IYE Options History — November 2015

In November 2015, IYE traded between $36.94 and $40.35. ATM implied volatility averaged 27.0%, placing in the 37.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 0.2% (HV 20d: 27.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 7.20.

Notable Days

  • 2015-11-20: Highest Volume — 623 contracts
  • 2015-11-05: Largest IV spike — 20.4% change
  • 2015-11-16: Highest IV Rank — 52.3%
  • 2015-11-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.43$36.94$40.35$39.20$38.14
Max Pain$38.05$35.00$45.00$35.00$36.00
ATM IV27.0%21.5%32.4%23.0%27.4%
Expected Move7.7%6.2%9.3%6.6%7.8%
HV 20d27.2%23.7%30.2%23.7%28.6%
HV 60d30.7%27.7%32.5%32.0%27.8%
IV Rank37.7%22.8%52.3%26.8%38.7%
IV Percentile69.6%38.9%89.3%46.0%72.2%
Term Structure-0.1%-3.8%3.2%1.4%-0.3%
VWIV27.1%21.7%33.5%24.2%25.3%
Skew 25d5.3%2.5%8.7%8.7%3.3%
Skew 10d11.7%-11.2%20.5%13.1%-11.2%
Call IV 25d24.5%17.2%32.3%17.5%25.7%
Put IV 25d29.8%25.1%35.5%26.2%29.0%
Bid-Ask Spread %92.7181.79104.3098.34100.82
Gamma HHI0.260.180.290.260.27
Net GEX42.3K24.5K76.1K45.0K37.6K
Net DEX-660.0K-1.3M-197.5K-914.5K-283.2K
Net VEX-4.3K-4.7K-3.8K-4.4K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.200.00111.400.58111.40
Total Volume430.4511623553562
Total OI1,091.459641,3019791,081

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$39.20$35.0023.0%6.6%23.7%26.8%24.2%8.7%1.4%45.0K-914.5K-4.4K0.5898.34N/AN/A351202651328
2015-11-03$40.35$35.0023.2%6.6%24.4%27.3%24.4%7.9%-0.3%44.9K-1.3M-4.2K0.5895.25N/AN/A351202652328
2015-11-04$39.71$35.0021.5%6.2%25.2%22.8%26.9%5.3%0.8%45.4K-1.1M-4.2K0.58101.85N/AN/A347202648328
2015-11-05$39.35$45.0025.9%6.9%24.5%34.6%22.1%3.2%0.7%47.2K-1.1M-4.1K0.5682.80N/AN/A347195653328
2015-11-06$39.14$45.0024.3%6.8%24.4%30.4%25.2%4.8%0.7%46.3K-917.9K-4.0K6.3381.79N/AN/A319643321
2015-11-09$38.71$45.0025.1%6.7%24.2%32.5%0.0%5.7%2.1%48.6K-833.7K-3.9K11.0096.31N/AN/A555646340
2015-11-10$38.79$45.0025.1%7.1%24.0%32.6%21.7%3.2%0.0%43.8K-767.3K-4.2K1.0288.61N/AN/A240244659369
2015-11-11$38.73$40.0024.6%7.1%23.9%31.3%26.1%3.8%-1.3%44.2K-818.0K-4.2K1.0288.92N/AN/A240244669373
2015-11-12$37.11$40.0027.7%7.9%27.6%39.6%27.6%5.5%1.0%24.5K-313.6K-3.8K0.7188.96N/AN/A361257669373
2015-11-13$36.94$36.0032.1%9.2%27.6%51.5%31.0%3.3%-0.7%26.9K-274.5K-4.5K0.7288.96N/AN/A355257801431
2015-11-16$38.20$36.0032.4%9.3%29.6%52.3%33.5%2.5%-3.0%46.4K-647.5K-4.6K0.0095.91N/AN/A890793431
2015-11-17$37.81$36.0030.8%8.8%29.8%48.1%33.1%7.5%-1.6%47.8K-752.7K-4.7K0.7292.36N/AN/A356257838431
2015-11-18$38.43$36.0028.3%8.1%30.2%41.3%25.4%7.8%1.4%76.1K-831.9K-4.5K0.79104.30N/AN/A327257849431
2015-11-19$37.85$36.0029.5%8.5%29.8%44.6%29.7%6.3%-1.2%45.7K-662.7K-4.4K0.7887.78N/AN/A319248851441
2015-11-20$37.47$36.0030.1%8.6%30.0%46.0%27.8%4.6%-3.8%34.0K-500.8K-4.2K0.6687.17N/AN/A375248851450
2015-11-23$37.71$36.0027.6%7.9%28.9%39.4%27.5%6.6%-1.9%32.7K-197.5K-4.0K4.2992.24N/AN/A730641359
2015-11-24$38.58$36.0026.1%7.5%29.5%35.3%27.3%6.3%1.8%36.6K-400.1K-4.4K0.0092.26N/AN/A110644389
2015-11-25$38.31$36.0027.9%8.0%28.6%40.2%29.1%4.6%3.2%36.2K-375.0K-4.6K0.9896.76N/AN/A278272664389
2015-11-27$37.97$36.0027.1%7.8%28.8%37.9%27.1%4.9%-0.4%36.3K-231.1K-4.5K1.2592.84N/AN/A220276677409
2015-11-30$38.14$36.0027.4%7.8%28.6%38.7%25.3%3.3%-0.3%37.6K-283.2K-4.3K111.40100.82N/AN/A5557668413