IYE Options History — December 2016

In December 2016, IYE traded between $41.24 and $43.04. ATM implied volatility averaged 19.5%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 4.2% (HV 20d: 23.7%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2016-12-05: Highest Volume — 347 contracts
  • 2016-12-12: Largest IV spike — 107.5% change
  • 2016-12-12: Highest IV Rank — 45.5%
  • 2016-12-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.97$41.24$43.04$41.24$41.47
Max Pain$39.90$39.00$40.00$39.00$40.00
ATM IV19.5%14.4%38.4%22.5%18.3%
Expected Move5.0%4.1%6.4%6.4%5.2%
HV 20d23.7%11.7%26.6%26.6%11.8%
HV 60d20.6%18.4%23.2%23.2%18.4%
IV Rank8.5%0.0%45.5%13.6%7.6%
IV Percentile18.4%0.0%91.7%36.1%13.5%
Term Structure1.9%-4.2%4.1%-4.2%1.7%
VWIV19.2%15.1%27.1%27.1%16.3%
Skew 25d3.1%-13.1%11.6%-0.1%2.5%
Skew 10d7.4%-38.0%57.0%11.0%2.5%
Call IV 25d16.6%12.6%31.0%21.7%12.6%
Put IV 25d19.7%14.6%25.0%21.6%15.0%
Bid-Ask Spread %114.2295.37133.58124.18114.26
Gamma HHI0.370.230.500.370.50
Net GEX38.5K21.6K67.4K65.9K30.7K
Net DEX-921.1K-1.4M-593.0K-1.0M-611.6K
Net VEX-2.0K-2.8K-1.5K-2.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.751.322.522.001.36
Total Volume280.095210347315212
Total OI611.667471767662473

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$41.24$39.0022.5%6.4%26.6%13.6%27.1%-0.1%-4.2%65.9K-1.0M-2.5K2.00124.18N/AN/A105210436226
2016-12-02$41.28$39.0021.5%6.2%26.6%11.6%24.3%6.3%-2.5%67.4K-901.7K-2.8K2.52109.72N/AN/A96242440226
2016-12-05$41.64$40.0019.4%4.9%26.5%7.5%19.1%5.0%4.1%62.5K-1.0M-2.4K2.40106.00N/AN/A102245441258
2016-12-06$41.60$40.0015.8%4.9%26.1%0.1%20.4%4.4%3.4%67.1K-910.5K-2.4K2.4595.37N/AN/A100245431270
2016-12-07$41.65$40.0023.5%5.1%26.1%15.6%21.5%-0.6%1.0%46.2K-942.7K-2.5K2.45126.78N/AN/A100245431270
2016-12-08$42.03$40.0020.5%5.8%26.0%9.7%20.6%6.6%-0.5%56.5K-1.2M-2.0K2.45111.03N/AN/A100245431270
2016-12-09$42.17$40.0018.5%5.3%26.0%5.6%17.5%2.6%2.2%41.3K-1.2M-1.9K1.92101.69N/AN/A103198431270
2016-12-12$42.41$40.0038.4%5.5%24.7%45.5%18.3%1.6%1.1%24.4K-1.4M-1.7K1.87114.59N/AN/A108202434270
2016-12-13$43.04$40.0034.8%5.2%24.9%38.2%16.9%2.1%2.0%35.6K-1.4M-1.7K1.63109.58N/AN/A126205451283
2016-12-14$42.15$40.0017.7%5.1%25.0%4.0%21.6%5.2%3.7%45.0K-1.2M-2.1K1.60129.49N/AN/A128205476286
2016-12-15$42.12$40.0016.6%4.8%24.8%1.8%19.8%-13.1%3.5%49.6K-1.2M-2.1K1.49113.84N/AN/A138205481286
2016-12-16$42.36$40.0016.6%4.7%24.5%1.7%17.1%1.5%2.0%24.3K-1.4M-1.8K1.7798.02N/AN/A120213480286
2016-12-19$42.21$40.0015.6%4.5%24.7%0.0%17.3%2.7%3.2%21.9K-633.1K-1.8K1.36108.05N/AN/A89121295176
2016-12-20$42.07$40.0015.9%4.6%23.9%0.7%18.4%1.2%2.3%21.6K-599.4K-1.9K1.36105.78N/AN/A89121298176
2016-12-21$42.02$40.0014.4%4.1%24.0%0.0%20.5%8.8%2.8%23.5K-593.0K-1.9K1.36133.58N/AN/A89121298176
2016-12-22$42.16$40.0015.8%4.5%24.0%2.6%18.6%4.3%3.6%23.5K-616.8K-1.8K1.34112.98N/AN/A90121299176
2016-12-23$42.05$40.0016.1%4.6%23.9%3.3%15.3%11.6%2.3%26.2K-666.0K-1.7K1.36117.17N/AN/A89121302176
2016-12-27$42.17$40.0016.4%4.7%23.1%3.8%16.3%4.5%2.3%23.2K-675.0K-1.6K1.32112.42N/AN/A91120301179
2016-12-28$41.81$40.0014.9%4.3%22.6%0.9%15.1%2.7%3.8%24.7K-667.4K-1.5K1.32122.61N/AN/A91120303180
2016-12-29$41.67$40.0016.7%4.8%11.7%4.4%20.3%5.6%1.6%27.9K-622.1K-1.7K1.32131.41N/AN/A91120303170
2016-12-30$41.47$40.0018.3%5.2%11.8%7.6%16.3%2.5%1.7%30.7K-611.6K-1.6K1.36114.26N/AN/A90122303170