IYE Options History — September 2016

In September 2016, IYE traded between $36.82 and $39.73. ATM implied volatility averaged 22.2%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 1.6% (HV 20d: 20.6%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.89.

Notable Days

  • 2016-09-13: Highest Volume — 550 contracts
  • 2016-09-21: Largest IV spike — 65.1% change
  • 2016-09-21: Highest IV Rank — 42.8%
  • 2016-09-21: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.05$36.82$39.73$37.81$39.11
Max Pain$37.19$37.00$39.00$39.00$37.00
ATM IV22.2%15.7%37.1%20.8%19.3%
Expected Move6.2%5.1%10.6%6.0%5.5%
HV 20d20.6%14.7%27.8%14.7%27.5%
HV 60d21.3%20.1%22.8%20.8%21.5%
IV Rank12.9%0.0%42.8%9.8%7.2%
IV Percentile27.0%0.0%89.7%17.5%11.9%
Term Structure0.9%-7.4%12.6%-0.5%-0.2%
VWIV21.9%16.9%40.7%16.9%18.1%
Skew 25d4.7%-0.7%32.3%2.6%3.4%
Skew 10d11.9%-3.8%60.0%-1.5%8.5%
Call IV 25d20.1%14.9%29.4%14.9%18.2%
Put IV 25d24.8%17.5%54.0%17.5%21.6%
Bid-Ask Spread %114.8394.53142.41129.90114.27
Gamma HHI0.190.160.350.170.22
Net GEX55.1K16.2K98.8K58.7K93.2K
Net DEX-446.3K-1.1M137.9K-438.8K-845.3K
Net VEX-2.9K-3.7K-1.5K-2.9K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.891.442.681.821.46
Total Volume435.857355550355458
Total OI1,065.5249221,1819221,181

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$37.81$39.0020.8%6.0%14.7%9.8%16.9%2.6%-0.5%58.7K-438.8K-2.9K1.82129.90N/AN/A126229631291
2016-09-02$38.23$39.0018.5%5.3%14.8%4.9%17.3%4.1%0.8%68.1K-595.2K-3.0K1.82106.88N/AN/A126229631291
2016-09-06$38.79$37.0015.7%5.3%14.9%0.0%18.9%5.8%1.9%80.6K-723.7K-2.9K1.7394.53N/AN/A132229631291
2016-09-07$38.98$37.0018.3%5.5%14.8%5.2%18.6%3.7%0.1%84.3K-825.5K-2.9K1.55106.64N/AN/A148229638291
2016-09-08$39.73$37.0027.0%5.1%15.0%22.6%18.9%0.2%2.8%98.8K-1.1M-2.8K1.44119.91N/AN/A166239658291
2016-09-09$38.64$37.0016.7%5.6%17.9%2.0%17.9%2.0%1.5%92.8K-969.7K-3.1K1.49102.55N/AN/A166248671281
2016-09-12$38.91$37.0023.4%5.9%18.0%15.4%21.3%6.6%0.4%93.0K-773.6K-3.0K2.33104.68N/AN/A165384671290
2016-09-13$37.70$37.0026.4%6.4%21.2%21.5%22.8%3.9%-1.6%44.1K-418.9K-3.4K2.67105.75N/AN/A150400661435
2016-09-14$37.24$37.0021.9%6.3%21.5%12.3%33.5%1.9%3.6%36.3K-383.6K-3.7K2.67136.94N/AN/A150400663455
2016-09-15$37.70$37.0024.0%6.9%22.0%16.6%23.2%10.8%1.2%31.9K-142.5K-3.3K2.67112.93N/AN/A150400664465
2016-09-16$37.45$37.0023.1%6.6%20.8%14.7%24.0%6.0%0.0%24.2K-74.3K-3.1K2.68112.80N/AN/A149400664465
2016-09-19$37.46$37.0021.4%6.1%20.7%11.5%21.3%1.8%-7.4%30.0K-225.0K-3.0K1.96118.14N/AN/A124243631452
2016-09-20$37.12$37.0022.4%6.4%20.7%13.5%21.7%2.0%-0.3%23.4K-117.0K-3.0K1.8099.10N/AN/A142255634453
2016-09-21$37.85$37.0037.1%10.6%22.0%42.8%40.7%-0.7%12.6%21.3K-138.6K-3.1K1.52142.41N/AN/A163248654465
2016-09-22$38.00$37.0019.9%5.7%22.0%8.3%18.1%1.8%2.1%49.7K-438.8K-3.0K1.52109.74N/AN/A163248664465
2016-09-23$37.44$37.0022.7%6.5%22.6%13.9%21.3%2.3%0.8%36.0K-213.2K-2.9K1.64113.41N/AN/A159261662465
2016-09-26$37.09$37.0022.8%6.5%22.7%14.2%21.0%3.2%-0.4%29.7K-44.7K-2.7K1.69115.11N/AN/A154261662490
2016-09-27$36.82$37.0023.4%6.7%22.7%15.5%21.4%1.5%0.7%16.2K137.9K-2.6K1.69116.41N/AN/A154261664490
2016-09-28$38.44$37.0022.0%6.3%27.8%12.6%22.9%32.3%2.1%88.6K-544.6K-1.5K1.72128.50N/AN/A153263664490
2016-09-29$38.62$37.0018.8%5.4%27.3%6.3%21.1%2.7%-0.6%57.1K-473.2K-2.6K1.74120.74N/AN/A156272669492
2016-09-30$39.11$37.0019.3%5.5%27.5%7.2%18.1%3.4%-0.2%93.2K-845.3K-2.3K1.46114.27N/AN/A186272680501