IYE Options History — February 2015

In February 2015, IYE traded between $44.00 and $46.54. ATM implied volatility averaged 24.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 2.4% (HV 20d: 27.2%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-02-05: Highest Volume — 1,305 contracts
  • 2015-02-26: Largest IV spike — 12.0% change
  • 2015-02-04: Highest IV Rank — 34.0%
  • 2015-02-04: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.28$44.00$46.54$44.00$44.70
Max Pain$43.84$43.00$44.00$43.00$44.00
ATM IV24.8%19.9%29.4%27.1%21.7%
Expected Move7.1%5.7%8.4%7.8%6.2%
HV 20d27.2%21.4%32.6%32.6%21.5%
HV 60d32.5%29.7%33.2%32.4%29.7%
IV Rank26.1%17.8%34.0%30.0%20.8%
IV Percentile73.8%56.7%87.7%83.7%61.9%
Term Structure-0.6%-2.9%1.5%1.5%-0.2%
VWIV25.1%20.5%29.2%23.2%20.7%
Skew 25d5.2%1.8%9.2%9.2%1.8%
Skew 10d14.1%3.8%25.1%20.7%11.1%
Call IV 25d22.5%18.2%26.8%23.8%20.3%
Put IV 25d27.7%22.2%33.0%33.0%22.2%
Bid-Ask Spread %72.7055.3984.9280.2884.92
Gamma HHI0.150.100.240.120.18
Net GEX29.4K8.3K48.3K20.7K41.8K
Net DEX77.5K-1.3M1.3M1.3M986.4K
Net VEX-19.2K-21.4K-16.9K-20.0K-16.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.001.380.451.24
Total Volume1,043.211171,305321,125
Total OI3,401.3163,0873,6543,3503,275

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$44.00$43.0027.1%7.8%32.6%30.0%23.2%9.2%1.5%20.7K1.3M-20.0K0.4580.28N/AN/A22101,7411,609
2015-02-03$45.23$43.0027.2%7.8%30.1%30.3%27.1%6.3%-0.6%20.3K333.2K-20.5K1.2277.39N/AN/A5747001,7501,614
2015-02-04$44.45$43.0029.4%8.4%30.3%34.0%27.3%2.9%-1.4%19.6K600.4K-20.9K1.2480.04N/AN/A5687071,7631,631
2015-02-05$45.17$44.0027.3%7.6%30.7%30.5%27.9%6.8%-0.9%22.5K56.8K-21.3K1.2257.50N/AN/A5887171,7861,669
2015-02-06$45.16$44.0026.9%7.7%29.9%29.7%28.2%4.4%-2.9%28.3K-237.8K-21.4K1.2457.27N/AN/A5767161,8041,678
2015-02-09$45.25$44.0027.3%7.7%29.8%30.5%29.2%5.5%-1.3%24.5K-250.9K-20.6K1.3855.39N/AN/A5177161,8081,679
2015-02-10$45.15$44.0027.1%7.6%27.6%30.1%29.1%7.9%-0.9%36.5K132.4K-20.1K1.2762.01N/AN/A5186581,7921,679
2015-02-11$44.85$44.0026.2%7.5%27.4%28.5%28.2%7.7%-0.8%35.1K541.7K-19.2K1.2165.82N/AN/A5186271,7931,683
2015-02-12$45.53$44.0023.5%6.7%27.7%23.9%26.3%5.7%-0.7%35.6K-436.7K-20.0K1.1767.74N/AN/A5306201,7931,694
2015-02-13$46.44$44.0024.1%6.9%27.3%25.0%24.6%5.3%0.3%39.7K-1.3M-19.3K1.0770.24N/AN/A5796201,8071,693
2015-02-17$46.54$44.0024.0%6.9%25.5%24.7%24.6%7.5%-0.4%27.1K-1.3M-18.9K1.0372.15N/AN/A6276441,7891,693
2015-02-18$45.92$44.0024.2%6.9%26.3%25.1%25.4%5.2%-0.2%36.3K-974.4K-18.8K1.0374.88N/AN/A6256441,8081,717
2015-02-19$45.65$44.0023.6%6.8%25.8%24.1%23.8%6.3%-1.1%48.3K-546.4K-18.1K0.3873.86N/AN/A102391,8091,717
2015-02-20$45.46$44.0023.5%6.7%25.9%23.9%21.5%2.9%0.6%8.3K-548.3K-18.3K0.0078.63N/AN/A1701,9081,746
2015-02-23$45.20$44.0023.0%6.6%25.8%23.1%23.9%4.3%-0.2%13.4K769.3K-17.8K1.2680.49N/AN/A5677141,5581,529
2015-02-24$45.28$44.0022.3%6.4%25.4%21.9%23.0%2.9%-1.4%28.1K654.2K-17.6K1.2480.03N/AN/A5837221,6241,527
2015-02-25$45.59$44.0019.9%5.7%25.5%17.8%20.5%4.9%0.5%41.6K521.3K-17.6K1.1681.84N/AN/A5576451,6651,550
2015-02-26$44.81$44.0022.3%6.4%21.4%21.9%22.9%2.0%-0.8%31.0K1.1M-17.0K1.2880.92N/AN/A4966331,6861,558
2015-02-27$44.70$44.0021.7%6.2%21.5%20.8%20.7%1.8%-0.2%41.8K986.4K-16.9K1.2484.92N/AN/A5036221,7171,558