IYE Options History — March 2016

In March 2016, IYE traded between $32.53 and $35.84. ATM implied volatility averaged 26.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.0% (HV 20d: 28.2%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.81.

Notable Days

  • 2016-03-18: Highest Volume — 786 contracts
  • 2016-03-09: Largest IV spike — 30.4% change
  • 2016-03-09: Highest IV Rank — 57.9%
  • 2016-03-09: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.59$32.53$35.84$32.53$34.79
Max Pain$34.64$31.00$35.00$31.00$35.00
ATM IV26.3%20.2%34.5%31.3%23.1%
Expected Move7.4%5.8%9.9%9.0%6.6%
HV 20d28.2%24.5%31.5%31.5%25.3%
HV 60d35.0%33.9%36.3%35.4%33.9%
IV Rank35.7%19.4%57.9%49.2%27.3%
IV Percentile52.9%31.0%82.9%71.8%38.1%
Term Structure2.8%-3.7%28.0%-0.8%1.5%
VWIV28.2%22.9%39.5%30.3%22.9%
Skew 25d5.4%-0.7%13.7%-0.7%3.6%
Skew 10d15.0%5.8%23.9%10.0%5.8%
Call IV 25d26.4%21.2%44.3%31.2%21.6%
Put IV 25d31.8%25.2%57.9%30.5%25.2%
Bid-Ask Spread %107.7291.34135.20113.25110.15
Gamma HHI0.240.130.390.230.19
Net GEX35.0K-61966.6K28.1K4.0K
Net DEX-424.2K-1.0M15.7K-36.8K-163.3K
Net VEX-4.9K-6.0K-4.4K-4.6K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.811.262.321.261.87
Total Volume633.455559786559660
Total OI1,294.51,1991,4511,2051,374

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$32.53$31.0031.3%9.0%31.5%49.2%30.3%-0.7%-0.8%28.1K-36.8K-4.6K1.26113.25N/AN/A247312751454
2016-03-02$33.37$31.0029.6%8.5%29.4%44.8%30.5%13.5%5.1%44.7K-219.0K-4.7K1.26121.24N/AN/A247312751450
2016-03-03$33.92$35.0029.2%6.3%27.3%43.6%30.4%5.7%4.7%44.0K-572.0K-5.2K1.29116.53N/AN/A261337751450
2016-03-04$34.23$35.0028.8%7.9%27.4%42.5%27.3%6.8%1.5%52.0K-599.1K-5.1K1.3997.30N/AN/A251348763470
2016-03-07$34.98$35.0029.0%7.6%26.3%43.1%29.2%6.1%1.7%62.0K-756.4K-4.9K1.68104.37N/AN/A225378768477
2016-03-08$33.57$35.0026.4%6.8%31.0%36.2%30.0%13.7%8.0%50.6K-497.5K-5.1K1.72112.19N/AN/A225387766517
2016-03-09$34.09$35.0034.5%9.9%29.7%57.9%28.8%5.4%-3.7%48.2K-467.6K-5.4K1.72106.87N/AN/A225387766527
2016-03-10$34.05$35.0029.5%8.5%29.5%44.5%29.5%3.2%-2.4%52.3K-404.0K-4.9K1.7295.94N/AN/A225387766527
2016-03-11$34.92$35.0026.8%7.7%30.2%37.1%29.5%8.3%-0.1%56.5K-669.2K-4.9K1.8291.34N/AN/A225409766522
2016-03-14$34.72$35.0028.2%8.1%29.9%41.0%29.5%3.8%-0.6%52.1K-604.5K-4.8K1.7094.98N/AN/A232394766544
2016-03-15$34.61$35.0028.6%8.2%30.1%42.0%28.6%5.5%-1.0%66.6K-520.8K-5.2K1.9494.88N/AN/A250484776656
2016-03-16$35.29$35.0021.6%6.2%28.8%23.1%39.5%11.1%3.7%36.3K-807.0K-6.0K1.92135.20N/AN/A250480795656
2016-03-17$35.84$35.0022.9%6.6%28.5%26.8%24.2%2.3%3.4%55.3K-1.0M-4.4K1.81104.91N/AN/A262475795654
2016-03-18$35.76$35.0022.6%6.5%28.4%25.8%26.6%2.1%2.9%35.1K-990.5K-4.4K2.32109.73N/AN/A237549765659
2016-03-21$35.67$35.0021.9%6.3%27.6%24.1%28.7%5.7%28.0%20.8K-324.0K-4.9K2.17111.65N/AN/A179388600599
2016-03-22$35.56$35.0020.2%5.8%24.5%19.4%25.9%6.9%0.1%24.0K-296.1K-4.8K1.96101.62N/AN/A204399611601
2016-03-23$34.57$35.0023.8%6.8%27.2%29.1%25.6%4.7%4.9%18.0K-151.7K-5.0K2.14114.50N/AN/A205438627617
2016-03-24$34.62$35.0025.2%7.2%27.2%32.8%24.7%1.5%-1.2%6015.7K-4.9K2.20102.14N/AN/A189416625657
2016-03-28$34.49$35.0026.4%7.6%27.4%36.2%27.2%4.3%2.3%8.0K-22.6K-4.9K2.20116.22N/AN/A189416630648
2016-03-29$34.63$35.0024.7%7.1%27.0%31.6%25.4%1.8%3.3%-619-25.2K-4.6K1.79107.95N/AN/A212379630648
2016-03-30$34.77$35.0023.4%6.7%26.6%28.0%25.8%4.6%0.3%11.6K-172.9K-4.8K1.98106.95N/AN/A222439653651
2016-03-31$34.79$35.0023.1%6.6%25.3%27.3%22.9%3.6%1.5%4.0K-163.3K-5.0K1.87110.15N/AN/A230430663711