IYE Options History — May 2015

In May 2015, IYE traded between $44.32 and $46.70. ATM implied volatility averaged 18.1%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 3.9% (HV 20d: 14.3%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 2.05.

Notable Days

  • 2015-05-13: Highest Volume — 755 contracts
  • 2015-05-11: Largest IV spike — 20.4% change
  • 2015-05-07: Highest IV Rank — 18.5%
  • 2015-05-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.39$44.32$46.70$46.70$44.33
Max Pain$42.40$40.00$43.00$43.00$43.00
ATM IV18.1%16.1%20.5%17.4%18.6%
Expected Move5.2%4.6%5.9%5.0%5.3%
HV 20d14.3%12.9%17.0%15.8%13.3%
HV 60d16.5%16.2%17.1%16.6%16.5%
IV Rank14.4%11.0%18.5%13.1%15.2%
IV Percentile41.8%31.0%54.4%39.7%43.7%
Term Structure-0.3%-0.9%1.1%1.1%-0.8%
VWIV18.5%15.7%22.2%18.6%17.9%
Skew 25d2.7%0.7%5.0%2.6%1.7%
Skew 10d7.5%-3.9%14.0%3.8%10.8%
Call IV 25d17.4%15.6%19.1%17.1%18.0%
Put IV 25d20.1%18.4%22.3%19.7%19.7%
Bid-Ask Spread %87.0978.6996.0796.0793.14
Gamma HHI0.180.120.280.210.13
Net GEX14.5K-24.7K62.5K42.5K-24.7K
Net DEX192.6K-799.7K1.0M-747.9K994.1K
Net VEX-8.2K-9.0K-7.0K-8.9K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.050.002.831.752.77
Total Volume494.857755573629
Total OI1,658.61,5881,7841,5881,652

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$46.70$43.0017.4%5.0%15.8%13.1%18.6%2.6%1.1%42.5K-747.9K-8.9K1.7596.07N/AN/A208365761827
2015-05-04$46.62$40.0017.9%5.3%14.9%14.1%0.0%2.7%0.2%53.3K-799.7K-8.6K0.0082.84N/AN/A010774831
2015-05-05$46.09$40.0019.3%5.6%15.6%16.5%22.2%2.0%-0.7%48.2K-659.9K-8.7K1.7479.02N/AN/A213370774836
2015-05-06$45.87$40.0020.2%5.7%15.2%18.1%20.6%2.8%-0.1%48.6K-426.7K-8.8K1.7780.14N/AN/A214379774838
2015-05-07$45.40$40.0020.5%5.9%15.0%18.5%22.1%3.5%-0.6%46.2K-104.5K-8.8K1.8878.69N/AN/A221415776849
2015-05-08$46.13$43.0017.0%5.5%15.9%12.4%0.0%4.6%-0.9%62.5K-387.8K-8.7K0.7578.90N/AN/A43785888
2015-05-11$45.33$43.0020.4%5.6%17.0%18.4%0.0%1.3%-0.3%48.9K-154.4K-8.5K2.6783.96N/AN/A2464789888
2015-05-12$45.57$43.0017.1%5.3%16.0%12.6%21.1%5.0%-0.2%34.1K190.2K-8.8K2.2982.99N/AN/A229524768952
2015-05-13$45.42$43.0018.9%5.4%13.4%15.8%18.6%3.3%-0.5%25.9K247.2K-9.0K2.2785.05N/AN/A2315247701,010
2015-05-14$45.35$43.0017.5%5.0%13.4%13.4%19.2%3.0%0.6%33.1K218.3K-8.6K2.2786.19N/AN/A2285177731,010
2015-05-15$45.54$43.0016.7%4.8%13.0%12.0%17.6%2.8%-0.3%-13.3K177.6K-8.1K2.1786.69N/AN/A2284947741,010
2015-05-18$45.52$43.0016.1%4.6%12.9%11.0%15.7%3.7%0.5%-13.2K443.9K-7.9K0.0090.39N/AN/A260644958
2015-05-19$44.89$43.0017.6%5.0%13.3%13.5%17.9%1.6%-0.3%-11.3K547.2K-7.7K0.0090.14N/AN/A80670958
2015-05-20$45.04$43.0017.7%5.1%13.1%13.7%17.3%3.4%-0.9%-11.7K620.0K-8.0K2.7389.28N/AN/A169462668958
2015-05-21$45.45$43.0017.1%4.9%13.2%12.7%17.2%3.3%-0.0%-7.6K429.8K-7.7K2.7789.66N/AN/A167462670961
2015-05-22$45.27$43.0017.6%5.0%13.1%13.5%17.1%1.9%-0.5%-7.0K474.8K-8.2K2.7792.80N/AN/A167462675961
2015-05-26$44.56$43.0017.8%5.1%14.1%13.8%18.0%0.7%-0.6%-19.3K804.8K-7.3K2.8391.96N/AN/A164464675961
2015-05-27$44.48$43.0018.7%5.4%13.8%15.5%17.1%2.7%-0.8%-20.9K959.2K-7.2K2.8291.61N/AN/A164462680972
2015-05-28$44.32$43.0018.6%5.3%13.3%15.2%17.0%1.8%-0.2%-24.4K1.0M-7.4K2.8292.29N/AN/A164462680972
2015-05-29$44.33$43.0018.6%5.3%13.3%15.2%17.9%1.7%-0.8%-24.7K994.1K-7.0K2.7793.14N/AN/A167462680972