IYE Options History — April 2015

In April 2015, IYE traded between $43.68 and $46.74. ATM implied volatility averaged 18.2%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 18.0%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2015-04-14: Highest Volume — 1,215 contracts
  • 2015-04-08: Largest IV spike — 13.8% change
  • 2015-04-08: Highest IV Rank — 18.2%
  • 2015-04-02: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.61$43.68$46.74$43.68$46.59
Max Pain$42.48$41.00$46.00$46.00$43.00
ATM IV18.2%17.0%20.3%19.5%17.5%
Expected Move5.3%4.9%5.9%5.6%5.0%
HV 20d18.0%15.7%20.2%19.2%15.8%
HV 60d20.6%17.1%22.4%22.3%17.1%
IV Rank14.6%12.5%18.2%16.8%13.3%
IV Percentile44.9%38.5%52.0%49.2%40.5%
Term Structure1.1%0.2%2.3%0.5%1.8%
VWIV19.2%17.2%22.7%17.8%17.6%
Skew 25d3.3%0.7%5.1%4.3%1.5%
Skew 10d6.6%-5.3%14.9%6.0%1.7%
Call IV 25d17.2%15.2%19.4%18.1%16.8%
Put IV 25d20.5%18.3%23.0%22.4%18.3%
Bid-Ask Spread %87.9867.5596.6793.3496.67
Gamma HHI0.250.170.590.170.23
Net GEX96.2K25.9K213.1K76.0K39.7K
Net DEX437.1K-747.3K2.5M2.5M-747.3K
Net VEX-10.0K-11.5K-8.8K-11.5K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.001.801.201.80
Total Volume840.7621001,215917561
Total OI2,621.7621,4553,5353,3471,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$43.68$46.0019.5%5.6%19.2%16.8%17.8%4.3%0.5%76.0K2.5M-11.5K1.2093.34N/AN/A4165011,7231,624
2015-04-02$43.85$41.0019.7%5.9%19.2%17.2%22.1%3.6%0.7%77.1K2.5M-11.5K1.2778.87N/AN/A4205331,7251,622
2015-04-06$44.66$41.0017.3%5.6%19.1%12.9%22.7%5.0%1.4%118.7K1.8M-10.9K1.2978.94N/AN/A4175381,7301,622
2015-04-07$44.75$41.0017.8%5.6%18.9%13.9%19.7%5.1%1.3%125.5K1.6M-10.8K1.2681.38N/AN/A4325431,7431,636
2015-04-08$44.31$41.0020.3%5.8%18.3%18.2%0.0%2.5%0.8%123.6K1.9M-10.6K0.0085.51N/AN/A10001,7621,636
2015-04-09$44.96$41.0019.5%5.6%18.8%16.8%20.1%4.4%1.5%155.9K1.4M-11.3K0.9682.75N/AN/A5595391,8621,636
2015-04-10$45.18$41.0019.0%5.5%18.6%16.0%19.1%3.6%1.8%166.6K1.1M-11.0K0.9886.40N/AN/A5525391,8401,637
2015-04-13$44.84$41.0019.0%5.5%18.8%16.0%18.5%2.5%0.2%180.9K1.3M-10.3K0.9287.88N/AN/A5965501,8431,637
2015-04-14$45.60$43.0017.3%5.0%19.2%13.0%19.0%4.9%1.5%213.1K600.7K-10.6K0.8389.98N/AN/A6655501,8891,646
2015-04-15$46.69$43.0018.2%5.2%20.2%14.6%20.6%5.1%1.2%136.9K-566.3K-10.0K0.9087.36N/AN/A6125491,8451,642
2015-04-16$46.58$43.0017.1%4.9%18.3%12.6%17.6%3.1%1.5%137.7K-432.8K-9.7K0.9189.72N/AN/A6035491,8311,646
2015-04-17$46.09$43.0019.4%5.5%17.5%16.5%21.0%3.4%0.3%184.1K-89.4K-9.6K0.9390.26N/AN/A6025591,8311,646
2015-04-20$46.32$43.0017.2%4.9%17.0%12.9%17.2%1.1%2.3%25.9K-385.4K-9.1K1.1989.89N/AN/A321381664791
2015-04-21$45.84$43.0017.4%5.0%17.6%13.3%19.9%2.5%1.2%31.1K-174.9K-9.3K1.0167.55N/AN/A347350677791
2015-04-22$46.11$43.0018.4%5.3%17.2%14.8%18.8%4.0%0.9%34.9K-369.9K-9.4K1.4091.93N/AN/A251352712806
2015-04-23$46.47$43.0017.7%5.1%17.3%13.6%18.3%3.0%0.7%30.6K-551.6K-9.4K1.2590.99N/AN/A281352712812
2015-04-24$46.13$43.0018.4%5.3%17.6%14.8%17.7%1.4%0.6%37.5K-466.5K-9.7K1.2593.46N/AN/A281352744812
2015-04-27$46.08$43.0017.9%5.1%17.2%14.0%18.3%0.7%0.6%37.8K-572.9K-9.2K1.2994.40N/AN/A276357744812
2015-04-28$46.34$43.0017.0%4.9%16.0%12.5%18.2%3.5%2.0%44.9K-531.5K-9.3K1.3094.27N/AN/A277361750817
2015-04-29$46.74$43.0017.2%4.9%15.7%12.8%19.4%3.5%0.8%40.7K-732.4K-8.9K1.3395.93N/AN/A271361752827
2015-04-30$46.59$43.0017.5%5.0%15.8%13.3%17.6%1.5%1.8%39.7K-747.3K-8.8K1.8096.67N/AN/A200361753827