IYE Options History — June 2016

In June 2016, IYE traded between $36.26 and $38.96. ATM implied volatility averaged 22.2%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 4.5% (HV 20d: 17.8%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.11.

Notable Days

  • 2016-06-16: Highest Volume — 1,110 contracts
  • 2016-06-15: Largest IV spike — 29.6% change
  • 2016-06-15: Highest IV Rank — 48.5%
  • 2016-06-15: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.87$36.26$38.96$37.52$38.25
Max Pain$34.82$34.00$38.00$38.00$35.00
ATM IV22.2%19.2%31.0%21.4%20.5%
Expected Move6.4%5.5%8.9%6.1%5.9%
HV 20d17.8%13.8%26.2%14.8%26.2%
HV 60d19.5%18.4%21.6%21.0%21.3%
IV Rank23.4%8.2%48.5%22.6%10.9%
IV Percentile22.1%5.6%68.3%17.9%9.9%
Term Structure1.0%-7.9%4.6%2.5%1.5%
VWIV24.3%19.1%38.7%21.2%20.1%
Skew 25d3.9%-7.0%16.0%-7.0%3.5%
Skew 10d9.0%-13.4%28.2%-13.4%7.5%
Call IV 25d21.5%17.5%34.4%34.4%19.2%
Put IV 25d25.4%19.2%40.1%27.4%22.8%
Bid-Ask Spread %110.9198.09131.96122.26118.20
Gamma HHI0.140.090.200.090.20
Net GEX50.3K16.1K70.0K40.8K60.7K
Net DEX-1.1M-1.6M-652.0K-902.8K-1.3M
Net VEX-4.4K-5.0K-3.6K-4.4K-3.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.111.662.522.521.80
Total Volume876.4096821,110866690
Total OI1,524.1361,3821,7541,4701,411

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$37.52$38.0021.4%6.1%14.8%22.6%21.2%-7.0%2.5%40.8K-902.8K-4.4K2.52122.26N/AN/A246620848622
2016-06-02$37.38$34.0021.0%6.5%13.8%21.6%22.5%5.6%-1.2%43.6K-865.4K-3.9K2.39106.40N/AN/A268640848622
2016-06-03$37.34$34.0023.1%6.6%13.8%27.3%23.9%2.8%0.8%43.4K-947.2K-4.7K2.39103.39N/AN/A268640871642
2016-06-06$38.13$34.0020.2%6.2%15.5%19.3%21.7%4.9%0.1%59.2K-1.2M-4.2K2.3699.82N/AN/A276652874642
2016-06-07$38.96$34.0021.2%5.5%15.8%22.1%20.7%4.7%1.4%70.0K-1.4M-4.6K2.24107.27N/AN/A291652890656
2016-06-08$38.90$34.0019.7%5.7%15.0%18.0%24.7%3.0%3.0%63.8K-1.6M-4.5K2.15123.61N/AN/A299643908651
2016-06-09$38.75$34.0020.2%5.8%15.2%19.4%19.9%3.8%2.4%66.9K-1.5M-4.5K2.15101.23N/AN/A299644918650
2016-06-10$37.82$34.0019.7%5.6%18.0%18.0%23.2%4.8%3.6%63.8K-1.3M-4.3K2.43105.00N/AN/A323785918651
2016-06-13$37.69$35.0023.4%6.7%17.4%27.9%26.4%4.2%0.6%50.4K-1.1M-5.0K2.4898.09N/AN/A312775943791
2016-06-14$37.65$35.0023.9%6.9%16.5%29.4%27.0%7.4%0.5%46.0K-972.9K-5.0K2.44100.17N/AN/A318775938801
2016-06-15$37.53$35.0031.0%8.9%16.5%48.5%38.7%16.0%-7.9%34.4K-874.8K-4.9K2.33131.96N/AN/A333775944801
2016-06-16$37.43$35.0023.7%6.8%16.0%28.9%26.0%1.9%4.6%16.1K-1.0M-4.2K2.33112.61N/AN/A333777953801
2016-06-17$37.78$35.0023.4%6.7%16.2%28.1%24.7%4.8%0.7%46.4K-1.0M-4.9K2.40101.20N/AN/A324777953793
2016-06-20$38.13$35.0021.2%6.1%16.4%22.0%26.6%3.8%2.0%52.5K-1.3M-4.7K1.67108.14N/AN/A255427855541
2016-06-21$38.29$35.0020.9%6.0%16.4%21.3%19.1%5.8%1.7%52.5K-1.4M-4.0K1.71106.98N/AN/A255435846541
2016-06-22$38.09$35.0019.3%5.5%16.5%16.9%25.0%8.7%0.9%56.2K-1.3M-4.4K1.66130.59N/AN/A268445837545
2016-06-23$38.66$35.0019.2%5.5%16.3%16.0%19.4%-1.0%1.3%67.1K-1.4M-3.9K1.78114.48N/AN/A251446843555
2016-06-24$37.42$35.0023.5%6.8%20.2%28.0%23.3%-0.9%1.1%46.2K-1.1M-4.4K1.81114.17N/AN/A252455845556
2016-06-27$36.26$35.0029.0%8.3%23.0%38.8%26.7%-0.3%1.3%34.6K-652.0K-4.4K1.73105.55N/AN/A253438845566
2016-06-28$37.20$35.0024.2%6.9%25.0%21.9%25.2%5.5%-0.3%41.7K-845.8K-4.0K1.82110.03N/AN/A242441843564
2016-06-29$38.01$35.0019.6%5.6%26.2%8.2%28.6%3.5%1.2%49.5K-1.2M-4.0K1.82118.81N/AN/A242441842567
2016-06-30$38.25$35.0020.5%5.9%26.2%10.9%20.1%3.5%1.5%60.7K-1.3M-3.6K1.80118.20N/AN/A246444844567