IYE Options History — January 2015

In January 2015, IYE traded between $41.35 and $45.09. ATM implied volatility averaged 29.1%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 3.9% (HV 20d: 33.1%). Max pain ranged from $42.00 to $45.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-01-15: Highest Volume — 1,605 contracts
  • 2015-01-28: Largest IV spike — 22.8% change
  • 2015-01-15: Highest IV Rank — 43.0%
  • 2015-01-15: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.95$41.35$45.09$45.09$42.65
Max Pain$43.85$42.00$45.00$45.00$43.00
ATM IV29.1%24.4%34.6%27.5%29.7%
Expected Move8.3%7.0%9.9%7.7%8.5%
HV 20d33.1%26.7%38.9%35.9%30.5%
HV 60d31.9%31.4%33.2%32.2%31.9%
IV Rank33.6%25.4%43.0%30.8%34.6%
IV Percentile88.7%77.8%96.8%90.1%88.5%
Term Structure-1.5%-5.5%1.1%0.8%-0.6%
VWIV28.4%24.5%33.2%26.3%26.4%
Skew 25d6.6%3.4%8.8%5.3%5.8%
Skew 10d13.7%7.5%24.9%16.4%24.9%
Call IV 25d26.4%21.5%32.1%24.1%27.3%
Put IV 25d33.0%28.6%38.0%29.4%33.0%
Bid-Ask Spread %65.8257.0678.2470.1673.91
Gamma HHI0.240.120.620.220.12
Net GEX7.7K-203.7K121.3K121.3K12.1K
Net DEX4.2M875.4K7.5M4.0M2.2M
Net VEX-17.1K-19.6K-14.1K-18.8K-18.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.2812.241.111.24
Total Volume859.241,6051,2531,290
Total OI4,399.852,7105,8855,1563,349

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$45.09$45.0027.5%7.7%35.9%30.8%26.3%5.3%0.8%121.3K4.0M-18.8K1.1170.16N/AN/A5936602,8982,258
2015-01-05$43.18$45.0032.6%8.7%38.8%39.6%28.2%4.4%-5.5%44.9K5.4M-15.9K12.2458.36N/AN/A212572,8942,248
2015-01-06$42.56$45.0031.6%8.8%38.9%37.8%29.2%6.4%-0.8%3.2K6.6M-16.9K0.3058.94N/AN/A66202,9042,489
2015-01-07$42.69$45.0029.7%8.2%36.2%34.6%29.1%7.4%-0.9%6.4K6.6M-17.0K0.4057.64N/AN/A2082,9712,498
2015-01-08$43.61$45.0026.3%7.9%36.9%28.8%27.0%7.5%-0.2%15.2K6.3M-17.6K1.9162.13N/AN/A4698982,9842,506
2015-01-09$43.39$45.0027.5%8.2%34.7%30.7%27.0%7.3%-5.2%18.1K6.3M-17.2K1.9161.73N/AN/A4698983,0022,506
2015-01-12$42.15$45.0033.3%8.9%36.3%40.8%30.1%5.0%-3.1%-43.7K7.2M-15.0K1.7758.59N/AN/A5169133,0012,506
2015-01-13$41.74$45.0029.1%9.6%35.9%33.6%31.7%8.1%-4.5%-52.5K7.5M-14.1K1.7257.90N/AN/A5759913,0542,530
2015-01-14$41.94$45.0033.7%9.6%35.7%41.3%33.2%8.0%-3.0%-54.6K7.3M-14.4K1.5757.06N/AN/A5889243,1342,557
2015-01-15$41.35$43.0034.6%9.9%35.9%43.0%33.2%3.4%-3.8%-10.6K6.9M-15.0K1.2658.11N/AN/A7118943,2102,547
2015-01-16$42.70$42.0030.4%8.7%34.6%35.8%28.9%8.0%-1.9%-203.7K6.6M-15.7K3.2462.15N/AN/A501623,3352,550
2015-01-20$42.72$43.0029.5%8.5%33.9%34.3%29.8%8.8%1.0%31.4K1.5M-16.0K0.2966.02N/AN/A42121,5041,206
2015-01-21$43.55$43.0026.4%7.6%28.8%28.9%28.5%7.2%0.8%40.0K1.1M-16.8K0.7070.65N/AN/A30211,5391,215
2015-01-22$43.73$43.0025.5%7.3%27.3%27.4%25.6%6.7%0.2%47.2K875.4K-17.2K0.9667.62N/AN/A6205931,5621,222
2015-01-23$43.41$43.0025.4%7.3%26.7%27.2%24.5%6.3%0.3%36.3K1.0M-19.1K1.0673.66N/AN/A6076451,6661,392
2015-01-26$44.00$43.0024.4%7.0%27.0%25.4%0.0%7.5%1.1%39.9K1.0M-19.6K0.2878.24N/AN/A36101,6931,444
2015-01-27$44.00$43.0024.7%7.1%27.0%26.0%26.9%7.1%-0.0%43.9K1.0M-19.6K1.0076.57N/AN/A221,7291,454
2015-01-28$42.26$43.0030.3%8.7%30.2%35.6%26.6%3.7%-1.9%35.4K1.6M-18.6K1.2274.65N/AN/A5767051,7301,455
2015-01-29$42.33$43.0030.1%8.6%30.3%35.3%26.7%8.6%-1.8%23.3K2.3M-18.2K1.2472.31N/AN/A5757151,7331,522
2015-01-30$42.65$43.0029.7%8.5%30.5%34.6%26.4%5.8%-0.6%12.1K2.2M-18.9K1.2473.91N/AN/A5757151,7411,608