IYE Options History — August 2016

In August 2016, IYE traded between $36.19 and $39.34. ATM implied volatility averaged 21.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 1.1% (HV 20d: 20.1%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.01.

Notable Days

  • 2016-08-05: Highest Volume — 1,094 contracts
  • 2016-08-26: Largest IV spike — 281.0% change
  • 2016-08-26: Highest IV Rank — 100.0%
  • 2016-08-26: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.10$36.19$39.34$36.19$37.95
Max Pain$39.00$39.00$39.00$39.00$39.00
ATM IV21.2%16.0%65.5%21.4%18.5%
Expected Move6.1%4.6%18.8%6.1%5.3%
HV 20d20.1%14.7%21.9%21.3%14.7%
HV 60d21.2%20.7%21.5%21.0%20.7%
IV Rank13.0%0.0%100.0%15.5%5.0%
IV Percentile12.8%0.0%100.0%14.7%7.5%
Term Structure0.0%-34.9%7.3%3.6%5.0%
VWIV20.3%14.7%60.2%18.9%20.4%
Skew 25d4.5%-4.9%34.2%5.5%7.1%
Skew 10d10.5%-3.9%60.5%5.9%60.5%
Call IV 25d20.5%12.5%66.8%20.1%20.1%
Put IV 25d25.0%14.9%67.2%25.5%27.2%
Bid-Ask Spread %121.05102.23150.14128.67143.24
Gamma HHI0.410.120.980.350.15
Net GEX389.4K37.8K5.5M76.3K61.4K
Net DEX-741.3K-2.6M43.1K-46.6K-585.0K
Net VEX-3.7K-4.6K-3.1K-3.8K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.002.140.651.82
Total Volume71601,0941,032355
Total OI1,347.9578391,6351,542921

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$36.19$39.0021.4%6.1%21.3%15.5%18.9%5.5%3.6%76.3K-46.6K-3.8K0.65128.67N/AN/A6274051,065477
2016-08-02$36.52$39.0021.2%6.1%20.4%14.8%20.3%-0.2%-0.9%42.6K43.1K-3.5K0.64112.08N/AN/A6284051,066477
2016-08-03$37.23$39.0022.7%6.5%21.6%19.1%21.1%-4.9%2.9%50.4K33.9K-3.4K0.64141.99N/AN/A6354051,066477
2016-08-04$37.17$39.0019.8%5.8%21.3%10.5%17.9%4.3%1.1%118.6K-250.5K-3.9K0.64119.21N/AN/A6354051,076477
2016-08-05$37.56$39.0017.0%5.1%21.0%2.4%15.4%4.8%2.5%151.4K-300.5K-3.7K0.59107.89N/AN/A6894051,076477
2016-08-08$38.07$39.0018.4%5.5%21.6%6.4%18.3%5.2%1.0%234.8K-741.6K-4.4K0.64108.62N/AN/A6374051,126477
2016-08-09$37.85$39.0016.0%5.2%19.8%0.0%15.6%2.9%1.6%225.9K-755.5K-4.4K0.64112.87N/AN/A6284051,132477
2016-08-10$37.37$39.0020.9%6.0%20.1%14.5%20.7%3.4%7.3%136.9K-620.5K-4.6K0.64141.16N/AN/A6284051,134477
2016-08-11$37.93$39.0019.9%5.7%20.8%11.4%20.0%7.8%0.7%192.9K-432.4K-3.7K0.66103.37N/AN/A6264151,134477
2016-08-12$38.16$39.0018.3%5.2%21.0%6.6%18.9%3.5%2.0%263.9K-669.4K-4.1K0.64112.57N/AN/A6253971,139487
2016-08-15$38.41$39.0018.8%5.4%21.1%8.1%19.4%4.3%2.7%322.7K-756.0K-3.9K0.64131.73N/AN/A6253971,139487
2016-08-16$38.55$39.0017.3%5.0%21.0%3.8%18.7%2.9%2.0%395.2K-991.4K-3.9K0.65102.41N/AN/A6254081,139487
2016-08-17$38.61$39.0030.8%8.8%21.0%43.5%0.0%-0.1%-6.5%250.1K-1.3M-4.2K0.00150.14N/AN/A001,136499
2016-08-18$39.34$39.0016.0%4.6%21.6%0.0%17.0%3.2%-0.5%574.0K-2.2M-3.5K0.00124.39N/AN/A51021,136457
2016-08-19$39.03$39.0017.6%5.1%21.9%4.8%18.3%1.5%1.1%5.5M-2.6M-3.4K0.63103.64N/AN/A6333991,149458
2016-08-22$38.64$39.0017.6%5.1%20.8%4.7%18.3%4.0%2.0%54.0K-640.6K-3.2K1.90107.92N/AN/A124235562277
2016-08-23$38.80$39.0018.2%5.2%20.8%6.3%18.9%3.1%1.4%58.7K-653.4K-3.4K2.14102.23N/AN/A110235584287
2016-08-24$38.68$39.0020.2%5.8%20.3%12.7%14.7%2.4%3.2%55.7K-660.2K-3.5K0.17140.09N/AN/A183590287
2016-08-25$38.56$39.0017.2%4.9%20.4%3.6%17.1%-1.4%1.8%61.2K-701.7K-3.4K2.11115.31N/AN/A108228608290
2016-08-26$38.48$39.0065.5%18.8%20.3%100.0%60.2%34.2%-34.9%37.8K-783.5K-4.4K2.13148.60N/AN/A107228608290
2016-08-29$38.69$39.0016.7%4.8%14.7%1.5%17.6%5.4%0.7%63.3K-650.2K-3.1K1.81109.44N/AN/A126228609290
2016-08-30$38.54$39.0017.4%5.0%14.7%2.9%18.5%4.3%0.9%72.1K-750.1K-3.2K1.81116.61N/AN/A126228629290
2016-08-31$37.95$39.0018.5%5.3%14.7%5.0%20.4%7.1%5.0%61.4K-585.0K-3.2K1.82143.24N/AN/A126229631290