IYE Options History — June 2015

In June 2015, IYE traded between $42.18 and $44.48. ATM implied volatility averaged 16.2%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.8% (HV 20d: 12.4%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.08.

Notable Days

  • 2015-06-15: Highest Volume — 774 contracts
  • 2015-06-29: Largest IV spike — 19.1% change
  • 2015-06-01: Highest IV Rank — 16.0%
  • 2015-06-01: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.60$42.18$44.48$44.18$42.47
Max Pain$45.59$43.00$46.00$43.00$46.00
ATM IV16.2%13.0%19.1%19.1%18.6%
Expected Move4.6%3.7%5.5%5.5%5.3%
HV 20d12.4%10.7%14.1%13.2%13.3%
HV 60d15.1%14.1%16.5%16.5%14.1%
IV Rank11.1%5.7%16.0%16.0%15.3%
IV Percentile27.3%9.9%47.2%47.2%43.3%
Term Structure1.2%-1.9%4.1%-1.4%-0.2%
VWIV16.0%12.3%20.1%18.1%16.2%
Skew 25d3.1%-0.7%8.2%4.4%6.1%
Skew 10d4.7%-0.7%12.0%2.0%3.9%
Call IV 25d14.6%8.8%18.8%15.2%15.1%
Put IV 25d17.7%14.6%21.5%19.6%21.2%
Bid-Ask Spread %92.1984.3897.6297.0894.52
Gamma HHI0.180.130.290.130.25
Net GEX-52.0K-87.5K-22.5K-26.5K-84.6K
Net DEX1.4M893.5K2.8M1.0M2.6M
Net VEX-5.0K-6.8K-3.6K-6.8K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.253.102.772.35
Total Volume642.2735774629734
Total OI1,736.8181,6201,8361,6551,781

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$44.18$43.0019.1%5.5%13.2%16.0%18.1%4.4%-1.4%-26.5K1.0M-6.8K2.7797.08N/AN/A167462683972
2015-06-02$44.48$43.0019.0%5.4%13.6%15.9%17.5%8.2%-1.9%-22.5K893.5K-6.4K0.2597.62N/AN/A41684972
2015-06-03$44.19$43.0018.9%5.4%13.3%15.7%16.8%-0.4%-1.4%-23.2K951.3K-6.1K2.0396.49N/AN/A207421687971
2015-06-04$43.58$46.0018.9%5.1%13.9%15.8%17.9%1.8%-0.1%-34.8K1.1M-6.3K2.0885.97N/AN/A207431733972
2015-06-05$43.95$46.0016.7%4.6%14.1%12.0%17.4%3.6%2.9%-33.1K1.0M-6.0K2.1784.38N/AN/A207450733982
2015-06-08$43.77$46.0017.8%4.8%12.5%13.8%15.7%3.2%1.3%-44.1K1.2M-5.8K2.0784.88N/AN/A2134407331,017
2015-06-09$43.73$46.0016.0%4.7%11.2%10.8%15.5%2.0%0.9%-49.8K1.2M-5.9K1.9586.04N/AN/A2264417361,026
2015-06-10$44.27$46.0016.3%4.7%12.0%11.3%16.0%3.4%1.4%-37.0K993.7K-5.8K2.0489.74N/AN/A2164417461,036
2015-06-11$44.06$46.0015.1%4.3%12.1%9.2%15.2%4.6%2.7%-36.6K1.0M-5.5K2.0491.71N/AN/A2164417431,036
2015-06-12$43.63$46.0015.5%4.4%12.4%9.9%15.4%1.7%2.7%-54.6K1.3M-5.4K2.0490.65N/AN/A2164417431,036
2015-06-15$43.49$46.0016.8%4.8%12.2%12.2%20.1%4.0%1.2%-59.0K1.4M-5.1K1.4191.43N/AN/A3214537431,036
2015-06-16$43.78$46.0015.6%4.5%12.6%10.0%17.2%4.0%2.4%-54.9K1.1M-5.0K1.8492.04N/AN/A2414437971,039
2015-06-17$43.76$46.0015.7%4.5%11.8%10.2%18.3%2.5%3.3%-57.8K1.2M-5.2K1.8295.66N/AN/A2414387631,049
2015-06-18$43.72$46.0014.4%4.1%11.7%8.0%16.0%1.6%3.1%-55.1K1.1M-4.4K1.8093.83N/AN/A2404337641,043
2015-06-19$43.37$46.0013.8%4.0%11.2%7.0%14.8%-0.7%4.1%-56.7K1.4M-4.3K1.8291.17N/AN/A2494527641,047
2015-06-22$43.70$46.0013.8%4.0%11.7%7.0%13.4%4.3%1.2%-49.5K1.4M-3.7K3.1093.80N/AN/A165511641985
2015-06-23$43.91$46.0013.0%3.7%10.7%5.7%12.5%5.9%1.8%-46.3K1.3M-4.0K2.5593.60N/AN/A1614116611,017
2015-06-24$43.32$46.0013.7%3.9%11.6%6.9%12.3%3.1%0.8%-64.2K1.9M-3.6K2.3396.76N/AN/A2034725831,037
2015-06-25$42.84$46.0013.3%3.8%12.1%6.1%13.8%1.0%2.2%-80.2K2.4M-3.7K2.4494.38N/AN/A2034956181,118
2015-06-26$42.91$46.0015.6%4.5%12.1%10.1%14.7%-0.3%-0.4%-87.5K2.4M-3.9K2.4993.69N/AN/A1994956181,121
2015-06-29$42.18$46.0018.6%5.3%13.3%15.2%16.1%4.7%-1.3%-86.1K2.8M-3.7K2.3092.73N/AN/A2195036231,121
2015-06-30$42.47$46.0018.6%5.3%13.3%15.3%16.2%6.1%-0.2%-84.6K2.6M-3.8K2.3594.52N/AN/A2195156581,123