IYE Options History — August 2017

In August 2017, IYE traded between $33.80 and $36.29. ATM implied volatility averaged 16.7%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.1% (HV 20d: 11.7%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 1.30.

Notable Days

  • 2017-08-29: Highest Volume — 636 contracts
  • 2017-08-16: Largest IV spike — 17.1% change
  • 2017-08-16: Highest IV Rank — 13.8%
  • 2017-08-16: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.76$33.80$36.29$36.29$34.39
Max Pain$35.48$34.00$36.00$34.00$35.00
ATM IV16.7%15.0%19.7%15.9%15.1%
Expected Move4.8%4.3%5.6%4.6%4.3%
HV 20d11.7%10.5%13.8%13.8%10.5%
HV 60d15.4%14.6%15.7%15.6%14.6%
IV Rank9.0%6.2%13.8%7.6%6.4%
IV Percentile35.0%9.9%68.3%19.4%11.5%
Term Structure0.8%-0.6%2.9%-0.1%2.3%
VWIV15.0%10.9%17.5%15.9%13.8%
Skew 25d3.7%-0.1%7.7%3.7%-0.1%
Skew 10d7.4%0.4%29.7%4.6%0.4%
Call IV 25d14.4%12.6%16.7%13.1%13.8%
Put IV 25d18.1%13.7%20.9%16.9%13.7%
Bid-Ask Spread %47.3219.32102.7641.8228.38
Gamma HHI0.310.170.650.470.27
Net GEX29.2K6.2K81.8K81.8K24.3K
Net DEX665.5K71.2K1.0M71.2K727.9K
Net VEX-4.3K-5.2K-3.2K-4.8K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.621.820.620.81
Total Volume475.478364636474568
Total OI1,079.6969781,2289781,228

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-08-01$36.29$34.0015.9%4.6%13.8%7.6%15.9%3.7%-0.1%81.8K71.2K-4.8K0.6241.82N/AN/A292182613365
2017-08-02$36.17$34.0015.2%4.3%11.5%6.4%16.7%2.9%0.7%77.2K145.0K-4.7K1.1225.29N/AN/A172192613369
2017-08-03$35.67$36.0015.3%4.5%11.6%6.6%15.7%4.2%0.5%53.6K341.1K-4.3K1.1943.38N/AN/A172204618379
2017-08-04$35.86$36.0015.0%4.4%11.7%6.2%15.3%4.1%1.2%59.1K339.7K-4.6K1.3726.10N/AN/A172236624402
2017-08-07$35.50$36.0017.4%4.7%12.3%10.1%15.4%3.5%1.1%36.8K543.6K-4.5K1.5232.74N/AN/A155236624441
2017-08-08$35.45$36.0018.1%4.9%12.3%11.2%16.2%3.3%0.0%32.5K574.7K-4.4K1.5143.77N/AN/A155234626441
2017-08-09$35.45$36.0017.6%5.0%12.2%10.4%17.3%5.8%2.9%33.6K516.4K-4.5K1.5170.18N/AN/A155234626441
2017-08-10$35.04$36.0019.2%5.5%12.8%13.0%17.5%4.3%-0.6%28.8K605.1K-4.2K1.5773.03N/AN/A155244626441
2017-08-11$34.92$36.0018.2%5.2%12.4%11.4%16.9%3.4%0.8%19.3K694.2K-4.2K1.7375.05N/AN/A155268628451
2017-08-14$34.75$36.0016.2%4.6%12.5%8.2%13.3%4.8%2.3%8.7K760.2K-3.9K1.7362.83N/AN/A155268624457
2017-08-15$34.62$36.0016.8%4.8%12.4%9.2%10.9%3.2%0.1%9.0K818.9K-3.7K1.5662.90N/AN/A179280624457
2017-08-16$34.23$36.0019.7%5.6%11.3%13.8%13.5%7.7%1.4%6.2K865.5K-3.6K1.82102.76N/AN/A155282618468
2017-08-17$33.80$36.0017.2%4.9%11.8%9.8%12.5%4.0%0.0%18.9K1.0M-3.2K1.7685.04N/AN/A159280618471
2017-08-18$34.07$36.0017.2%4.9%12.0%9.8%13.0%3.8%0.7%47.3K893.8K-3.4K1.2356.40N/AN/A227280640462
2017-08-21$33.83$36.0016.8%4.8%12.2%9.1%16.0%2.5%0.4%9.6K886.1K-3.6K1.2846.39N/AN/A212272536449
2017-08-22$34.04$35.0016.8%4.8%10.5%9.2%16.0%3.5%-0.0%9.3K884.4K-4.1K1.1620.03N/AN/A234272551484
2017-08-23$34.22$35.0017.3%5.0%10.8%10.0%17.0%3.7%1.0%12.6K783.8K-4.5K1.1637.33N/AN/A243281573484
2017-08-24$34.21$35.0016.5%4.7%10.6%8.7%14.3%3.8%-0.1%10.3K829.1K-4.3K1.0552.03N/AN/A266280573492
2017-08-25$34.39$35.0015.5%4.4%10.9%7.0%13.3%4.0%1.2%19.9K710.5K-4.7K1.0526.71N/AN/A266280623500
2017-08-28$34.16$35.0016.8%4.8%10.7%9.1%14.8%2.5%-0.3%23.3K755.0K-4.6K1.0119.32N/AN/A309312643500
2017-08-29$34.15$35.0016.0%4.6%10.8%7.8%15.1%3.0%0.9%24.3K763.0K-5.0K1.0327.02N/AN/A313323677529
2017-08-30$34.17$35.0015.2%4.3%10.9%6.5%14.3%2.5%1.6%24.9K793.8K-5.0K1.0029.83N/AN/A313314682542
2017-08-31$34.39$35.0015.1%4.3%10.5%6.4%13.8%-0.1%2.3%24.3K727.9K-5.2K0.8128.38N/AN/A313255682546