IYE Options History — December 2014

In December 2014, IYE traded between $41.38 and $46.65. ATM implied volatility averaged 28.7%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 6.8% (HV 20d: 35.5%). Max pain ranged from $44.00 to $49.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2014-12-01: Highest Volume — 2,129 contracts
  • 2014-12-19: Largest IV drop — 22.4% change
  • 2014-12-15: Highest IV Rank — 48.8%
  • 2014-12-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.47$41.38$46.65$45.31$44.81
Max Pain$47.76$44.00$49.00$49.00$45.00
ATM IV28.7%23.2%38.0%26.9%26.7%
Expected Move7.6%6.3%10.0%6.7%7.5%
HV 20d35.5%29.0%44.0%30.2%36.2%
HV 60d29.3%26.0%32.4%26.0%32.3%
IV Rank32.9%23.4%48.8%29.8%29.5%
IV Percentile92.4%84.1%98.4%94.0%88.9%
Term Structure-2.9%-11.8%3.0%-3.1%-0.5%
VWIV25.2%18.7%32.9%21.6%23.9%
Skew 25d5.6%1.6%12.2%5.8%4.9%
Skew 10d9.4%2.5%26.5%4.2%6.9%
Call IV 25d25.8%20.4%32.0%24.3%24.6%
Put IV 25d31.4%25.5%42.5%30.1%29.4%
Bid-Ask Spread %90.9961.94123.2691.0771.67
Gamma HHI0.170.130.210.170.21
Net GEX79.4K-6.8K177.7K146.6K104.4K
Net DEX4.7M2.6M7.4M4.2M4.0M
Net VEX-21.6K-29.6K-14.3K-24.9K-19.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.001.710.591.71
Total Volume1,443.409112,1292,12938
Total OI5,669.6365,0406,2145,5835,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$45.31$49.0026.9%6.7%30.2%29.8%21.6%5.8%-3.1%146.6K4.2M-24.9K0.5991.07N/AN/A1,3377923,5332,050
2014-12-02$45.78$49.0026.3%6.8%30.2%28.7%20.4%7.2%-1.7%177.5K3.5M-26.2K0.9085.23N/AN/A1,0409353,5392,065
2014-12-03$46.39$49.0024.8%6.3%30.0%26.2%20.8%7.2%-0.6%141.9K2.8M-29.6K0.80102.59N/AN/A1,0338293,4962,253
2014-12-04$45.97$49.0025.6%7.9%29.3%27.5%18.7%3.2%-0.6%141.1K3.6M-28.2K0.50123.00N/AN/A62313,5392,265
2014-12-05$45.37$49.0028.2%7.2%29.0%32.0%21.3%3.6%-2.6%125.4K4.3M-25.8K0.7793.00N/AN/A9667483,5562,272
2014-12-08$43.54$49.0031.0%7.4%31.2%36.8%21.3%2.5%-1.8%67.1K6.0M-19.6K0.7880.79N/AN/A9657553,5532,273
2014-12-09$43.99$49.0028.5%8.3%31.7%32.5%20.4%4.8%-1.4%27.7K6.7M-17.9K0.6787.05N/AN/A9676503,5672,281
2014-12-10$42.51$49.0031.8%7.4%33.1%38.1%26.6%10.3%-6.5%23.2K6.8M-17.0K0.6999.02N/AN/A1,0116963,5682,288
2014-12-11$42.55$49.0031.3%8.3%33.2%37.3%27.0%8.5%-2.1%26.2K6.7M-17.6K0.77104.13N/AN/A1,0037743,6072,336
2014-12-12$41.75$49.0032.4%7.0%33.4%39.2%32.9%4.8%-8.1%10.4K6.7M-17.6K0.80123.26N/AN/A9867903,6532,411
2014-12-15$41.38$49.0038.0%8.8%32.9%48.8%26.2%4.6%-6.6%4.1K7.4M-14.3K0.7982.50N/AN/A1,0388183,6522,425
2014-12-16$41.80$49.0035.0%10.0%33.5%43.6%29.0%12.2%-5.1%15.0K7.3M-15.5K0.87102.31N/AN/A1,0398993,7132,472
2014-12-17$43.58$49.0036.5%7.7%37.7%46.2%30.3%9.1%-11.8%1.7K6.8M-18.9K0.76111.95N/AN/A1,0568043,5602,566
2014-12-18$44.32$49.0029.9%8.2%38.4%34.9%31.1%6.3%-9.3%-6.8K5.8M-21.2K0.75107.17N/AN/A1,0617993,5942,584
2014-12-19$46.65$48.0023.2%8.0%43.0%23.4%26.9%7.5%3.0%177.7K2.7M-22.1K0.1195.32N/AN/A519563,6222,592
2014-12-22$45.33$0.0027.8%6.6%43.5%31.3%27.1%4.9%-3.9%76.1K2.9M-24.5K0.7378.99N/AN/A8636312,8342,206
2014-12-23$45.97$44.0025.3%7.1%44.0%27.0%25.8%4.1%0.2%100.0K2.6M-24.0K0.7866.36N/AN/A8726802,8712,210
2014-12-24$45.37$45.0024.1%7.7%44.0%24.9%27.1%3.0%2.8%95.6K3.1M-23.5K0.7778.18N/AN/A8786802,8712,257
2014-12-26$45.40$45.0026.1%7.1%43.9%28.4%24.8%1.6%-3.0%92.1K2.7M-23.6K0.9990.04N/AN/A6796722,8812,257
2014-12-29$45.50$45.0027.2%7.3%36.3%30.3%25.5%2.5%-2.2%92.8K2.9M-22.0K1.1266.29N/AN/A6106822,8822,256
2014-12-30$45.15$45.0025.8%7.5%36.3%27.9%23.9%3.8%1.1%107.3K3.3M-20.8K0.0061.94N/AN/A1102,8932,266
2014-12-31$44.81$45.0026.7%7.5%36.2%29.5%0.0%4.9%-0.5%104.4K4.0M-19.5K1.7171.67N/AN/A14242,8972,266