN/A50643551
2014-07-21$56.36$56.0014.4%4.1%14.7%15.3%0.0%3.4%-2.0%45.9K-700.4K-10.1K0.00121.24N/AN/A90567420
2014-07-22$56.81$56.009.8%2.8%14.9%2.2%13.1%3.9%0.9%53.2K-1.0M-9.6K1.50105.08N/AN/A23576420
2014-07-23$57.11$56.0013.0%3.7%11.7%11.4%13.2%0.4%-0.2%48.3K-940.1K-9.9K0.00114.65N/AN/A150578423
2014-07-24$57.18$56.0015.0%4.3%11.5%17.1%0.0%-6.0%1.9%54.9K-1.1M-10.2K0.00123.38N/AN/A490587423
2014-07-25$56.73$56.0015.5%4.4%11.9%18.5%0.0%-2.6%-0.6%56.1K-1.1M-9.5K0.00116.62N/AN/A10587423
2014-07-28$56.67$56.0013.9%4.0%11.9%13.8%0.0%-2.3%1.1%52.5K-972.8K-9.3K0.00116.04N/AN/A00576423
2014-07-29$56.46$56.0014.8%4.2%11.9%16.4%13.0%0.0%1.7%48.2K-962.7K-9.4K0.00112.40N/AN/A370576423
2014-07-30$56.12$56.0017.9%5.1%12.1%25.2%0.0%0.2%-3.9%59.3K-760.2K-9.6K0.00123.15N/AN/A270593423
2014-07-31$54.77$56.0017.8%5.1%14.7%25.2%18.4%-5.1%-1.8%32.8K-323.5K-9.2K0.83108.56N/AN/A4840590423