IYE Options History — October 2015

In October 2015, IYE traded between $34.24 and $38.96. ATM implied volatility averaged 26.0%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 4.0% (HV 20d: 30.1%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2015-10-16: Highest Volume — 1,023 contracts
  • 2015-10-12: Largest IV spike — 31.4% change
  • 2015-10-26: Highest IV Rank — 39.5%
  • 2015-10-01: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.80$34.24$38.96$34.24$38.38
Max Pain$35.18$35.00$37.00$37.00$35.00
ATM IV26.0%19.7%33.2%33.2%19.7%
Expected Move7.3%5.6%9.5%9.5%5.6%
HV 20d30.1%25.1%32.6%25.7%25.1%
HV 60d32.2%29.9%32.8%29.9%32.0%
IV Rank28.7%17.9%39.5%36.8%17.9%
IV Percentile65.6%30.2%88.9%88.9%30.2%
Term Structure0.8%-2.2%17.6%-2.2%6.3%
VWIV25.2%22.4%30.2%27.2%24.5%
Skew 25d4.9%-1.5%8.8%-0.1%-1.5%
Skew 10d9.9%-3.7%23.0%7.8%11.6%
Call IV 25d23.4%21.0%31.2%31.2%24.9%
Put IV 25d28.3%23.4%32.1%31.1%23.4%
Bid-Ask Spread %97.1971.95122.4194.48104.19
Gamma HHI0.210.140.290.140.24
Net GEX45.1K20.8K104.7K20.8K36.1K
Net DEX-635.8K-1.3M672.1K672.1K-641.0K
Net VEX-4.7K-5.5K-3.8K-3.8K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.140.850.770.58
Total Volume691.864841,023752552
Total OI1,341.5459381,7891,418977

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$34.24$37.0033.2%9.5%25.7%36.8%27.2%-0.1%-2.2%20.8K672.1K-3.8K0.7794.48N/AN/A426326913505
2015-10-02$35.72$37.0028.0%8.0%30.2%27.4%23.5%5.1%0.6%23.3K347.0K-4.4K0.7892.24N/AN/A459359945537
2015-10-05$36.88$35.0028.1%7.9%31.8%27.6%28.1%7.5%-0.8%38.5K-72.2K-5.0K0.1474.01N/AN/A7410949540
2015-10-06$37.77$35.0027.1%7.3%32.6%25.7%30.2%7.1%-0.3%43.3K-531.6K-5.2K0.8571.95N/AN/A461391997556
2015-10-07$38.17$35.0027.5%7.5%31.5%26.4%28.6%5.9%-0.4%28.5K-669.6K-5.3K0.7972.03N/AN/A4923911,014626
2015-10-08$38.96$35.0027.0%7.2%32.0%25.5%24.0%5.7%-0.8%43.5K-1.1M-5.5K0.7981.05N/AN/A4933911,068626
2015-10-09$38.74$35.0023.1%7.2%31.8%18.3%26.6%6.0%0.5%51.7K-1.2M-5.3K0.7279.10N/AN/A5463911,075626
2015-10-12$38.17$35.0030.3%7.1%32.3%31.5%26.2%6.1%-0.9%92.9K-1.0M-5.1K0.7793.80N/AN/A4993861,151626
2015-10-13$37.89$35.0031.6%7.3%32.4%34.0%28.0%5.2%0.4%87.1K-791.1K-5.1K0.7895.74N/AN/A4943871,153625
2015-10-14$38.19$35.0024.5%7.0%31.0%20.9%23.3%5.9%-0.0%104.7K-946.8K-4.9K0.78103.27N/AN/A4943851,156630
2015-10-15$38.84$35.0024.4%7.0%31.4%20.7%23.4%4.2%-0.4%67.6K-1.2M-5.0K0.79109.46N/AN/A4943891,156633
2015-10-16$38.85$35.0023.4%6.7%29.2%28.1%23.9%5.0%1.4%30.2K-1.3M-4.7K0.69104.22N/AN/A6054181,139637
2015-10-19$38.10$35.0023.8%6.8%30.4%29.1%22.9%4.3%17.6%39.6K-791.5K-4.7K0.47108.83N/AN/A356167648290
2015-10-20$38.08$35.0025.1%7.2%29.9%32.5%23.5%6.9%-0.7%38.9K-717.6K-4.7K0.5392.32N/AN/A356189648290
2015-10-21$37.69$35.0024.3%7.0%29.7%30.3%23.8%4.1%0.1%37.2K-616.4K-4.6K0.54101.56N/AN/A350189646312
2015-10-22$38.43$35.0023.5%6.7%30.2%28.3%22.4%6.3%-0.6%40.5K-709.9K-4.5K0.54115.02N/AN/A350189647312
2015-10-23$38.36$35.0024.1%6.9%30.0%29.8%23.7%4.9%-0.5%40.1K-711.0K-4.5K0.58103.27N/AN/A351204647312
2015-10-26$37.45$35.0027.6%7.9%28.2%39.5%24.3%8.8%-1.5%33.5K-566.6K-4.5K0.58113.74N/AN/A351204648327
2015-10-27$36.97$35.0026.2%7.5%28.9%35.6%23.2%3.2%-1.1%25.2K-295.1K-4.1K0.58105.24N/AN/A351202648327
2015-10-28$37.81$35.0026.0%7.4%28.7%34.9%27.3%3.4%-0.4%33.1K-535.6K-4.4K0.58122.41N/AN/A347202648328
2015-10-29$38.00$35.0024.2%6.9%28.6%30.1%25.1%4.1%1.3%36.3K-610.8K-4.4K0.58100.27N/AN/A348202648328
2015-10-30$38.38$35.0019.7%5.6%25.1%17.9%24.5%-1.5%6.3%36.1K-641.0K-4.1K0.58104.19N/AN/A350202649328