IYE Options History — May 2017

In May 2017, IYE traded between $35.91 and $37.52. ATM implied volatility averaged 18.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.7% (HV 20d: 16.3%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.32.

Notable Days

  • 2017-05-18: Highest Volume — 350 contracts
  • 2017-05-03: Largest IV spike — 241.6% change
  • 2017-05-03: Highest IV Rank — 58.6%
  • 2017-05-03: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$35.91$37.52$37.22$35.91
Max Pain$36.91$36.00$37.00$36.00$37.00
ATM IV18.0%13.0%47.2%13.4%17.3%
Expected Move5.3%3.7%13.5%3.8%5.0%
HV 20d16.3%13.1%18.0%13.1%16.9%
HV 60d15.6%14.9%16.2%15.2%15.1%
IV Rank11.1%3.0%58.6%3.6%10.0%
IV Percentile29.3%0.4%98.4%0.8%33.7%
Term Structure-0.6%-28.4%4.9%4.9%-0.1%
VWIV16.6%13.3%30.1%15.2%15.9%
Skew 25d2.7%-6.6%7.3%-0.2%2.7%
Skew 10d9.1%-0.0%57.1%3.4%8.0%
Call IV 25d16.3%13.6%22.9%16.2%16.2%
Put IV 25d19.0%15.9%22.2%15.9%18.9%
Bid-Ask Spread %99.8945.89141.05115.4881.81
Gamma HHI0.250.160.310.220.31
Net GEX26.5K14.0K47.7K25.0K17.9K
Net DEX48.8K-116.0K175.4K67.4K175.4K
Net VEX-1.5K-2.0K-859-1.0K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.240.420.300.37
Total Volume289.773211350215348
Total OI418.045357492357456

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$37.22$36.0013.4%3.8%13.1%3.6%15.2%-0.2%4.9%25.0K67.4K-1.0K0.30115.48N/AN/A1655027681
2017-05-02$36.96$36.0013.8%4.0%13.2%4.3%15.2%0.6%4.9%23.4K84.6K-9730.33104.15N/AN/A1655527681
2017-05-03$37.16$37.0047.2%13.5%13.3%58.6%30.1%-6.6%-28.4%17.7K-51.0K-1.8K0.35141.05N/AN/A1565527686
2017-05-04$36.26$37.0017.1%5.4%15.5%9.6%18.4%1.0%-0.2%14.0K132.1K-8590.35115.05N/AN/A1565527786
2017-05-05$36.92$37.0014.3%5.1%16.9%5.1%17.6%5.1%-0.7%16.3K132.3K-8760.42105.41N/AN/A1566527787
2017-05-08$37.19$37.0014.8%5.2%17.2%5.8%16.0%4.6%-0.5%21.3K117.7K-1.1K0.39102.08N/AN/A1676527797
2017-05-09$36.88$37.0014.0%5.1%16.7%4.5%16.9%3.0%0.3%22.3K95.7K-1.1K0.3993.55N/AN/A1676528897
2017-05-10$37.47$37.0018.6%5.3%18.0%12.0%17.7%4.4%0.7%24.9K85.7K-1.1K0.39121.27N/AN/A1686528897
2017-05-11$37.35$37.0017.8%5.1%18.0%10.8%16.5%2.9%-0.5%29.4K54.8K-1.1K0.38106.65N/AN/A1706528997
2017-05-12$37.18$37.0017.8%5.1%17.0%10.8%16.5%3.0%0.0%26.4K84.4K-1.1K0.24104.71N/AN/A2696528997
2017-05-15$37.52$37.0016.4%4.7%17.4%8.5%14.6%6.9%-0.9%47.7K-116.0K-2.0K0.25111.63N/AN/A2696637697
2017-05-16$37.37$37.0018.0%5.2%17.4%11.1%16.3%2.6%0.5%40.0K-79.6K-1.9K0.25116.00N/AN/A2696837698
2017-05-17$37.03$37.0019.2%5.5%16.3%13.1%18.5%1.6%0.8%33.9K-27.3K-1.8K0.26138.87N/AN/A26970376100
2017-05-18$37.00$37.0018.9%5.4%16.0%12.6%13.7%7.3%0.2%28.6K6.5K-1.8K0.30106.80N/AN/A26981376105
2017-05-19$37.43$37.0019.3%5.5%16.5%13.3%13.8%6.9%-1.8%29.2K5.0K-1.9K0.30111.63N/AN/A26981375117
2017-05-22$37.34$37.0018.0%5.2%16.4%11.0%17.7%0.5%1.2%31.5K-2.8K-1.9K0.30103.77N/AN/A24774322109
2017-05-23$37.40$37.0018.3%5.2%16.1%11.5%16.5%2.7%-0.4%30.6K14.8K-1.9K0.2945.89N/AN/A25174322109
2017-05-24$37.19$37.0017.0%4.9%16.2%9.5%15.1%4.2%3.9%31.6K-4.1K-1.9K0.3183.59N/AN/A25177327109
2017-05-25$36.52$37.0013.0%3.7%16.6%3.0%13.3%2.3%1.4%27.5K41.5K-1.7K0.3172.71N/AN/A25177327112
2017-05-26$36.54$37.0015.3%4.4%16.6%6.6%14.0%0.8%0.1%24.0K103.6K-1.6K0.3252.93N/AN/A25181327112
2017-05-30$36.20$37.0016.3%4.7%16.9%8.3%14.6%3.1%0.3%19.3K153.6K-1.6K0.3262.60N/AN/A25781327123
2017-05-31$35.91$37.0017.3%5.0%16.9%10.0%15.9%2.7%-0.1%17.9K175.4K-1.5K0.3781.81N/AN/A25494333123