IYE Options History — September 2015

In September 2015, IYE traded between $33.51 and $36.59. ATM implied volatility averaged 32.5%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 3.3% (HV 20d: 35.8%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.82.

Notable Days

  • 2015-09-18: Highest Volume — 1,137 contracts
  • 2015-09-22: Largest IV spike — 11.7% change
  • 2015-09-01: Highest IV Rank — 51.3%
  • 2015-09-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.41$33.51$36.59$35.87$34.33
Max Pain$40.10$37.00$43.00$38.00$37.00
ATM IV32.5%27.0%40.2%40.2%33.4%
Expected Move9.2%7.7%11.5%11.5%9.6%
HV 20d35.8%26.1%40.5%40.3%26.1%
HV 60d28.6%27.5%30.1%27.5%30.1%
IV Rank35.7%25.5%51.3%51.3%37.2%
IV Percentile88.7%76.2%98.4%98.4%89.7%
Term Structure-2.2%-4.1%0.6%-3.0%-1.5%
VWIV31.4%23.5%39.8%39.8%25.2%
Skew 25d5.4%-6.5%10.3%8.7%1.3%
Skew 10d11.0%-9.9%27.1%2.7%9.4%
Call IV 25d29.6%25.4%35.5%35.5%29.9%
Put IV 25d34.9%28.5%44.3%44.3%31.2%
Bid-Ask Spread %86.7479.7794.5983.3594.59
Gamma HHI0.170.150.210.180.16
Net GEX16.6K4.4K24.8K15.3K16.7K
Net DEX564.6K226.3K882.3K487.0K739.3K
Net VEX-4.2K-4.9K-3.4K-4.9K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.711.060.920.78
Total Volume760.76201,137941705
Total OI1,483.9051,3291,7131,4191,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$35.87$38.0040.2%11.5%40.3%51.3%39.8%8.7%-3.0%15.3K487.0K-4.9K0.9283.35N/AN/A491450877542
2015-09-02$36.21$37.0037.1%10.6%40.5%46.0%34.1%7.8%-2.2%24.8K379.7K-4.9K1.0084.38N/AN/A462464932532
2015-09-03$36.44$42.0034.5%9.5%39.9%40.0%35.6%8.9%-3.0%22.1K316.7K-4.9K1.0679.77N/AN/A440465933555
2015-09-04$35.88$42.0035.0%9.7%39.6%40.3%36.7%8.8%-2.9%21.6K466.3K-4.7K1.0580.78N/AN/A441461932553
2015-09-08$36.31$42.0035.8%9.6%37.9%41.6%34.0%9.5%-3.4%21.8K363.6K-4.3K0.0083.19N/AN/A015933538
2015-09-09$35.52$43.0033.1%9.5%38.4%36.7%35.0%7.6%-4.1%20.1K548.5K-4.1K0.7580.38N/AN/A441330933566
2015-09-10$35.71$43.0032.2%9.2%37.7%35.0%35.9%10.0%-2.7%20.2K615.4K-4.0K0.8183.75N/AN/A441359933569
2015-09-11$35.33$43.0033.7%9.7%37.7%37.8%36.9%10.3%-3.1%13.4K874.5K-3.7K0.7584.15N/AN/A521389933603
2015-09-14$35.10$43.0034.1%9.8%37.7%38.4%35.8%8.6%-3.2%13.7K760.6K-4.3K0.7584.92N/AN/A5213891,011653
2015-09-15$35.54$43.0030.8%8.8%38.1%32.5%0.0%9.7%-1.9%11.5K634.8K-4.2K0.0086.21N/AN/A001,011637
2015-09-16$36.59$43.0027.8%8.0%39.9%27.0%34.5%8.6%-0.7%7.2K351.3K-4.4K0.8185.98N/AN/A5224241,011653
2015-09-17$36.52$43.0027.0%7.7%38.7%25.5%27.1%5.6%-2.3%4.4K226.3K-4.4K0.8787.98N/AN/A5584851,012643
2015-09-18$35.51$39.0028.7%8.2%39.2%28.7%28.1%2.4%-1.4%12.9K882.3K-4.2K0.7986.44N/AN/A6365011,006707
2015-09-21$35.73$38.0027.2%7.8%37.3%25.9%27.3%5.6%0.6%19.5K384.8K-4.4K0.7789.81N/AN/A434332851478
2015-09-22$35.32$38.0030.4%8.7%33.2%31.7%28.0%3.7%-1.7%18.4K470.2K-4.2K0.7688.96N/AN/A409310853478
2015-09-23$34.86$38.0028.6%8.2%33.4%28.5%23.5%2.5%-0.1%16.1K594.0K-4.1K0.7587.34N/AN/A414311862496
2015-09-24$34.99$38.0031.5%9.0%32.7%33.8%26.3%3.5%-2.0%18.2K595.7K-3.9K0.7392.29N/AN/A413300878496
2015-09-25$34.74$38.0031.2%8.9%27.6%33.1%25.7%1.2%-2.5%17.3K623.8K-4.0K0.7192.79N/AN/A422300878509
2015-09-28$33.53$37.0034.2%9.8%28.5%38.7%29.9%-6.5%-2.0%16.9K741.2K-3.6K0.7290.37N/AN/A420304887499
2015-09-29$33.51$37.0035.3%10.1%27.6%40.7%29.4%-5.3%-3.2%16.7K800.3K-3.4K0.8094.13N/AN/A387309888502
2015-09-30$34.33$37.0033.4%9.6%26.1%37.2%25.2%1.3%-1.5%16.7K739.3K-3.5K0.7894.59N/AN/A396309894505