IYE Options History — November 2014

In November 2014, IYE traded between $45.06 and $50.01. ATM implied volatility averaged 23.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.3% (HV 20d: 25.2%). Max pain ranged from $48.00 to $51.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.65.

Notable Days

  • 2014-11-20: Highest Volume — 2,404 contracts
  • 2014-11-20: Largest IV drop — 18.1% change
  • 2014-11-28: Highest IV Rank — 30.7%
  • 2014-11-05: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.74$45.06$50.01$48.72$45.06
Max Pain$49.58$48.00$51.00$51.00$49.00
ATM IV23.0%19.4%27.5%23.5%27.5%
Expected Move6.2%5.5%7.1%6.0%5.5%
HV 20d25.2%19.2%32.5%31.7%31.4%
HV 60d22.1%21.0%26.0%21.0%26.0%
IV Rank23.0%16.9%30.7%24.0%30.7%
IV Percentile89.3%79.8%94.4%92.9%94.4%
Term Structure-0.6%-4.8%2.3%-1.6%-4.8%
VWIV21.4%17.2%24.8%19.3%17.2%
Skew 25d4.4%0.0%7.4%4.4%4.9%
Skew 10d9.3%-6.0%19.9%8.1%19.9%
Call IV 25d21.3%18.4%26.0%21.4%21.7%
Put IV 25d25.7%22.0%28.6%25.8%26.5%
Bid-Ask Spread %80.3452.86112.4785.2899.57
Gamma HHI0.250.160.480.230.17
Net GEX471.5K85.7K900.0K531.2K85.7K
Net DEX-4.1M-10.0M3.9M-6.4M3.9M
Net VEX-35.3K-39.7K-25.3K-35.8K-25.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.001.190.310.06
Total Volume1,549.684362,4041,721455
Total OI6,1514,6257,0325,8685,192

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$48.72$51.0023.5%6.0%31.7%24.0%19.3%4.4%-1.6%531.2K-6.4M-35.8K0.3185.28N/AN/A1,3094124,1651,703
2014-11-04$47.73$51.0025.8%6.4%32.1%27.8%19.9%1.6%-4.3%451.2K-2.6M-33.5K0.3280.89N/AN/A1,2944124,0961,706
2014-11-05$48.53$51.0024.4%7.1%32.5%25.5%21.0%5.5%-1.3%508.1K-3.8M-34.3K0.6182.72N/AN/A1,2957874,1211,706
2014-11-06$49.10$51.0023.5%6.3%29.7%24.0%21.3%6.9%0.9%491.8K-3.7M-36.9K0.6365.86N/AN/A1,2758054,0982,109
2014-11-07$49.71$51.0021.4%6.1%29.9%20.4%21.3%5.0%-1.0%493.3K-5.8M-39.7K0.6963.29N/AN/A1,2988904,1692,267
2014-11-10$49.27$51.0025.1%6.0%25.1%26.7%21.4%3.5%0.6%493.0K-6.4M-38.2K0.8668.14N/AN/A1,0408904,1812,273
2014-11-11$49.40$49.0022.7%6.3%24.9%22.5%21.6%3.9%-1.1%542.5K-5.7M-31.4K0.8458.88N/AN/A1,0658903,9191,865
2014-11-12$49.02$48.0020.1%6.0%24.2%18.0%21.2%5.8%-0.7%514.8K-5.7M-37.9K0.9552.86N/AN/A1,0399864,3692,273
2014-11-13$48.38$49.0022.7%6.2%24.3%22.6%21.4%2.3%1.2%489.5K-2.3M-37.3K0.7874.37N/AN/A1,2489784,3682,366
2014-11-14$48.81$49.0022.4%6.4%24.3%21.9%24.8%7.0%-1.7%501.6K-4.3M-38.7K0.71104.06N/AN/A21154,5882,349
2014-11-17$48.58$49.0022.2%6.2%24.3%21.7%21.2%5.8%-0.1%544.3K-3.6M-37.2K0.8661.23N/AN/A1,0979404,5812,352
2014-11-18$48.64$49.0023.1%6.3%22.3%23.1%21.4%4.7%-0.2%533.0K-4.4M-37.0K0.8465.69N/AN/A1,1249404,6472,352
2014-11-19$48.84$49.0025.7%5.8%21.4%27.7%0.0%2.9%2.3%560.5K-4.8M-36.4K0.00112.47N/AN/A23504,6672,329
2014-11-20$49.42$49.0021.1%5.6%20.9%19.7%23.2%7.4%1.3%733.4K-6.8M-35.5K0.6993.60N/AN/A1,4259794,6232,329
2014-11-21$50.01$49.0021.3%6.1%21.3%20.2%21.7%4.5%-1.1%900.0K-10.0M-35.0K0.7566.01N/AN/A1,3039724,7042,328
2014-11-24$49.68$49.0019.4%6.0%19.8%16.9%21.7%0.0%1.8%221.8K-2.9M-33.6K1.0295.48N/AN/A42432,7751,850
2014-11-25$48.92$49.0021.0%6.6%19.2%19.6%24.2%5.3%0.7%192.2K-2.2M-33.9K1.19104.16N/AN/A6547752,7891,885
2014-11-26$48.28$49.0023.7%5.9%19.8%24.3%0.0%2.7%-1.6%169.8K-345.8K-33.0K0.3391.94N/AN/A3831282,8381,937
2014-11-28$45.06$49.0027.5%5.5%31.4%30.7%17.2%4.9%-4.8%85.7K3.9M-25.3K0.0699.57N/AN/A430253,1552,037