IYE Options History — July 2017

In July 2017, IYE traded between $34.97 and $36.42. ATM implied volatility averaged 18.4%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 1.9% (HV 20d: 16.5%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2017-07-21: Highest Volume — 692 contracts
2017-07-05: Largest IV spike — 128.3% change
2017-07-05: Highest IV Rank — 50.6%
2017-07-05: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.71	$34.97	$36.42	$36.18	$36.42
Max Pain	$34.40	$34.00	$38.00	$38.00	$34.00
ATM IV	18.4%	14.7%	42.3%	18.5%	15.8%
Expected Move	5.2%	4.2%	12.1%	5.3%	4.5%
HV 20d	16.5%	13.9%	20.6%	19.6%	15.1%
HV 60d	16.8%	16.1%	17.1%	16.7%	16.1%
IV Rank	11.8%	5.7%	50.6%	11.9%	7.6%
IV Percentile	33.9%	7.5%	98.4%	55.6%	17.9%
Term Structure	0.8%	-8.1%	6.5%	-2.2%	-0.2%
VWIV	18.3%	13.7%	30.7%	17.2%	16.0%
Skew 25d	4.3%	-0.7%	22.5%	-0.7%	4.3%
Skew 10d	11.3%	2.4%	41.7%	11.8%	6.1%
Call IV 25d	15.8%	12.6%	21.9%	18.1%	12.6%
Put IV 25d	20.1%	16.7%	39.4%	17.4%	16.9%
Bid-Ask Spread %	68.96	33.36	108.02	90.18	39.36
Gamma HHI	0.28	0.18	0.47	0.27	0.47
Net GEX	38.5K	15.8K	83.2K	32.2K	83.2K
Net DEX	247.5K	12.2K	536.4K	13.5K	12.2K
Net VEX	-3.1K	-4.7K	-2.3K	-2.5K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.43	0.71	0.56	0.68
Total Volume	523.45	432	692	472	490
Total OI	778.35	630	952	630	952

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2017-07-03	$36.18	$38.00	18.5%	5.3%	19.6%	11.9%	17.2%	-0.7%	-2.2%	32.2K	13.5K	-2.5K	0.56	90.18	N/A	N/A	303	169	427	203
2017-07-05	$35.44	$38.00	42.3%	12.1%	20.6%	50.6%	24.6%	22.5%	-8.1%	19.2K	154.6K	-2.9K	0.56	108.02	N/A	N/A	303	169	423	243
2017-07-06	$34.97	$34.00	31.1%	6.6%	20.2%	32.5%	23.3%	7.1%	1.2%	16.6K	227.7K	-2.6K	0.56	88.02	N/A	N/A	303	170	423	243
2017-07-07	$34.99	$34.00	17.6%	5.2%	20.2%	10.5%	18.8%	3.5%	1.2%	15.8K	324.9K	-2.3K	0.59	59.88	N/A	N/A	303	180	423	244
2017-07-10	$35.12	$34.00	18.9%	5.2%	18.0%	12.6%	18.8%	3.5%	0.7%	19.7K	306.4K	-2.4K	0.60	44.91	N/A	N/A	303	183	434	252
2017-07-11	$35.29	$34.00	18.6%	5.2%	18.0%	12.1%	19.0%	3.8%	0.5%	21.4K	287.9K	-2.5K	0.60	44.24	N/A	N/A	303	183	435	255
2017-07-12	$35.38	$34.00	16.9%	4.8%	17.7%	9.3%	18.4%	5.9%	6.5%	29.3K	210.3K	-2.6K	0.67	87.10	N/A	N/A	303	204	442	255
2017-07-13	$35.51	$34.00	16.1%	4.6%	16.5%	8.1%	18.1%	3.0%	1.6%	26.2K	373.2K	-2.5K	0.71	37.93	N/A	N/A	303	216	442	288
2017-07-14	$35.81	$34.00	15.7%	4.5%	16.3%	7.3%	17.5%	3.3%	1.6%	31.8K	301.2K	-2.6K	0.59	88.05	N/A	N/A	303	179	442	288
2017-07-17	$35.73	$34.00	16.3%	4.7%	14.8%	8.4%	16.6%	3.1%	0.9%	36.1K	311.3K	-2.5K	0.48	75.28	N/A	N/A	359	172	442	288
2017-07-18	$35.54	$34.00	15.0%	4.3%	14.8%	6.3%	15.9%	2.7%	1.7%	42.9K	375.4K	-2.6K	0.47	33.36	N/A	N/A	367	172	498	311
2017-07-19	$36.08	$34.00	15.7%	4.5%	15.2%	7.4%	15.2%	1.7%	2.2%	45.4K	270.8K	-2.8K	0.43	59.99	N/A	N/A	367	157	507	323
2017-07-20	$35.97	$34.00	15.0%	4.3%	13.9%	6.3%	14.8%	3.1%	2.0%	64.0K	269.8K	-2.7K	0.47	58.33	N/A	N/A	454	212	507	326
2017-07-21	$35.57	$34.00	14.9%	4.3%	14.6%	6.0%	15.5%	2.6%	2.1%	20.9K	536.4K	-3.3K	0.49	48.74	N/A	N/A	465	227	540	388
2017-07-24	$35.49	$34.00	16.8%	4.8%	14.4%	9.1%	15.2%	2.7%	0.3%	18.7K	434.0K	-3.3K	0.53	78.15	N/A	N/A	353	186	409	327
2017-07-25	$36.07	$34.00	15.5%	4.5%	15.5%	7.1%	13.7%	2.9%	-0.1%	55.6K	218.6K	-3.8K	0.69	62.39	N/A	N/A	255	177	512	328
2017-07-26	$36.14	$34.00	14.7%	4.2%	15.2%	5.7%	21.8%	3.2%	3.4%	52.1K	168.7K	-4.1K	0.50	104.43	N/A	N/A	374	188	514	339
2017-07-27	$36.28	$34.00	15.6%	4.5%	15.2%	7.1%	15.5%	3.6%	0.1%	71.9K	99.2K	-4.6K	0.51	86.45	N/A	N/A	366	188	592	350
2017-07-28	$36.30	$34.00	17.4%	5.0%	15.1%	10.1%	30.7%	3.8%	0.3%	67.0K	54.4K	-4.7K	0.51	84.34	N/A	N/A	372	188	602	350
2017-07-31	$36.42	$34.00	15.8%	4.5%	15.1%	7.6%	16.0%	4.3%	-0.2%	83.2K	12.2K	-4.7K	0.68	39.36	N/A	N/A	291	199	602	350