IYE Options History — July 2016

In July 2016, IYE traded between $37.26 and $39.02. ATM implied volatility averaged 20.2%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.2% (HV 20d: 24.4%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.91.

Notable Days

  • 2016-07-29: Highest Volume — 1,031 contracts
  • 2016-07-13: Largest IV drop — 31.9% change
  • 2016-07-12: Highest IV Rank — 34.1%
  • 2016-07-06: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.16$37.26$39.02$38.59$37.53
Max Pain$39.45$35.00$41.00$35.00$39.00
ATM IV20.2%16.2%27.8%16.3%16.2%
Expected Move5.5%4.6%6.7%4.7%4.6%
HV 20d24.4%17.7%26.6%26.3%17.7%
HV 60d20.7%19.6%21.5%21.2%19.6%
IV Rank11.8%0.0%34.1%0.0%0.0%
IV Percentile12.2%0.0%55.6%0.0%0.0%
Term Structure1.6%-0.4%5.3%1.1%3.0%
VWIV19.8%15.3%26.2%18.6%15.3%
Skew 25d3.9%0.8%5.9%5.0%5.1%
Skew 10d4.5%-26.3%18.9%5.9%18.9%
Call IV 25d18.3%15.6%22.5%17.4%15.6%
Put IV 25d22.2%20.0%26.0%22.5%20.7%
Bid-Ask Spread %111.6996.89134.75117.00130.13
Gamma HHI0.210.130.450.190.37
Net GEX57.1K26.1K134.5K63.3K102.1K
Net DEX-877.2K-1.5M-267.9K-1.4M-267.9K
Net VEX-3.7K-4.7K-3.3K-3.7K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.582.831.800.65
Total Volume762.54961,0316911,031
Total OI1,328.159451,6371,4181,506

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$38.59$35.0016.3%4.7%26.3%0.0%18.6%5.0%1.1%63.3K-1.4M-3.7K1.80117.00N/AN/A247444848570
2016-07-05$37.73$40.0021.4%6.3%26.6%15.2%21.5%2.2%0.9%53.9K-1.2M-3.4K1.78103.46N/AN/A249444863570
2016-07-06$37.94$40.0023.8%6.7%25.4%22.4%24.7%4.9%1.9%56.1K-1.2M-3.3K1.92109.66N/AN/A231444866570
2016-07-07$37.53$40.0025.2%6.1%25.6%26.5%25.6%0.8%5.3%45.4K-1.1M-3.5K2.52112.16N/AN/A231583865570
2016-07-08$38.06$40.0022.4%6.3%26.2%18.3%24.8%2.9%0.7%48.5K-1.2M-3.7K2.53100.49N/AN/A230583865712
2016-07-11$38.11$40.0026.0%6.1%24.7%28.7%21.8%3.6%1.1%40.4K-1.2M-3.5K2.6296.89N/AN/A230602865712
2016-07-12$39.02$41.0027.8%5.4%26.0%34.1%23.5%5.7%0.6%50.1K-1.4M-3.5K2.83117.85N/AN/A213602865732
2016-07-13$38.71$41.0018.9%5.4%26.2%7.9%26.2%5.9%2.6%56.5K-1.4M-3.6K2.83134.63N/AN/A213602865725
2016-07-14$38.90$41.0019.4%5.6%26.2%9.3%18.6%2.9%1.5%59.6K-1.5M-3.3K2.04104.82N/AN/A295602865725
2016-07-15$38.83$40.0017.8%5.1%26.2%4.6%16.9%4.7%1.3%27.9K-1.5M-3.5K1.82105.57N/AN/A333607912725
2016-07-18$38.88$40.0018.9%5.4%26.0%8.0%17.5%3.4%-0.4%48.9K-575.8K-3.8K1.68116.11N/AN/A212356533412
2016-07-19$38.59$39.0018.0%5.2%26.0%5.1%17.1%3.1%1.1%45.6K-560.2K-4.0K1.68104.91N/AN/A212356548412
2016-07-20$38.60$39.0020.8%6.0%26.0%13.5%19.6%5.8%1.1%38.6K-442.2K-4.0K1.76134.75N/AN/A205361551412
2016-07-21$38.19$39.0019.4%5.6%26.2%9.4%17.4%4.6%0.7%42.9K-506.4K-4.0K2.67111.95N/AN/A135361555417
2016-07-22$38.28$39.0018.5%5.3%25.7%6.6%16.4%4.2%1.3%42.8K-445.5K-3.8K2.6799.86N/AN/A135361559417
2016-07-25$37.52$39.0016.2%4.7%23.9%0.0%17.8%3.4%4.4%36.0K-367.0K-3.7K2.57106.55N/AN/A141362559417
2016-07-26$37.72$39.0018.2%5.2%20.8%5.8%17.2%3.8%1.7%26.1K-289.4K-3.3K0.58115.02N/AN/A640373566418
2016-07-27$37.27$39.0019.6%5.6%19.4%9.9%17.1%3.5%1.8%134.5K-501.0K-4.7K0.58104.00N/AN/A6403731,066430
2016-07-28$37.26$39.0019.7%5.7%17.7%10.3%19.2%2.9%1.3%123.1K-476.3K-4.6K0.60107.95N/AN/A6313801,065430
2016-07-29$37.53$39.0016.2%4.6%17.7%0.0%15.3%5.1%3.0%102.1K-267.9K-4.0K0.65130.13N/AN/A6264051,064442