IYE Options History — June 2017

In June 2017, IYE traded between $35.10 and $36.83. ATM implied volatility averaged 17.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded below realized volatility by 0.2% (HV 20d: 17.3%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-06-30: Highest Volume — 445 contracts
  • 2017-06-22: Largest IV spike — 19.9% change
  • 2017-06-07: Highest IV Rank — 13.0%
  • 2017-06-27: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.75$35.10$36.83$36.03$35.54
Max Pain$39.86$37.00$43.00$37.00$38.00
ATM IV17.1%15.0%19.2%16.7%16.0%
Expected Move4.8%4.3%5.3%4.8%4.6%
HV 20d17.3%13.1%19.5%16.8%18.6%
HV 60d15.6%14.3%16.6%15.0%16.3%
IV Rank9.6%6.2%13.0%8.9%7.8%
IV Percentile33.6%9.1%53.6%28.6%17.1%
Term Structure0.9%-0.7%5.7%-0.5%0.5%
VWIV16.4%12.3%20.3%14.8%15.6%
Skew 25d3.4%1.4%6.3%3.7%2.9%
Skew 10d8.2%0.8%38.1%1.3%3.8%
Call IV 25d15.4%13.1%17.7%15.0%15.4%
Put IV 25d18.8%16.9%20.6%18.6%18.3%
Bid-Ask Spread %61.9332.55126.7668.6936.14
Gamma HHI0.360.270.450.320.33
Net GEX18.9K13.7K28.0K19.3K21.5K
Net DEX162.0K44.0K270.2K151.0K127.9K
Net VEX-2.0K-2.4K-1.6K-1.7K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.320.500.360.45
Total Volume409.136362445364445
Total OI547.318484610484610

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$36.03$37.0016.7%4.8%16.8%8.9%14.8%3.7%-0.5%19.3K151.0K-1.7K0.3668.69N/AN/A26797346138
2017-06-02$35.64$37.0016.7%4.8%15.0%9.0%12.3%3.7%-0.3%14.5K195.4K-1.6K0.3680.10N/AN/A26795346141
2017-06-05$35.76$43.0016.7%4.7%13.3%9.0%16.6%3.4%1.4%14.9K188.2K-1.6K0.3240.64N/AN/A29895346142
2017-06-06$36.14$43.0018.2%4.6%13.6%11.4%16.7%2.9%1.3%20.1K126.4K-1.9K0.3272.65N/AN/A29895372142
2017-06-07$35.50$43.0019.2%5.3%14.7%13.0%16.3%6.3%0.5%18.0K132.8K-1.8K0.3582.80N/AN/A298105372142
2017-06-08$35.46$43.0016.9%4.8%13.1%9.3%16.4%2.8%2.5%14.3K192.7K-1.8K0.3565.49N/AN/A298105372152
2017-06-09$36.33$43.0015.9%4.8%16.2%7.6%16.9%2.6%1.4%19.6K137.8K-2.0K0.3564.27N/AN/A298105372152
2017-06-12$36.54$43.0016.5%4.6%16.4%8.6%17.4%4.7%0.6%23.3K78.6K-2.1K0.3552.08N/AN/A298105372152
2017-06-13$36.83$43.0017.4%4.3%16.3%10.1%16.0%3.6%2.0%28.0K44.0K-2.1K0.3348.03N/AN/A323105379152
2017-06-14$36.10$40.0016.5%4.7%17.6%8.6%20.3%2.7%-0.0%25.1K111.7K-2.1K0.33126.76N/AN/A323107409152
2017-06-15$35.70$40.0017.3%5.0%17.7%10.0%16.7%4.6%1.1%19.8K137.2K-2.0K0.3261.08N/AN/A333107409154
2017-06-16$36.36$40.0017.0%4.9%19.1%9.5%17.1%2.2%0.8%22.3K45.5K-2.1K0.3284.36N/AN/A334107421154
2017-06-19$36.12$40.0016.1%4.6%18.6%7.9%16.1%3.8%0.1%21.0K107.9K-2.0K0.4145.88N/AN/A275114357151
2017-06-20$35.69$38.0017.5%5.0%19.0%10.3%17.8%1.4%0.1%20.7K146.2K-2.0K0.3953.61N/AN/A280110367161
2017-06-21$35.12$38.0015.0%4.3%19.5%6.2%14.8%2.6%5.7%19.2K154.1K-2.1K0.44101.74N/AN/A283125373172
2017-06-22$35.10$38.0018.0%5.2%19.5%11.1%16.5%3.1%1.6%13.7K270.2K-2.2K0.4850.64N/AN/A284135386207
2017-06-23$35.35$38.0017.0%4.9%19.0%9.5%16.2%4.0%1.0%14.6K265.8K-2.2K0.4834.49N/AN/A284135387207
2017-06-26$35.39$38.0016.9%4.8%19.0%9.3%16.4%1.7%1.3%15.9K252.8K-2.2K0.4866.60N/AN/A284135387207
2017-06-27$35.11$38.0018.4%5.3%18.9%11.7%16.7%5.1%-0.7%15.3K254.0K-2.2K0.4841.83N/AN/A284135387207
2017-06-28$35.25$38.0017.4%5.0%18.8%10.2%17.0%3.6%-0.1%16.3K249.0K-2.3K0.5051.93N/AN/A276139387209
2017-06-29$35.34$38.0018.0%5.2%18.8%11.1%16.0%3.4%0.0%17.2K194.3K-2.3K0.5032.55N/AN/A276139387203
2017-06-30$35.54$38.0016.0%4.6%18.6%7.8%15.6%2.9%0.5%21.5K127.9K-2.4K0.4536.14N/AN/A306139407203