IYE Options History — August 2015

In August 2015, IYE traded between $33.64 and $39.56. ATM implied volatility averaged 28.8%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.3% (HV 20d: 28.5%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.84.

Notable Days

  • 2015-08-26: Highest Volume — 925 contracts
  • 2015-08-24: Largest IV spike — 43.5% change
  • 2015-08-24: Highest IV Rank — 69.3%
  • 2015-08-24: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.36$33.64$39.56$38.08$37.38
Max Pain$40.52$38.00$43.00$43.00$38.00
ATM IV28.8%21.4%50.1%23.9%36.1%
Expected Move8.2%6.1%14.4%6.9%10.4%
HV 20d28.5%21.6%37.7%22.9%37.6%
HV 60d20.4%16.6%26.3%17.3%26.3%
IV Rank32.3%19.6%69.3%24.1%44.2%
IV Percentile79.0%54.8%99.6%71.8%96.4%
Term Structure-2.2%-8.9%1.1%-1.4%-3.9%
VWIV27.5%18.3%44.8%21.9%34.8%
Skew 25d5.6%-1.7%10.4%0.4%8.5%
Skew 10d13.2%-3.6%30.2%0.6%24.0%
Call IV 25d26.6%20.6%46.7%22.4%31.8%
Put IV 25d32.2%21.5%57.0%22.7%40.3%
Bid-Ask Spread %85.8178.31113.3294.5079.23
Gamma HHI0.200.140.250.140.21
Net GEX5.5K-7.5K11.9K4.1K11.9K
Net DEX829.7K295.5K1.2M905.6K295.5K
Net VEX-3.9K-5.7K-1.8K-1.8K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.3317.0016.670.98
Total Volume707.8136925106908
Total OI1,193.5718661,4718661,471

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$38.08$43.0023.9%6.9%22.9%24.1%0.0%0.4%-1.4%4.1K905.6K-1.8K16.6794.50N/AN/A6100463403
2015-08-04$37.90$43.0022.1%6.3%22.2%20.9%21.9%-1.7%-0.5%-7.1K1.1M-2.8K2.0195.67N/AN/A227457468505
2015-08-05$37.66$43.0021.4%6.1%21.6%19.6%18.3%1.3%1.1%-7.5K1.2M-2.8K1.7495.66N/AN/A265462481508
2015-08-06$38.37$42.0024.7%7.0%22.9%25.4%21.0%6.2%0.9%-6981.1M-3.4K1.5778.47N/AN/A287451532513
2015-08-07$37.61$42.0024.4%7.1%23.5%24.9%22.2%4.5%-2.7%2.0K912.7K-3.7K1.5780.69N/AN/A287451603514
2015-08-10$38.86$42.0023.1%6.5%26.7%22.6%19.8%5.6%0.8%5.1K816.8K-3.7K1.6081.08N/AN/A287458603514
2015-08-11$38.89$42.0023.3%6.5%26.4%22.9%26.3%6.9%-2.9%6.9K746.6K-3.6K17.0083.97N/AN/A234603508
2015-08-12$39.56$42.0023.4%6.7%26.9%23.1%24.9%6.3%-0.8%10.0K638.4K-4.0K1.7180.21N/AN/A272464603534
2015-08-13$39.03$42.0024.3%7.0%27.2%24.6%23.5%5.1%-1.3%6.2K682.7K-4.0K1.7185.64N/AN/A272464615537
2015-08-14$38.85$42.0024.6%7.1%26.9%25.3%24.0%7.0%-0.8%4.6K722.6K-3.9K1.4486.13N/AN/A322464615537
2015-08-17$38.90$42.0024.1%6.9%26.6%24.4%24.4%5.6%-0.7%9.4K692.2K-4.3K1.3687.87N/AN/A352480665537
2015-08-18$38.78$39.0023.0%6.6%26.6%22.5%23.6%6.0%-0.8%7.1K663.8K-4.3K1.4088.28N/AN/A344480695545
2015-08-19$37.64$39.0024.6%7.1%28.4%25.3%24.8%3.2%0.0%2.8K790.4K-4.0K0.3386.22N/AN/A12040697534
2015-08-20$36.83$39.0029.4%8.4%29.1%33.5%28.2%4.0%-4.9%6.8K1.0M-4.3K1.2481.68N/AN/A397494766580
2015-08-21$35.59$39.0034.9%10.0%30.6%43.0%30.3%7.6%-2.0%8.2K1.2M-4.1K1.6078.31N/AN/A315505767599
2015-08-24$33.94$39.0050.1%14.4%34.1%69.3%44.8%10.4%-8.9%8.0K756.3K-4.0K1.14113.32N/AN/A349398646446
2015-08-25$33.64$39.0038.5%11.0%31.2%49.2%35.0%5.8%-5.0%10.7K881.1K-3.4K1.1184.27N/AN/A437487738453
2015-08-26$34.31$38.0039.3%11.3%31.7%50.7%35.0%10.1%-6.6%10.7K1.1M-4.0K1.1182.00N/AN/A439486836591
2015-08-27$36.01$38.0035.0%10.0%37.5%42.4%32.7%8.0%-2.8%9.0K735.2K-4.9K1.1979.26N/AN/A408486831591
2015-08-28$36.81$38.0034.1%9.8%37.7%41.0%35.2%6.7%-2.5%8.3K529.8K-5.2K1.1779.59N/AN/A418489827591
2015-08-31$37.38$38.0036.1%10.4%37.6%44.2%34.8%8.5%-3.9%11.9K295.5K-5.7K0.9879.23N/AN/A458450877594