IYE Options History — October 2014

In October 2014, IYE traded between $45.87 and $50.56. ATM implied volatility averaged 28.2%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 5.2% (HV 20d: 23.1%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2014-10-14: Highest Volume — 2,426 contracts
  • 2014-10-15: Largest IV spike — 79.1% change
  • 2014-10-15: Highest IV Rank — 100.0%
  • 2014-10-16: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.46$45.87$50.56$50.56$49.66
Max Pain$51.52$50.00$54.00$54.00$51.00
ATM IV28.2%18.9%67.8%18.9%21.4%
Expected Move6.2%5.3%7.3%5.3%6.1%
HV 20d23.1%13.4%31.0%14.9%31.0%
HV 60d18.4%15.0%21.0%15.3%21.0%
IV Rank41.5%20.4%100.0%27.1%20.4%
IV Percentile95.5%90.1%100.0%93.7%90.1%
Term Structure-2.4%-6.9%2.2%2.2%-0.4%
VWIV20.7%15.2%24.9%19.8%20.2%
Skew 25d6.7%0.9%17.5%3.6%6.9%
Skew 10d11.0%3.9%19.5%9.3%19.5%
Call IV 25d22.0%17.2%31.7%17.2%17.7%
Put IV 25d28.8%20.8%42.5%20.8%24.6%
Bid-Ask Spread %88.3764.71125.34104.8269.62
Gamma HHI0.190.130.250.240.21
Net GEX249.9K35.2K506.3K44.6K506.3K
Net DEX-245.2K-5.8M3.5M1.6M-5.8M
Net VEX-23.8K-36.2K-9.0K-10.3K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.031.860.130.34
Total Volume1,002.261182,426181,635
Total OI4,319.3912,4975,5992,4975,599

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$50.56$54.0018.9%5.3%14.9%27.1%0.0%3.6%2.2%44.6K1.6M-10.3K0.13104.82N/AN/A1621,529968
2014-10-02$50.37$54.0021.4%5.7%14.5%34.2%0.0%4.9%-3.4%35.2K2.3M-9.0K0.0887.28N/AN/A221171,539970
2014-10-03$50.29$54.0022.8%5.5%13.9%38.3%0.0%2.9%-5.5%62.7K1.9M-10.5K0.4881.09N/AN/A2561231,725973
2014-10-06$50.31$54.0020.4%5.7%13.4%31.4%19.8%4.3%-0.1%120.0K1.4M-12.6K0.5264.71N/AN/A1971021,9611,096
2014-10-07$49.62$50.0020.9%5.6%13.8%32.9%19.1%3.9%-1.3%125.1K1.8M-14.4K0.4379.14N/AN/A92402,0921,194
2014-10-08$50.11$52.0020.9%6.2%14.7%33.0%19.8%3.6%1.0%134.8K1.8M-15.7K0.7888.94N/AN/A1,0468132,1571,234
2014-10-09$48.20$51.0031.5%5.9%19.1%63.6%18.3%3.3%-3.8%174.6K2.1M-18.5K0.2395.94N/AN/A239552,5151,315
2014-10-10$48.10$51.0042.5%5.9%18.8%95.6%19.3%7.8%0.3%166.7K2.5M-19.8K0.7584.72N/AN/A1,1478622,7391,366
2014-10-13$46.05$51.0042.0%6.8%22.7%94.0%15.2%1.3%-4.3%141.4K2.9M-17.7K0.6290.71N/AN/A116722,7691,357
2014-10-14$46.64$51.0037.9%6.8%22.8%82.1%21.4%1.7%-3.9%148.0K3.3M-17.9K0.7079.43N/AN/A1,4251,0012,8741,427
2014-10-15$45.87$51.0067.8%7.2%23.0%100.0%24.3%9.6%-6.9%155.9K3.5M-21.8K0.71105.12N/AN/A1,4191,0053,3531,686
2014-10-16$46.62$51.0034.1%7.3%24.5%42.2%24.9%15.3%-4.0%192.2K2.9M-22.5K0.0390.34N/AN/A22373,4331,683
2014-10-17$47.01$51.0028.4%6.6%25.0%32.4%0.0%16.1%-3.9%242.2K1.7M-25.6K0.1881.71N/AN/A256453,6411,685
2014-10-20$47.42$51.0029.1%7.1%25.4%33.6%21.8%6.9%-5.6%321.7K-2.0M-25.8K0.44102.00N/AN/A2771222,981897
2014-10-21$48.72$51.0023.1%6.1%27.9%23.2%20.8%17.5%-1.2%417.3K-4.0M-30.4K0.5080.51N/AN/A1,1555793,2151,017
2014-10-22$47.90$51.0025.6%5.7%28.3%27.4%19.8%5.3%-3.5%328.7K-3.1M-33.5K0.6393.38N/AN/A1,1257043,3461,419
2014-10-23$48.75$51.0023.6%6.1%29.1%24.1%20.1%8.4%-1.6%390.4K-4.0M-34.2K0.6476.34N/AN/A1,1227233,4891,473
2014-10-24$48.65$51.0022.5%6.8%28.6%22.2%21.2%11.1%-1.2%415.5K-3.7M-35.0K0.4074.20N/AN/A1,1454593,6311,492
2014-10-27$47.64$51.0025.6%6.5%29.2%27.5%0.0%2.8%-1.1%358.5K-1.5M-32.8K0.1578.51N/AN/A6293,6681,632
2014-10-28$48.72$51.0022.7%5.7%30.6%22.4%22.0%10.3%-0.8%430.9K-3.5M-34.5K1.86101.24N/AN/A711323,7301,623
2014-10-29$48.83$51.0023.9%6.1%30.0%24.6%21.7%6.2%-4.6%409.6K-4.2M-36.2K0.39125.34N/AN/A9943893,7401,672
2014-10-30$48.65$51.0022.6%5.9%30.0%22.3%22.3%0.9%-1.0%424.5K-3.8M-34.6K0.3797.52N/AN/A1,1344183,7691,672
2014-10-31$49.66$51.0021.4%6.1%31.0%20.4%20.2%6.9%-0.4%506.3K-5.8M-35.2K0.3469.62N/AN/A1,2174183,8961,703