IYE Options History — July 2015

In July 2015, IYE traded between $38.37 and $41.95. ATM implied volatility averaged 20.0%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.1% (HV 20d: 16.9%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.71.

Notable Days

  • 2015-07-14: Highest Volume — 841 contracts
  • 2015-07-08: Largest IV spike — 22.9% change
  • 2015-07-27: Highest IV Rank — 25.4%
  • 2015-07-27: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.55$38.37$41.95$41.76$38.87
Max Pain$43.82$43.00$46.00$46.00$43.00
ATM IV20.0%16.9%24.7%19.4%20.0%
Expected Move5.6%4.8%7.1%5.6%5.7%
HV 20d16.9%13.8%22.5%14.2%22.5%
HV 60d14.5%13.5%17.0%14.5%17.0%
IV Rank17.5%12.3%25.4%16.7%17.3%
IV Percentile48.4%23.4%75.8%48.8%48.0%
Term Structure0.2%-1.8%1.5%-1.8%1.2%
VWIV18.8%17.0%22.8%18.9%20.1%
Skew 25d3.4%1.0%5.8%3.1%1.0%
Skew 10d6.6%-3.8%16.7%1.7%4.1%
Call IV 25d18.2%13.7%24.2%17.8%20.8%
Put IV 25d21.5%18.6%27.2%21.0%21.8%
Bid-Ask Spread %89.6380.9695.7388.4794.19
Gamma HHI0.240.110.430.270.18
Net GEX-47.8K-166.1K15.0K-83.5K9.5K
Net DEX2.0M574.2K3.8M2.9M779.7K
Net VEX-2.8K-3.7K-2.1K-3.6K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.711.302.642.641.61
Total Volume695.636539841731585
Total OI1,423.7737661,9951,791862

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$41.76$46.0019.4%5.6%14.2%16.7%18.9%3.1%-1.8%-83.5K2.9M-3.6K2.6488.47N/AN/A2015306581,133
2015-07-02$41.95$46.0018.7%5.4%13.8%15.5%17.0%4.5%-1.2%-89.7K2.9M-3.7K2.0693.53N/AN/A2555256591,155
2015-07-06$41.30$43.0021.0%5.7%14.1%19.4%18.8%3.6%-0.2%-95.6K3.0M-3.3K1.9887.60N/AN/A2655257131,160
2015-07-07$41.74$43.0018.6%5.3%14.9%15.2%18.6%5.6%0.6%-101.6K2.9M-3.4K1.6780.96N/AN/A3075127231,158
2015-07-08$40.95$43.0022.8%6.1%16.0%22.5%19.5%4.1%0.9%-71.5K3.1M-3.5K1.6485.19N/AN/A3115097741,158
2015-07-09$41.14$43.0023.8%5.7%15.2%24.1%19.8%3.1%0.3%-86.7K3.0M-3.4K1.8385.26N/AN/A2885267761,155
2015-07-10$41.29$43.0022.5%5.9%15.4%21.9%18.9%3.6%-0.1%-94.3K3.0M-3.4K1.7987.74N/AN/A2945267721,164
2015-07-13$41.55$43.0017.5%5.2%15.6%13.3%18.0%4.3%1.5%-124.2K3.0M-3.1K1.8688.63N/AN/A2855317791,164
2015-07-14$41.90$43.0018.9%4.8%16.1%15.6%17.6%5.8%1.3%-166.1K2.7M-2.9K1.9589.10N/AN/A2855567791,169
2015-07-15$41.16$46.0018.4%5.3%16.7%14.8%17.8%1.9%0.6%-123.1K3.3M-2.8K1.9489.09N/AN/A2805447791,202
2015-07-16$41.15$46.0016.9%4.8%16.7%12.3%17.4%2.8%0.7%-118.8K3.4M-2.6K1.9893.60N/AN/A2805557791,209
2015-07-17$40.65$46.0017.9%5.1%17.0%13.9%18.0%2.0%1.4%9.1K3.8M-2.3K1.9590.63N/AN/A2825517791,216
2015-07-20$40.10$46.0018.1%5.2%17.3%14.3%17.5%1.3%0.1%6.2K590.4K-2.4K1.3090.05N/AN/A243315404362
2015-07-21$40.14$43.0019.5%5.6%16.8%16.7%19.2%2.6%-0.7%10.5K625.1K-2.5K1.4091.04N/AN/A225315442371
2015-07-22$39.83$43.0018.8%5.4%16.5%15.5%17.8%2.0%0.9%9.0K603.7K-2.4K1.4093.45N/AN/A225315455371
2015-07-23$39.74$43.0019.4%5.6%16.2%16.2%17.6%4.9%0.9%9.7K638.3K-2.4K1.4191.83N/AN/A224315455371
2015-07-24$38.97$43.0023.5%6.7%17.0%23.3%20.2%1.3%-1.0%8.3K690.3K-2.3K1.4486.97N/AN/A224322456371
2015-07-27$38.37$43.0024.7%7.1%17.2%25.4%22.8%3.0%-1.6%5.7K806.5K-2.1K1.3789.47N/AN/A238327453378
2015-07-28$39.55$43.0020.7%5.9%20.8%18.4%20.8%4.6%0.2%9.5K687.2K-2.3K1.4887.44N/AN/A229338467383
2015-07-29$40.16$43.0019.8%5.7%21.6%16.9%19.6%5.5%-0.1%10.6K589.1K-2.3K1.4391.76N/AN/A233333468388
2015-07-30$39.92$43.0019.4%5.6%21.0%16.2%18.7%3.2%-0.3%15.0K574.2K-2.4K1.5795.73N/AN/A224351472381
2015-07-31$38.87$43.0020.0%5.7%22.5%17.3%20.1%1.0%1.2%9.5K779.7K-2.1K1.6194.19N/AN/A224361463399