IYE Options History — September 2014

In September 2014, IYE traded between $51.54 and $55.63. ATM implied volatility averaged 15.2%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 13.7%). Max pain ranged from $54.00 to $54.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2014-09-25: Highest Volume — 604 contracts
  • 2014-09-18: Largest IV spike — 62.3% change
  • 2014-09-18: Highest IV Rank — 35.0%
  • 2014-09-09: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.61$51.54$55.63$55.20$51.54
Max Pain$54.00$54.00$54.00$54.00$54.00
ATM IV15.2%11.1%21.6%12.7%15.4%
Expected Move4.7%3.8%5.6%4.6%4.7%
HV 20d13.7%11.7%15.3%14.3%14.5%
HV 60d14.6%14.0%15.0%14.1%14.9%
IV Rank16.3%4.3%35.0%9.0%17.0%
IV Percentile61.6%4.0%97.2%21.8%73.4%
Term Structure0.3%-6.0%5.8%0.0%1.9%
VWIV12.3%8.2%16.4%16.4%8.2%
Skew 25d2.2%-5.7%11.8%-2.3%2.7%
Skew 10d3.9%-5.6%13.7%-1.8%0.1%
Call IV 25d14.0%8.3%19.8%12.3%17.5%
Put IV 25d16.1%10.0%20.7%10.0%20.3%
Bid-Ask Spread %109.0272.03134.8282.88126.22
Gamma HHI0.260.110.450.170.29
Net GEX15.6K-238.7K148.1K148.1K51.5K
Net DEX99.7K-1.9M1.5M-1.7M1.2M
Net VEX-9.2K-11.1K-6.6K-8.5K-10.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.0015.001.150.00
Total Volume147.09506044351
Total OI2,028.6671,3733,1241,3732,446

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$55.20$54.0012.7%4.6%14.3%9.0%0.0%-2.3%0.0%148.1K-1.7M-8.5K1.1582.88N/AN/A2023893480
2014-09-03$55.63$54.0011.1%5.5%11.7%4.3%0.0%1.3%2.1%130.8K-1.9M-8.7K0.0096.97N/AN/A80893503
2014-09-04$54.83$54.0012.4%4.5%13.0%8.1%0.0%-1.1%0.3%136.5K-1.4M-8.4K0.00102.94N/AN/A380893503
2014-09-05$55.23$54.0013.4%4.4%12.9%11.2%0.0%1.9%2.6%135.4K-1.2M-8.7K0.0089.57N/AN/A00899503
2014-09-08$54.38$54.0013.6%4.4%12.9%11.8%0.0%-0.1%3.8%127.2K-549.4K-7.7K1.0072.03N/AN/A55889503
2014-09-09$54.10$54.0012.9%5.6%13.0%9.7%16.4%2.9%2.7%125.7K-245.5K-7.4K15.00122.45N/AN/A345894508
2014-09-10$54.01$54.0015.0%4.5%12.8%15.7%0.0%5.5%-2.9%98.8K153.5K-6.6K1.56129.09N/AN/A226353897553
2014-09-11$54.09$54.0015.4%4.4%12.7%16.9%0.0%5.3%5.8%29.9K3.7K-8.6K1.1089.19N/AN/A1201321,080891
2014-09-12$53.26$54.0014.8%4.8%13.6%15.3%0.0%1.8%1.5%-81.9K1.5M-8.5K3.2380.85N/AN/A30971,1701,023
2014-09-15$53.60$54.0016.7%4.4%13.6%20.8%0.0%6.2%-2.9%-124.5K910.5K-8.5K4.79105.38N/AN/A904311,2001,116
2014-09-16$54.26$54.0018.6%4.9%14.3%26.1%8.2%11.8%-1.6%-157.3K-85.3K-10.2K1.37131.78N/AN/A62851,2901,468
2014-09-17$54.00$54.0013.3%4.9%14.1%10.9%0.0%-5.7%-0.2%-150.4K498.0K-10.4K0.03134.82N/AN/A14451,3521,553
2014-09-18$53.71$54.0021.6%4.6%14.1%35.0%0.0%-0.8%-6.0%-225.8K624.7K-11.1K0.00133.06N/AN/A8101,4951,550
2014-09-19$53.68$54.0014.4%4.5%14.1%14.1%0.0%2.3%1.0%-238.7K665.1K-10.3K0.0098.61N/AN/A4001,5741,550
2014-09-22$52.88$54.0014.2%3.8%14.8%13.3%0.0%2.4%-0.4%18.5K710.4K-8.4K0.29133.99N/AN/A15946989695
2014-09-23$52.73$54.0015.4%5.0%14.1%17.0%0.0%-1.6%0.5%56.0K376.3K-9.7K0.00115.39N/AN/A001,142713
2014-09-24$52.51$54.0016.3%4.8%13.8%19.5%0.0%1.8%-1.0%54.4K307.7K-10.5K1.02122.22N/AN/A60611,116713
2014-09-25$51.75$54.0017.7%4.8%14.4%23.6%0.0%4.5%-0.9%41.6K1.1M-8.7K0.8292.89N/AN/A3312731,157752
2014-09-26$52.32$54.0015.9%5.1%15.3%18.4%0.0%2.5%0.5%88.5K511.8K-11.0K0.00117.12N/AN/A1001,435928
2014-09-29$52.20$54.0017.9%5.1%14.9%24.1%0.0%4.2%-0.4%63.7K570.1K-10.8K0.57111.89N/AN/A35201,445948
2014-09-30$51.54$54.0015.4%4.7%14.5%17.0%0.0%2.7%1.9%51.5K1.2M-10.6K0.00126.22N/AN/A5101,478968