IYE Options History — May 2016

In May 2016, IYE traded between $36.08 and $37.86. ATM implied volatility averaged 26.8%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.6% (HV 20d: 20.2%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2016-05-19: Highest Volume — 966 contracts
  • 2016-05-10: Largest IV spike — 88.9% change
  • 2016-05-10: Highest IV Rank — 94.5%
  • 2016-05-10: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.01$36.08$37.86$37.86$37.50
Max Pain$38.57$36.00$40.00$36.00$38.00
ATM IV26.8%21.3%48.0%24.0%23.2%
Expected Move7.6%6.1%11.1%6.9%6.7%
HV 20d20.2%17.1%22.9%20.9%17.1%
HV 60d23.2%21.4%24.8%24.5%21.4%
IV Rank37.2%22.3%94.5%29.5%27.6%
IV Percentile46.7%19.4%99.2%38.1%26.6%
Term Structure-0.3%-9.5%5.3%-0.2%0.1%
VWIV26.9%20.8%43.7%23.7%22.2%
Skew 25d3.0%-6.9%12.6%-0.8%1.6%
Skew 10d7.3%-0.0%21.3%1.4%1.1%
Call IV 25d25.8%20.6%37.3%24.9%22.3%
Put IV 25d28.8%22.9%48.6%24.2%23.9%
Bid-Ask Spread %111.5795.60131.31114.43125.36
Gamma HHI0.120.090.510.100.10
Net GEX55.8K31.8K140.5K66.4K41.5K
Net DEX-922.5K-1.2M-595.9K-1.2M-947.4K
Net VEX-5.7K-6.6K-4.4K-6.3K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.581.052.641.082.41
Total Volume796.714723966808877
Total OI1,544.0951,4541,7621,5361,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$37.86$36.0024.0%6.9%20.9%29.5%23.7%-0.8%-0.2%66.4K-1.2M-6.3K1.08114.43N/AN/A388420895641
2016-05-03$36.97$36.0025.8%7.4%22.9%34.5%26.1%0.9%-1.1%53.6K-1.0M-6.2K1.05101.53N/AN/A370390896642
2016-05-04$36.45$36.0031.9%9.2%22.9%51.0%29.5%0.6%-9.5%50.9K-910.6K-6.6K1.11126.51N/AN/A342381899648
2016-05-05$36.59$40.0025.0%7.4%22.6%32.4%27.0%3.4%0.5%50.9K-909.4K-6.3K1.11100.06N/AN/A343381903649
2016-05-06$36.57$40.0026.5%7.6%21.7%36.4%28.0%6.5%-1.2%45.9K-763.3K-6.2K1.1198.10N/AN/A343381901649
2016-05-09$36.08$40.0025.4%7.4%22.4%33.5%27.1%1.2%1.9%41.4K-595.9K-5.9K1.1195.61N/AN/A343381901649
2016-05-10$36.71$40.0048.0%11.1%21.0%94.5%27.1%12.6%-1.7%39.6K-759.4K-6.6K1.09128.42N/AN/A348381901649
2016-05-11$36.81$40.0026.9%7.7%21.0%37.4%26.4%4.4%-0.4%58.0K-892.8K-5.8K1.09109.30N/AN/A348381909649
2016-05-12$36.92$40.0024.5%7.0%21.0%30.9%25.6%2.9%1.6%69.0K-1.0M-5.8K1.1599.80N/AN/A341391909649
2016-05-13$36.47$40.0026.7%7.6%20.9%36.8%27.1%4.8%0.4%53.0K-814.0K-5.6K1.15110.28N/AN/A341391916659
2016-05-16$37.07$40.0026.2%7.5%21.1%35.6%26.7%4.3%-0.1%69.4K-977.1K-5.5K1.15109.88N/AN/A341391916659
2016-05-17$37.20$40.0026.4%7.6%20.0%36.1%28.4%5.7%2.0%69.5K-1.0M-5.5K1.1595.60N/AN/A341391916659
2016-05-18$36.78$38.0024.7%7.1%20.0%31.4%28.7%-6.9%5.3%61.3K-980.4K-5.3K1.17125.33N/AN/A333391926659
2016-05-19$36.90$38.0024.8%7.1%20.0%31.7%26.7%3.5%-0.7%53.8K-848.7K-5.3K1.99108.42N/AN/A323643937659
2016-05-20$37.04$38.0024.7%7.1%19.4%31.5%26.8%2.2%-0.2%140.5K-1.1M-5.7K1.99106.57N/AN/A323643956806
2016-05-23$36.97$38.0023.6%6.8%18.9%28.6%27.9%4.3%-0.2%31.8K-729.9K-5.5K2.3996.45N/AN/A257615844610
2016-05-24$37.18$38.0021.3%6.1%18.1%22.3%20.8%2.2%3.7%35.3K-843.1K-5.2K2.64116.52N/AN/A233615870611
2016-05-25$37.80$38.0023.9%6.9%17.8%29.4%24.9%2.2%1.4%47.3K-1.0M-5.2K2.49131.06N/AN/A247615870611
2016-05-26$37.60$38.0021.5%6.2%17.1%22.8%21.4%2.4%-0.6%51.4K-1.1M-5.1K2.33112.34N/AN/A264615870611
2016-05-27$37.65$38.0038.2%11.0%17.1%68.1%43.7%5.1%-6.5%40.7K-937.8K-5.5K2.36131.31N/AN/A264624845611
2016-05-31$37.50$38.0023.2%6.7%17.1%27.6%22.2%1.6%0.1%41.5K-947.4K-4.4K2.41125.36N/AN/A257620845621