IYE Options History — March 2017

In March 2017, IYE traded between $37.54 and $40.06. ATM implied volatility averaged 18.5%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 0.9% (HV 20d: 17.5%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.33.

Notable Days

  • 2017-03-16: Highest Volume — 348 contracts
  • 2017-03-08: Largest IV spike — 122.4% change
  • 2017-03-08: Highest IV Rank — 41.0%
  • 2017-03-01: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.58$37.54$40.06$40.06$38.65
Max Pain$38.87$38.00$42.00$42.00$38.00
ATM IV18.5%13.5%36.4%28.9%14.4%
Expected Move5.0%4.1%8.3%8.3%4.1%
HV 20d17.5%15.7%19.4%17.0%15.7%
HV 60d14.7%14.0%15.3%14.1%15.0%
IV Rank11.8%3.7%41.0%28.8%5.3%
IV Percentile26.7%0.8%96.4%90.9%3.6%
Term Structure2.0%-9.3%22.0%-9.3%2.0%
VWIV17.0%13.8%27.6%27.6%13.8%
Skew 25d2.2%-1.0%6.2%1.1%3.1%
Skew 10d5.0%-2.1%14.9%5.5%1.5%
Call IV 25d16.3%11.3%28.6%28.6%11.3%
Put IV 25d18.5%14.4%29.7%29.7%14.4%
Bid-Ask Spread %108.6791.24139.28139.28103.38
Gamma HHI0.210.140.280.180.28
Net GEX21.4K13.4K28.1K28.1K27.8K
Net DEX47.1K-129.7K207.4K-129.7K106.0K
Net VEX-955-1.3K-666-1.2K-843
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.260.510.280.34
Total Volume281.435262348262266
Total OI396.087357452357408

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$40.06$42.0028.9%8.3%17.0%28.8%27.6%1.1%-9.3%28.1K-129.7K-1.2K0.28139.28N/AN/A2045829166
2017-03-02$39.68$42.0016.2%4.7%17.2%8.2%16.6%0.1%0.6%23.5K-123.2K-1.3K0.28100.29N/AN/A2045830566
2017-03-03$39.51$42.0016.2%4.6%17.2%8.1%16.5%2.5%0.9%21.1K-96.2K-1.2K0.28110.48N/AN/A2045830566
2017-03-06$39.63$40.0013.5%4.6%16.6%3.7%15.1%3.1%2.6%17.3K-67.2K-1.1K0.2893.32N/AN/A2055830566
2017-03-07$39.27$40.0016.4%4.9%16.5%8.4%14.6%0.7%2.0%17.3K-84.5K-1.2K0.28105.94N/AN/A2045830666
2017-03-08$38.27$40.0036.4%6.4%18.1%41.0%21.7%3.5%-5.1%20.9K-65.4K-1.0K0.29137.09N/AN/A2055930666
2017-03-09$38.45$40.0023.7%5.0%18.3%20.4%16.3%2.9%1.0%16.1K23.8K-8670.28116.76N/AN/A2115931067
2017-03-10$38.31$38.0018.6%5.0%17.8%12.0%16.3%1.8%2.1%19.1K6.1K-8890.2693.18N/AN/A2305931767
2017-03-13$38.39$38.0020.2%5.0%17.4%14.6%16.1%3.0%2.6%25.4K-2.6K-8870.2699.49N/AN/A2305933767
2017-03-14$38.04$38.0020.0%5.1%17.5%14.3%16.9%0.6%3.4%22.6K18.2K-8340.26100.31N/AN/A2305933767
2017-03-15$38.83$38.0021.7%6.2%19.3%17.1%20.8%4.2%-0.9%25.2K-55.9K-1.0K0.51138.21N/AN/A23011733767
2017-03-16$38.57$38.0016.3%4.7%19.4%8.2%16.3%-1.0%2.1%25.8K131.8K-9560.51107.57N/AN/A230118337114
2017-03-17$38.62$38.0015.3%4.4%18.9%6.6%15.5%1.0%3.8%24.1K134.1K-9510.51108.85N/AN/A230118337115
2017-03-20$38.47$38.0015.3%4.4%18.8%6.8%15.2%2.6%3.4%21.6K117.5K-8320.4298.02N/AN/A2108929399
2017-03-21$38.17$38.0016.6%4.7%18.6%8.7%16.8%0.6%22.0%21.7K97.3K-8770.3198.25N/AN/A2106629499
2017-03-22$38.11$38.0018.6%5.3%17.8%12.1%19.1%2.1%0.0%19.0K155.3K-9420.31121.44N/AN/A21066294109
2017-03-23$37.99$38.0017.4%5.0%17.7%10.2%16.6%1.9%1.1%18.3K154.2K-8830.3391.24N/AN/A19966294109
2017-03-24$37.60$38.0016.4%4.7%17.7%8.4%14.9%4.3%1.9%15.9K185.4K-7230.3396.98N/AN/A19966293109
2017-03-27$37.54$38.0016.1%4.6%16.8%8.0%16.7%2.2%2.4%13.4K207.4K-6660.34103.83N/AN/A19967292109
2017-03-28$37.98$38.0016.1%4.6%17.5%8.0%16.4%4.5%3.3%16.7K186.7K-7330.34105.66N/AN/A19867292110
2017-03-29$38.52$38.0016.3%4.7%15.9%8.3%16.2%6.2%2.2%23.9K92.1K-1.0K0.34126.39N/AN/A20268297110
2017-03-30$38.63$38.0014.2%4.1%15.8%4.9%14.9%0.7%1.9%27.9K91.9K-8980.34103.54N/AN/A20268300109
2017-03-31$38.65$38.0014.4%4.1%15.7%5.3%13.8%3.1%2.0%27.8K106.0K-8430.34103.38N/AN/A19868299109