IYE Options History — September 2017

In September 2017, IYE traded between $34.73 and $37.70. ATM implied volatility averaged 13.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.6% (HV 20d: 11.6%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2017-09-25: Highest Volume — 640 contracts
  • 2017-09-13: Largest IV spike — 47.1% change
  • 2017-09-11: Highest IV Rank — 8.7%
  • 2017-09-11: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.35$34.73$37.70$34.73$37.40
Max Pain$37.25$35.00$38.00$35.00$37.00
ATM IV13.2%9.7%16.5%13.7%12.2%
Expected Move3.9%2.8%4.6%3.9%3.5%
HV 20d11.6%10.0%13.3%11.0%12.0%
HV 60d13.3%11.9%14.8%14.8%11.9%
IV Rank4.6%0.0%8.7%4.1%3.9%
IV Percentile6.2%0.0%36.9%2.4%2.4%
Term Structure2.1%1.1%4.3%1.1%2.3%
VWIV14.1%11.7%16.6%13.1%12.9%
Skew 25d4.0%2.3%8.4%3.2%2.6%
Skew 10d8.4%1.9%13.8%4.0%9.1%
Call IV 25d11.7%8.3%14.5%11.2%11.1%
Put IV 25d15.7%13.1%18.5%14.4%13.7%
Bid-Ask Spread %46.5823.11116.4823.1144.20
Gamma HHI0.230.140.370.270.37
Net GEX30.2K5.1K66.2K21.1K66.2K
Net DEX86.5K-674.4K690.6K653.1K-620.5K
Net VEX-5.9K-6.3K-5.2K-5.2K-6.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.881.440.881.12
Total Volume588.7515640588578
Total OI1,402.151,2381,5141,2381,479

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$34.73$35.0013.7%3.9%11.0%4.1%13.1%3.2%1.1%21.1K653.1K-5.2K0.8823.11N/AN/A313275682556
2017-09-05$34.90$38.0015.6%4.5%10.8%7.2%16.6%4.3%1.3%16.0K690.6K-5.3K0.9758.11N/AN/A284275682586
2017-09-06$35.49$38.0014.5%4.5%12.4%5.4%16.1%3.3%1.4%12.9K430.9K-5.5K1.1127.63N/AN/A261290687586
2017-09-07$35.48$38.0014.7%4.3%12.4%5.8%16.0%3.1%2.5%16.6K480.5K-5.7K1.0434.52N/AN/A276286712601
2017-09-08$35.09$38.0014.5%4.4%12.4%5.4%15.9%3.4%2.1%22.8K604.3K-5.6K1.1436.17N/AN/A282321737603
2017-09-11$35.45$38.0016.5%4.6%12.8%8.7%16.2%6.6%1.4%12.7K552.2K-6.2K1.1333.80N/AN/A282319747660
2017-09-12$35.67$38.0010.3%4.0%12.8%0.0%16.1%4.2%3.3%5.1K494.7K-6.0K1.1060.11N/AN/A283310733664
2017-09-13$36.14$37.0015.2%4.4%13.3%7.8%14.8%2.5%1.9%16.8K290.7K-6.3K1.0858.77N/AN/A288310762682
2017-09-14$36.32$37.0014.3%4.1%12.3%6.4%14.8%3.9%2.9%16.1K183.0K-6.2K0.9543.73N/AN/A328310765682
2017-09-15$36.37$37.0013.9%4.0%10.9%5.8%14.2%4.7%2.4%21.2K166.3K-6.2K1.0335.53N/AN/A302310742682
2017-09-18$36.58$37.0012.6%3.6%10.8%3.6%12.4%4.2%1.4%21.9K117.6K-6.0K1.0758.27N/AN/A276295697666
2017-09-19$36.68$37.0011.9%3.4%10.0%2.5%11.7%3.3%1.9%21.8K38.8K-5.8K1.0643.58N/AN/A286304697666
2017-09-20$36.99$37.009.7%2.8%10.1%0.0%12.6%8.4%4.3%35.7K-181.7K-6.1K1.19116.48N/AN/A256304737688
2017-09-21$36.91$37.0012.3%3.5%10.4%4.1%15.8%5.5%1.6%42.1K-45.9K-6.0K1.4434.52N/AN/A211304742688
2017-09-22$37.14$37.0011.6%3.3%10.3%3.1%11.7%4.2%3.3%50.0K-177.5K-5.8K1.2464.68N/AN/A255315762693
2017-09-25$37.70$37.0012.3%3.5%11.0%4.1%14.0%4.2%1.4%45.7K-483.9K-6.0K0.9645.27N/AN/A326314786728
2017-09-26$37.20$38.0012.8%3.7%12.1%4.9%12.6%2.5%1.9%39.0K-273.1K-6.0K1.0426.41N/AN/A303314753722
2017-09-27$37.34$37.0013.2%3.8%12.0%5.5%13.6%3.2%1.1%58.2K-515.5K-6.2K1.0457.81N/AN/A303314815694
2017-09-28$37.44$37.0011.9%3.4%11.9%3.5%11.8%2.3%2.4%61.5K-674.4K-6.1K1.0228.95N/AN/A303308815664
2017-09-29$37.40$37.0012.2%3.5%12.0%3.9%12.9%2.6%2.3%66.2K-620.5K-6.0K1.1244.20N/AN/A273305815664