IYE Options History — August 2014

In August 2014, IYE traded between $53.88 and $56.13. ATM implied volatility averaged 14.8%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 1.9% (HV 20d: 16.7%). Max pain ranged from $50.00 to $59.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2014-08-07: Highest Volume — 84 contracts
  • 2014-08-22: Largest IV spike — 46.2% change
  • 2014-08-06: Highest IV Rank — 36.8%
  • 2014-08-21: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.98$53.88$56.13$54.33$56.13
Max Pain$53.44$50.00$59.00$56.00$59.00
ATM IV14.8%10.0%21.9%18.5%11.1%
Expected Move4.8%3.8%5.8%5.3%4.6%
HV 20d16.7%14.0%18.4%14.7%14.0%
HV 60d13.6%12.5%13.8%12.5%13.8%
IV Rank15.8%1.3%36.8%27.1%4.5%
IV Percentile53.5%1.6%97.6%93.7%4.8%
Term Structure0.5%-6.8%5.4%2.2%1.9%
VWIV16.6%14.6%20.7%15.5%14.6%
Skew 25d2.5%-7.1%11.7%-1.2%0.9%
Skew 10d3.9%-6.4%13.3%-0.6%4.6%
Call IV 25d14.5%8.3%21.4%21.4%10.3%
Put IV 25d17.0%10.6%27.5%20.2%11.3%
Bid-Ask Spread %107.5379.16138.85108.4291.11
Gamma HHI0.160.130.230.140.17
Net GEX76.3K-3.2K154.6K17.2K154.6K
Net DEX-919.9K-2.1M99.1K99.1K-2.1M
Net VEX-9.3K-10.2K-8.6K-9.3K-8.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.002.000.260.33
Total Volume27.619084534
Total OI1,271.5241,0851,3721,0851,372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-08-01$54.33$56.0018.5%5.3%14.7%27.1%0.0%-1.2%2.2%17.2K99.1K-9.3K0.26108.42N/AN/A4211622463
2014-08-04$55.25$51.0015.6%4.5%16.0%18.7%15.5%4.5%-0.2%37.8K-462.9K-9.6K0.00100.97N/AN/A360661474
2014-08-05$54.01$51.0017.7%5.1%17.7%24.7%16.2%3.9%-1.2%21.4K-160.1K-9.2K0.8797.78N/AN/A2320695474
2014-08-06$54.23$51.0021.9%5.3%17.5%36.8%18.7%3.3%0.3%23.0K-154.7K-9.4K0.0096.25N/AN/A720707484
2014-08-07$53.88$51.0017.7%4.8%17.3%24.7%14.8%2.3%0.5%36.6K-180.0K-9.7K1.0599.21N/AN/A4143768484
2014-08-08$54.77$50.0017.9%5.6%18.4%25.2%0.0%3.4%1.0%-3.2K-424.8K-10.2K0.00102.82N/AN/A00809527
2014-08-11$54.79$50.0015.8%4.8%18.0%19.4%20.7%11.7%-0.6%43.0K-697.2K-10.2K0.00110.37N/AN/A100809527
2014-08-12$54.42$50.0016.2%5.0%18.1%20.4%0.0%11.7%-1.0%30.4K-311.8K-9.9K0.0099.06N/AN/A00819527
2014-08-13$54.66$50.0014.9%4.6%17.1%16.7%16.6%5.2%0.3%39.8K-511.1K-9.7K1.00111.83N/AN/A1010819527
2014-08-14$54.30$50.0016.5%4.7%16.5%20.2%15.5%7.0%1.7%36.8K-272.0K-9.7K0.00120.05N/AN/A390814527
2014-08-15$54.67$50.0014.9%4.3%16.7%15.4%0.0%4.4%1.4%73.0K-504.9K-9.3K0.00116.73N/AN/A90843527
2014-08-18$54.83$0.0014.3%4.3%16.7%13.8%0.0%-7.1%1.0%98.1K-951.5K-9.1K0.00134.64N/AN/A50766447
2014-08-19$55.25$0.0012.8%4.8%16.7%9.3%0.0%2.8%1.7%102.8K-1.2M-8.9K0.00136.69N/AN/A10771447
2014-08-20$55.38$0.0011.5%4.3%16.6%5.6%0.0%0.1%2.4%121.9K-1.3M-8.8K0.0079.16N/AN/A210772447
2014-08-21$55.42$0.0012.0%5.8%16.6%7.1%0.0%0.3%1.0%122.5K-1.5M-9.0K0.5394.66N/AN/A4021791447
2014-08-22$55.06$0.0017.5%3.8%16.5%23.1%15.9%-4.0%-6.8%111.5K-1.1M-8.8K0.0084.01N/AN/A310811459
2014-08-25$55.58$59.0012.8%4.1%17.0%9.2%0.0%-1.9%-3.4%128.0K-1.6M-8.8K0.00138.85N/AN/A00822459
2014-08-26$55.86$59.0010.0%4.6%17.1%1.3%17.3%1.6%5.4%124.5K-2.0M-8.6K2.00101.94N/AN/A1020842459
2014-08-27$55.82$59.0011.2%5.6%16.9%4.7%0.0%1.2%1.0%128.4K-2.0M-9.1K0.5095.73N/AN/A4020852460
2014-08-28$55.84$59.0010.8%4.5%14.4%3.5%0.0%2.5%1.1%153.1K-1.9M-9.0K0.00137.80N/AN/A10892479
2014-08-29$56.13$59.0011.1%4.6%14.0%4.5%14.6%0.9%1.9%154.6K-2.1M-8.6K0.3391.11N/AN/A31893479