IYE Options History — November 2016

In November 2016, IYE traded between $37.24 and $41.13. ATM implied volatility averaged 24.8%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 8.9% (HV 20d: 15.9%). 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 3 of 21 days. Put/call ratio averaged 1.30.

Notable Days

  • 2016-11-17: Highest Volume — 354 contracts
  • 2016-11-02: Largest IV spike — 57.2% change
  • 2016-11-02: Highest IV Rank — 42.2%
  • 2016-11-02: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.89$37.24$41.13$37.67$41.13
Max Pain$38.00$37.00$40.00$40.00$39.00
ATM IV24.8%20.2%36.7%23.4%29.5%
Expected Move6.9%5.8%10.5%6.7%8.5%
HV 20d15.9%11.5%27.0%12.8%27.0%
HV 60d19.8%18.7%23.3%19.1%23.3%
IV Rank18.2%9.0%42.2%15.4%27.7%
IV Percentile47.0%20.6%88.5%42.1%73.0%
Term Structure-2.6%-14.2%1.6%-0.5%-6.7%
VWIV23.0%17.8%39.9%21.0%26.8%
Skew 25d4.5%-29.3%43.4%43.4%-29.3%
Skew 10d2.7%-36.5%16.4%12.4%-8.8%
Call IV 25d25.9%15.3%54.9%20.9%54.9%
Put IV 25d30.4%21.9%64.3%64.3%25.6%
Bid-Ask Spread %121.4389.47148.17129.51144.06
Gamma HHI0.370.280.470.380.40
Net GEX34.0K11.2K86.8K27.7K86.8K
Net DEX-240.5K-812.9K79.9K-100.4K-812.9K
Net VEX-2.5K-3.0K-1.9K-2.1K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.512.270.511.96
Total Volume294.095189354196317
Total OI535.286417654418654

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$37.67$40.0023.4%6.7%12.8%15.4%21.0%43.4%-0.5%27.7K-100.4K-2.1K0.51129.51N/AN/A13066318100
2016-11-02$37.35$40.0036.7%10.5%11.6%42.2%39.9%10.8%-14.2%25.5K-125.0K-2.2K0.54148.17N/AN/A12366324101
2016-11-03$37.35$37.0032.7%7.2%11.5%34.2%23.0%4.2%-2.6%26.1K-74.3K-2.0K0.54120.19N/AN/A12366326101
2016-11-04$37.24$37.0027.2%7.1%11.5%23.0%19.1%6.6%-2.7%26.7K-55.4K-1.9K0.5489.47N/AN/A12366326101
2016-11-07$37.91$37.0025.4%6.8%12.0%19.4%19.3%5.3%-1.0%28.9K-101.6K-2.0K0.51105.93N/AN/A12966326101
2016-11-08$38.24$37.0023.9%6.5%12.1%16.4%17.8%6.0%-0.8%28.2K-110.9K-2.0K0.51113.27N/AN/A12966316101
2016-11-09$38.76$37.0022.9%6.6%13.1%14.5%17.8%12.4%-1.3%30.3K-165.8K-2.0K1.47134.09N/AN/A133195316101
2016-11-10$38.93$38.0020.2%5.8%13.1%9.0%21.3%6.5%1.6%17.9K-159.4K-2.7K2.27118.25N/AN/A99225325199
2016-11-11$38.27$38.0024.3%7.0%14.4%17.2%23.5%2.5%-2.3%11.2K77.0K-2.8K1.89125.28N/AN/A119225341229
2016-11-14$38.35$38.0023.1%6.6%14.2%14.7%21.3%4.8%-3.0%16.1K79.9K-2.7K1.84114.98N/AN/A122225371229
2016-11-15$39.49$38.0020.5%5.9%17.6%9.6%20.0%3.4%-0.9%28.3K-189.9K-2.8K1.84124.81N/AN/A122225379229
2016-11-16$39.21$38.0024.8%7.1%17.0%18.1%22.6%34.0%0.1%25.7K-198.1K-2.9K1.84141.04N/AN/A122225379229
2016-11-17$38.98$38.0022.9%6.6%17.0%14.3%22.8%4.2%-0.8%17.6K-199.5K-2.8K1.74119.05N/AN/A129225379229
2016-11-18$39.15$38.0022.5%6.5%17.0%13.6%23.4%5.3%-1.5%20.3K-170.9K-2.8K1.52109.28N/AN/A129196389229
2016-11-21$39.98$38.0020.6%5.9%18.4%9.9%21.7%7.0%-2.5%41.8K-416.4K-2.8K1.13114.58N/AN/A153173342180
2016-11-22$40.07$38.0020.7%5.9%18.2%10.0%21.1%-23.9%-1.9%56.3K-545.0K-3.0K1.17120.07N/AN/A156182407180
2016-11-23$40.23$38.0020.4%5.9%18.2%9.4%22.5%-21.7%1.2%53.1K-570.6K-2.9K1.17139.49N/AN/A156182407189
2016-11-25$40.02$38.0022.8%6.5%18.4%14.2%22.5%6.0%-2.8%55.3K-501.6K-2.9K1.17103.91N/AN/A156182407189
2016-11-28$39.47$38.0027.7%7.9%18.9%24.1%26.8%3.5%-4.7%51.9K-515.8K-2.8K1.17114.40N/AN/A156182407189
2016-11-29$38.91$38.0027.8%8.0%19.2%24.3%28.7%4.0%-6.8%38.8K-194.5K-2.7K2.06120.13N/AN/A102210407189
2016-11-30$41.13$39.0029.5%8.5%27.0%27.7%26.8%-29.3%-6.7%86.8K-812.9K-2.6K1.96144.06N/AN/A107210428226