IYE Options History — October 2016

In October 2016, IYE traded between $37.67 and $39.62. ATM implied volatility averaged 22.2%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.8% (HV 20d: 21.4%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2016-10-12: Highest Volume — 503 contracts
  • 2016-10-13: Largest IV spike — 79.7% change
  • 2016-10-13: Highest IV Rank — 50.9%
  • 2016-10-13: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.75$37.67$39.62$38.99$37.67
Max Pain$39.29$37.00$40.00$37.00$40.00
ATM IV22.2%17.1%41.1%21.7%22.2%
Expected Move6.3%5.1%11.8%6.2%6.4%
HV 20d21.4%12.7%27.6%27.3%13.3%
HV 60d20.8%19.2%21.4%21.3%19.3%
IV Rank13.0%2.8%50.9%12.0%13.1%
IV Percentile29.2%3.6%95.6%26.6%33.7%
Term Structure0.0%-23.5%26.3%-1.6%-0.9%
VWIV20.8%16.8%44.0%19.9%18.7%
Skew 25d4.8%-5.8%18.5%4.5%2.3%
Skew 10d8.7%-15.4%39.6%4.6%3.8%
Call IV 25d20.8%13.7%64.3%18.1%19.1%
Put IV 25d25.6%19.8%72.8%22.5%21.4%
Bid-Ask Spread %118.09100.05143.71116.68126.64
Gamma HHI0.250.140.440.180.38
Net GEX55.1K3.3K90.4K68.5K28.4K
Net DEX-590.8K-1.1M-56.7K-765.0K-127.1K
Net VEX-2.3K-3.0K-1.5K-2.7K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.321.911.440.32
Total Volume422.286245503461270
Total OI1,014.2382621,2911,213418

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$38.99$37.0021.7%6.2%27.3%12.0%19.9%4.5%-1.6%68.5K-765.0K-2.7K1.44116.68N/AN/A189272712501
2016-10-04$38.57$37.0017.8%5.1%27.1%4.2%19.7%1.1%2.4%74.4K-709.7K-2.7K1.52112.33N/AN/A189287715501
2016-10-05$39.15$37.0025.4%7.3%27.6%19.5%25.3%1.7%-2.2%63.3K-771.9K-3.0K1.59130.57N/AN/A181287715526
2016-10-06$39.21$37.0025.1%5.4%26.7%18.9%18.8%4.3%2.7%62.2K-792.7K-2.8K1.59113.53N/AN/A181287723526
2016-10-07$39.02$37.0021.5%5.8%24.8%11.6%19.6%4.1%0.3%80.1K-986.0K-2.6K1.85100.72N/AN/A171317723526
2016-10-10$39.62$40.0017.1%5.5%25.3%2.8%19.6%5.7%0.5%90.4K-1.1M-2.2K1.84100.05N/AN/A172317723556
2016-10-11$39.17$40.0020.2%5.9%22.7%8.9%19.6%4.4%0.3%81.7K-901.6K-2.4K1.82103.49N/AN/A174317725556
2016-10-12$38.98$40.0022.9%6.6%22.2%14.3%18.3%5.6%-1.4%72.2K-767.8K-2.5K1.83111.88N/AN/A178325721556
2016-10-13$38.79$40.0041.1%11.8%22.0%50.9%44.0%8.5%-23.5%51.1K-696.2K-3.0K1.83143.71N/AN/A178325725564
2016-10-14$38.69$40.0022.0%6.3%21.9%12.6%16.8%1.1%-0.1%73.1K-675.9K-2.2K1.91121.04N/AN/A170325725564
2016-10-17$38.41$40.0021.4%6.1%22.1%11.5%19.5%3.4%-1.8%60.0K-444.2K-2.0K1.91106.36N/AN/A170325727564
2016-10-18$38.51$40.0023.1%6.6%21.8%14.9%17.7%-5.8%-1.1%63.6K-482.3K-1.9K1.91114.98N/AN/A170325727564
2016-10-19$39.13$40.0019.8%5.7%21.4%8.1%19.5%8.4%1.5%87.9K-941.0K-1.9K1.84126.73N/AN/A170313727564
2016-10-20$38.97$40.0020.4%5.9%21.5%9.5%19.6%6.8%0.2%73.7K-760.7K-1.7K1.84112.70N/AN/A170313727547
2016-10-21$38.78$40.0020.1%5.8%20.8%8.8%20.4%4.5%-0.6%3.3K-656.8K-1.5K1.41101.50N/AN/A205289727544
2016-10-24$38.64$40.0018.1%5.2%20.5%4.7%19.4%6.8%26.3%6.4K-56.7K-1.6K0.36117.06N/AN/A1806516993
2016-10-25$38.43$40.0019.9%5.7%20.4%8.4%18.1%5.4%1.4%30.5K-221.4K-2.3K0.33126.06N/AN/A1966530395
2016-10-26$38.48$40.0022.7%6.5%13.5%14.0%24.5%18.5%0.5%28.8K-164.0K-2.3K0.35138.92N/AN/A1966930995
2016-10-27$38.41$40.0021.2%6.1%13.4%10.9%21.5%1.1%-1.5%29.3K-196.0K-2.4K0.35134.15N/AN/A1966930999
2016-10-28$38.13$40.0022.2%6.4%12.7%13.0%17.0%9.0%-0.5%28.7K-178.1K-2.3K0.32120.89N/AN/A2056530999
2016-10-31$37.67$40.0022.2%6.4%13.3%13.1%18.7%2.3%-0.9%28.4K-127.1K-2.1K0.32126.64N/AN/A20565318100