IYE Options History — December 2015

In December 2015, IYE traded between $33.30 and $38.42. ATM implied volatility averaged 31.6%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 1.2% (HV 20d: 30.4%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.27.

Notable Days

  • 2015-12-17: Highest Volume — 1,203 contracts
  • 2015-12-03: Largest IV spike — 22.6% change
  • 2015-12-14: Highest IV Rank — 69.4%
  • 2015-12-14: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.81$33.30$38.42$38.42$33.89
Max Pain$38.45$36.00$39.00$36.00$38.00
ATM IV31.6%25.7%38.7%27.7%28.9%
Expected Move8.7%7.4%11.1%7.9%8.3%
HV 20d30.4%27.5%33.7%27.6%32.1%
HV 60d29.3%27.6%30.7%27.6%28.3%
IV Rank50.1%34.2%69.4%39.6%42.8%
IV Percentile82.9%61.1%98.8%74.6%75.8%
Term Structure-1.1%-4.9%4.4%-0.5%-1.2%
VWIV29.8%21.0%47.2%26.3%28.8%
Skew 25d6.5%1.4%11.9%1.4%7.8%
Skew 10d10.6%-1.7%23.0%7.6%21.2%
Call IV 25d29.0%24.9%34.2%27.1%27.5%
Put IV 25d35.5%28.6%42.8%28.6%35.3%
Bid-Ask Spread %98.4388.92116.6298.9796.54
Gamma HHI0.290.150.380.330.15
Net GEX-28.1K-60.5K2.7K-42.3K2.7K
Net DEX2.1M585.9K2.6M585.9K2.5M
Net VEX-4.2K-6.9K-2.9K-6.9K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.272.836.653.973.32
Total Volume1,010.531,20331,162
Total OI1,692.9551,5791,9101,5791,698

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$38.42$36.0027.7%7.9%27.6%39.6%0.0%1.4%-0.5%-42.3K585.9K-6.9K0.0098.97N/AN/A03668911
2015-12-02$37.16$36.0031.3%9.0%27.5%49.3%26.3%6.2%0.2%-45.4K896.8K-6.6K3.97106.55N/AN/A210834678914
2015-12-03$36.49$39.0038.4%9.4%27.6%68.4%21.0%7.0%-3.7%-39.1K1.2M-6.3K4.0596.64N/AN/A207838678914
2015-12-04$36.22$39.0031.7%8.4%27.6%50.3%28.3%5.0%-1.0%-41.8K1.7M-5.6K3.9692.87N/AN/A213844678928
2015-12-07$34.86$38.0038.1%8.4%30.2%67.7%32.1%6.6%-1.4%-30.4K2.0M-4.5K2.8395.76N/AN/A617716938
2015-12-08$34.45$39.0038.4%9.1%30.2%68.5%28.2%4.5%-1.4%-24.7K2.2M-3.8K4.6995.18N/AN/A186873730955
2015-12-09$34.83$39.0031.6%9.1%30.7%50.3%23.9%6.8%3.2%-30.7K2.2M-4.3K4.7397.38N/AN/A186879730981
2015-12-10$35.12$39.0031.5%9.0%31.0%49.8%21.9%7.6%-1.6%-34.8K2.1M-4.6K6.6191.04N/AN/A133879730991
2015-12-11$33.90$39.0035.9%10.3%29.9%61.8%27.1%5.4%-4.1%-25.2K2.4M-3.8K6.6588.92N/AN/A139925730991
2015-12-14$34.08$39.0038.7%11.1%30.1%69.4%45.1%8.6%-3.7%-27.6K2.5M-4.0K6.61101.38N/AN/A1409257321,043
2015-12-15$35.11$39.0033.3%9.5%29.5%54.7%26.9%3.3%-1.0%-34.8K2.3M-4.3K5.7195.23N/AN/A1629257331,043
2015-12-16$34.91$39.0031.1%8.9%29.4%48.8%31.6%11.9%-4.9%-60.5K2.2M-4.6K5.71116.62N/AN/A1629257571,043
2015-12-17$34.06$39.0032.2%9.2%29.3%51.8%23.9%5.9%-2.2%-31.2K2.6M-3.5K3.3993.86N/AN/A2749297571,043
2015-12-18$33.48$39.0029.5%8.5%29.4%44.6%27.8%4.0%4.4%-21.7K2.5M-3.8K3.3993.78N/AN/A2749298671,043
2015-12-21$33.30$39.0030.6%8.8%29.3%47.4%30.0%5.7%-0.1%-8.0K2.4M-3.2K3.4893.53N/AN/A255887670963
2015-12-22$33.73$39.0029.5%8.5%29.8%44.5%47.2%5.3%-1.0%-10.5K2.4M-3.4K3.42104.94N/AN/A258882670963
2015-12-23$35.22$39.0028.4%8.2%33.1%41.6%33.3%9.9%-2.7%-29.1K2.3M-3.8K3.44105.67N/AN/A259892683963
2015-12-24$34.66$38.0025.7%7.4%33.3%34.2%29.4%6.0%1.6%-34.5K2.2M-3.7K3.44101.62N/AN/A259892690988
2015-12-28$34.00$38.0029.8%8.5%33.7%45.3%31.7%7.7%-1.8%-17.9K2.4M-3.3K3.4498.47N/AN/A259892690988
2015-12-29$34.17$38.0026.2%7.5%33.7%35.6%29.9%7.5%-0.4%-23.4K2.3M-3.3K3.4597.84N/AN/A259893690988
2015-12-30$33.72$38.0026.2%7.5%33.4%35.6%32.5%9.3%-1.1%-8.2K2.4M-2.9K3.28102.71N/AN/A272893690989
2015-12-31$33.89$38.0028.9%8.3%32.1%42.8%28.8%7.8%-1.2%2.7K2.5M-2.9K3.3296.54N/AN/A269893709989