IYE Options History — March 2015

In March 2015, IYE traded between $42.21 and $44.51. ATM implied volatility averaged 21.7%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.0% (HV 20d: 16.7%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.64.

Notable Days

  • 2015-03-06: Highest Volume — 1,218 contracts
  • 2015-03-04: Largest IV spike — 11.9% change
  • 2015-03-10: Highest IV Rank — 27.4%
  • 2015-03-10: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.35$42.21$44.51$44.36$43.63
Max Pain$45.82$44.00$47.00$44.00$46.00
ATM IV21.7%18.6%25.5%22.1%20.4%
Expected Move6.1%5.3%6.8%6.3%5.9%
HV 20d16.7%12.3%21.8%21.8%19.2%
HV 60d26.3%23.6%29.7%29.7%24.0%
IV Rank20.8%15.6%27.4%21.5%18.4%
IV Percentile59.5%49.2%75.8%62.3%52.8%
Term Structure0.9%-1.5%2.6%0.2%0.9%
VWIV20.9%18.0%23.7%21.6%20.0%
Skew 25d4.2%1.9%6.7%3.4%3.9%
Skew 10d8.2%1.7%14.2%8.1%1.7%
Call IV 25d19.9%17.0%22.7%22.7%19.6%
Put IV 25d24.1%21.0%26.1%26.1%23.5%
Bid-Ask Spread %82.8564.0491.1785.6090.84
Gamma HHI0.170.150.210.170.17
Net GEX24.7K-21.6K77.6K32.4K63.9K
Net DEX2.9M1.4M4.3M1.6M2.7M
Net VEX-13.3K-16.1K-11.6K-16.1K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.640.3440.001.231.21
Total Volume428.45571,2181,113925
Total OI3,478.9553,2193,8443,2893,332

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$44.36$44.0022.1%6.3%21.8%21.5%21.6%3.4%0.2%32.4K1.6M-16.1K1.2385.60N/AN/A4996141,7211,568
2015-03-03$44.51$44.0020.8%6.0%18.8%19.3%22.6%4.8%-0.2%30.8K1.4M-16.0K1.2083.85N/AN/A5276341,7181,602
2015-03-04$44.41$44.0023.3%6.7%15.9%23.6%23.5%4.1%-1.5%27.4K1.6M-15.6K1.2386.64N/AN/A5156321,7371,624
2015-03-05$44.23$46.0023.0%6.2%14.8%23.0%21.3%5.3%0.8%25.6K1.7M-15.4K1.2484.07N/AN/A5116321,7391,625
2015-03-06$43.41$46.0024.2%6.5%14.8%25.1%21.8%3.6%0.2%8.5K2.3M-14.7K1.0881.51N/AN/A5866321,7321,625
2015-03-09$43.15$46.0023.9%6.4%14.9%24.7%0.0%3.3%1.7%12.7K2.4M-14.7K0.3482.77N/AN/A29101,8311,625
2015-03-10$42.50$46.0025.5%6.8%15.5%27.4%20.5%3.0%0.0%8.9K2.9M-13.9K1.2164.04N/AN/A1461761,8601,635
2015-03-11$42.63$46.0023.1%6.6%15.6%23.2%20.1%5.1%0.7%1023.8M-13.7K0.0075.30N/AN/A071,9011,805
2015-03-12$42.42$46.0022.5%6.5%15.6%22.2%0.0%2.6%0.7%-1.8K4.0M-13.0K0.0066.63N/AN/A0101,9011,810
2015-03-13$42.21$46.0022.8%6.5%14.1%22.7%23.7%5.5%1.1%1.9K4.3M-12.4K5.1168.52N/AN/A9461,9011,800
2015-03-16$42.72$46.0021.9%6.3%12.5%21.2%21.3%5.1%0.8%3.8K4.1M-12.4K2.2266.60N/AN/A9201,9101,817
2015-03-17$42.53$46.0022.2%6.4%12.3%21.7%0.0%4.6%0.9%13.2K4.2M-12.2K0.8381.92N/AN/A651,9171,836
2015-03-18$43.76$46.0020.0%5.7%16.6%18.0%19.6%6.7%2.4%-21.6K3.1M-13.2K0.4788.98N/AN/A62291,9201,833
2015-03-19$43.02$46.0021.1%6.1%17.3%19.9%0.0%3.3%2.4%34.6K3.5M-12.7K40.0087.28N/AN/A1401,9781,835
2015-03-20$43.63$46.0019.6%5.6%18.3%17.2%20.6%4.9%2.6%40.1K3.2M-12.9K2.2789.57N/AN/A22501,9791,865
2015-03-23$43.49$46.0018.8%5.4%18.3%15.9%18.6%2.7%1.6%36.0K2.7M-12.3K3.4087.75N/AN/A20681,6471,583
2015-03-24$43.18$46.0018.6%5.3%18.3%15.6%0.0%3.5%1.6%29.9K3.0M-11.7K1.0090.96N/AN/A10101,6511,599
2015-03-25$43.43$47.0020.3%5.8%18.3%18.5%18.0%4.4%1.0%36.2K2.9M-12.0K2.6788.78N/AN/A15401,6101,609
2015-03-26$43.42$47.0022.2%6.4%17.4%21.7%21.2%3.4%0.1%35.4K2.9M-12.3K1.2789.44N/AN/A4165291,6251,629
2015-03-27$43.06$46.0021.5%6.2%17.6%20.5%21.0%1.9%0.3%47.1K3.0M-12.2K0.0090.40N/AN/A0221,6911,612
2015-03-30$43.95$46.0019.2%5.5%19.1%16.3%20.5%6.7%2.0%77.6K2.5M-11.7K1.2591.17N/AN/A4055071,6911,608
2015-03-31$43.63$46.0020.4%5.9%19.2%18.4%20.0%3.9%0.9%63.9K2.7M-11.6K1.2190.84N/AN/A4185071,7081,624