IYE Options History — April 2016

In April 2016, IYE traded between $33.78 and $38.48. ATM implied volatility averaged 24.4%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 3.1% (HV 20d: 21.3%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-04-14: Highest Volume — 747 contracts
  • 2016-04-12: Largest IV spike — 73.5% change
  • 2016-04-12: Highest IV Rank — 61.0%
  • 2016-04-20: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.16$33.78$38.48$34.30$37.91
Max Pain$33.76$32.00$36.00$35.00$36.00
ATM IV24.4%20.2%35.6%25.9%24.0%
Expected Move6.8%5.8%8.2%7.4%6.9%
HV 20d21.3%19.0%25.3%25.3%21.3%
HV 60d29.7%24.5%34.1%34.1%24.5%
IV Rank30.7%19.2%61.0%34.6%29.7%
IV Percentile41.9%24.6%85.3%50.8%38.5%
Term Structure1.6%-5.3%27.6%-0.4%1.0%
VWIV24.4%19.3%28.7%23.0%24.7%
Skew 25d2.2%-11.2%6.5%4.1%-2.1%
Skew 10d7.9%-17.4%17.4%-2.7%3.8%
Call IV 25d23.6%18.5%36.8%23.1%27.6%
Put IV 25d25.7%22.0%28.9%27.2%25.5%
Bid-Ask Spread %107.1586.37128.85104.82117.40
Gamma HHI0.180.100.350.190.10
Net GEX29.0K-25.0K78.8K-6.2K66.2K
Net DEX-641.0K-1.4M263.2K79.5K-1.4M
Net VEX-4.6K-6.0K-4.0K-4.9K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.861.961.851.28
Total Volume648.095460747655747
Total OI1,310.1439981,5541,3831,458

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$34.30$35.0025.9%7.4%25.3%34.6%23.0%4.1%-0.4%-6.2K79.5K-4.9K1.85104.82N/AN/A230425673710
2016-04-04$34.04$32.0025.1%7.3%25.3%32.7%28.7%4.9%-0.1%-4.8K75.3K-4.9K1.87101.23N/AN/A230430673715
2016-04-05$33.78$32.0027.1%7.5%24.0%38.0%27.7%5.3%-1.5%-13.8K263.2K-4.8K1.7986.46N/AN/A240430673719
2016-04-06$34.52$32.0022.7%6.7%20.4%26.1%27.9%5.7%-0.1%-25.0K100.8K-4.5K1.83112.16N/AN/A240440673719
2016-04-07$34.25$32.0026.1%7.1%20.0%35.2%27.5%3.9%0.0%-12.5K73.6K-4.5K1.96100.52N/AN/A240470673704
2016-04-08$34.95$32.0024.5%6.7%21.2%31.0%24.6%3.7%0.5%11.5K-181.0K-4.3K1.7786.37N/AN/A240425673734
2016-04-11$34.94$32.0020.5%6.8%19.2%20.3%24.5%6.5%-0.9%24.1K-321.6K-4.3K1.7292.76N/AN/A230395673748
2016-04-12$35.92$32.0035.6%6.1%21.4%61.0%24.0%2.4%2.7%29.1K-563.1K-4.0K1.38106.13N/AN/A286395674733
2016-04-13$36.08$32.0026.3%7.5%21.4%35.7%26.3%1.3%-2.0%43.2K-876.6K-4.4K1.40126.88N/AN/A283395736722
2016-04-14$36.19$32.0022.6%6.5%20.4%25.8%24.6%4.2%0.6%78.8K-1.0M-4.2K1.7196.05N/AN/A276471738722
2016-04-15$35.72$34.0024.1%6.9%20.2%30.0%24.4%3.8%-0.3%19.9K-709.5K-4.4K1.27114.28N/AN/A315400743811
2016-04-18$36.26$34.0026.5%7.6%20.9%36.4%27.0%1.5%27.6%22.1K-534.9K-4.6K1.35109.06N/AN/A209282506492
2016-04-19$36.96$34.0022.6%6.5%21.9%25.8%19.3%5.7%-1.7%38.5K-804.2K-4.1K1.75107.77N/AN/A167293529492
2016-04-20$37.36$34.0028.5%8.2%22.0%41.7%23.8%5.2%-5.3%31.8K-798.5K-4.4K1.68124.36N/AN/A174293530503
2016-04-21$37.19$34.0020.2%5.8%19.0%19.2%22.2%3.2%2.7%36.9K-907.1K-4.2K1.41105.21N/AN/A231326542503
2016-04-22$37.69$36.0021.0%6.0%19.3%21.6%20.6%-11.2%3.4%42.2K-995.4K-4.3K1.11116.20N/AN/A295326610536
2016-04-25$37.20$36.0022.9%6.6%20.1%26.6%22.2%0.2%-0.3%49.2K-1.0M-4.8K1.01108.10N/AN/A323326684536
2016-04-26$37.76$36.0021.7%6.2%20.5%23.5%21.2%4.1%0.9%66.5K-1.2M-5.2K0.98101.38N/AN/A332326763536
2016-04-27$38.48$36.0023.4%6.7%21.1%28.0%24.5%-11.2%2.1%50.2K-1.3M-5.3K0.86128.85N/AN/A402344759536
2016-04-28$37.89$36.0020.8%6.0%22.3%21.1%23.7%4.3%4.0%60.4K-1.4M-5.5K0.99104.14N/AN/A366362809550
2016-04-29$37.91$36.0024.0%6.9%21.3%29.7%24.7%-2.1%1.0%66.2K-1.4M-6.0K1.28117.40N/AN/A328419890568