IYE Options History — February 2016

In February 2016, IYE traded between $30.50 and $32.71. ATM implied volatility averaged 37.5%, placing in the 66.1% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded below realized volatility by 2.6% (HV 20d: 40.1%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.05.

Notable Days

  • 2016-02-19: Highest Volume — 887 contracts
  • 2016-02-17: Largest IV drop — 16.1% change
  • 2016-02-08: Highest IV Rank — 87.8%
  • 2016-02-11: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.68$30.50$32.71$32.06$32.00
Max Pain$30.30$30.00$31.00$30.00$31.00
ATM IV37.5%30.8%45.6%36.4%31.1%
Expected Move10.6%8.8%13.0%10.4%8.9%
HV 20d40.1%30.9%46.6%42.8%31.0%
HV 60d35.4%34.2%36.1%34.2%35.7%
IV Rank66.1%47.9%87.8%63.0%48.9%
IV Percentile88.1%71.0%99.2%92.1%71.4%
Term Structure-1.4%-6.7%3.6%-2.9%1.4%
VWIV37.0%28.1%44.2%33.1%32.0%
Skew 25d5.7%-1.5%11.6%4.4%-1.5%
Skew 10d14.3%-2.3%27.7%6.5%-2.3%
Call IV 25d34.6%26.7%41.9%34.2%34.4%
Put IV 25d40.3%32.0%50.2%38.6%32.9%
Bid-Ask Spread %94.6875.53116.96109.64115.12
Gamma HHI0.190.130.250.170.25
Net GEX27.7K17.3K34.6K33.0K29.4K
Net DEX33.0K-218.6K273.0K-20.4K-46.6K
Net VEX-4.5K-5.1K-3.8K-4.1K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.771.271.041.27
Total Volume695.5553887574553
Total OI1,142.559681,2419681,206

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$32.06$30.0036.4%10.4%42.8%63.0%33.1%4.4%-2.9%33.0K-20.4K-4.1K1.04109.64N/AN/A282292627341
2016-02-02$30.91$30.0038.8%11.1%44.4%69.7%38.0%3.5%-2.8%28.7K110.7K-3.8K1.0695.49N/AN/A282299640346
2016-02-03$32.04$30.0042.1%12.1%46.6%78.6%36.4%5.7%-6.7%31.7K53.8K-4.0K1.19116.96N/AN/A310368641356
2016-02-04$32.12$30.0038.8%10.5%44.5%69.6%38.9%6.8%-1.7%27.2K-24.6K-4.7K1.1775.53N/AN/A314368674425
2016-02-05$31.39$30.0041.3%10.9%44.7%76.4%38.3%8.5%0.0%25.6K96.3K-4.4K1.2483.43N/AN/A296368678424
2016-02-08$31.47$30.0045.6%11.9%44.3%87.8%41.1%5.0%-2.4%23.1K179.5K-4.2K1.1877.94N/AN/A325383683439
2016-02-09$30.75$30.0044.9%12.0%44.5%86.0%42.2%6.6%-2.0%22.9K213.5K-4.3K1.1676.57N/AN/A330383717439
2016-02-10$30.56$30.0042.3%12.1%44.6%79.0%43.0%10.1%-4.9%24.9K174.6K-4.3K1.0290.56N/AN/A374383727439
2016-02-11$30.50$30.0045.3%13.0%44.0%87.2%44.2%8.3%-4.4%24.6K273.0K-4.4K1.1477.61N/AN/A345393779439
2016-02-12$31.16$30.0040.9%11.7%42.1%75.3%43.1%7.7%-2.2%27.4K187.6K-4.6K0.9688.77N/AN/A411393779453
2016-02-16$31.39$30.0040.1%11.5%40.8%73.2%41.9%9.5%-2.9%28.9K68.7K-4.6K0.9685.36N/AN/A411393779453
2016-02-17$32.44$30.0033.7%9.6%41.3%55.7%36.3%1.4%3.4%29.1K-187.6K-4.7K0.9495.32N/AN/A419394779453
2016-02-18$32.11$30.0036.9%10.6%39.7%64.5%40.4%7.2%-1.7%30.9K-218.6K-4.9K0.91116.32N/AN/A416380761454
2016-02-19$31.93$30.0033.3%9.6%38.4%54.8%34.1%8.6%0.8%17.3K143.2K-4.5K0.7786.15N/AN/A502385766475
2016-02-22$32.71$31.0031.9%9.2%37.1%51.1%34.3%5.8%0.1%31.6K-172.8K-4.8K0.8198.64N/AN/A368298678373
2016-02-23$31.71$31.0030.8%8.8%35.0%47.9%32.1%0.3%3.6%34.6K-144.1K-4.9K0.89103.88N/AN/A368328721385
2016-02-24$31.99$31.0031.5%9.0%32.9%50.0%28.1%11.6%-1.2%27.1K90.0K-4.5K0.86102.74N/AN/A364312732424
2016-02-25$32.05$31.0031.7%9.1%32.8%50.4%30.2%3.6%0.4%25.5K31.4K-4.8K1.2295.43N/AN/A255312734448
2016-02-26$32.26$31.0032.3%9.3%30.9%52.1%32.4%0.6%-1.0%31.2K-146.5K-5.1K1.27102.23N/AN/A244309736448
2016-02-29$32.00$31.0031.1%8.9%31.0%48.9%32.0%-1.5%1.4%29.4K-46.6K-4.9K1.27115.12N/AN/A244309752454