IYE Options History — October 2017

In October 2017, IYE traded between $36.54 and $37.53. ATM implied volatility averaged 13.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.7% (HV 20d: 9.3%). Max pain ranged from $32.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2017-10-02: Highest Volume — 701 contracts
  • 2017-10-06: Largest IV spike — 16.1% change
  • 2017-10-12: Highest IV Rank — 7.2%
  • 2017-10-10: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.10$36.54$37.53$37.39$37.11
Max Pain$33.77$32.00$37.00$37.00$36.00
ATM IV13.0%10.9%14.3%13.1%13.5%
Expected Move3.8%3.5%4.1%3.8%3.9%
HV 20d9.3%6.6%12.0%11.9%7.5%
HV 60d11.4%10.5%12.1%11.9%10.5%
IV Rank5.3%1.9%7.2%5.3%5.9%
IV Percentile7.4%0.8%13.5%4.8%12.7%
Term Structure1.4%0.2%4.0%1.1%1.2%
VWIV13.2%11.0%14.6%12.1%11.0%
Skew 25d1.6%-21.5%6.6%3.4%6.6%
Skew 10d4.4%-14.2%12.3%5.7%10.9%
Call IV 25d13.1%8.6%36.6%10.9%8.6%
Put IV 25d14.6%11.4%16.6%14.2%15.2%
Bid-Ask Spread %90.3835.18125.5535.1886.52
Gamma HHI0.400.310.510.370.41
Net GEX89.7K54.0K124.7K68.3K84.8K
Net DEX-699.7K-1.0M-69.5K-650.0K-803.6K
Net VEX-5.9K-6.9K-5.3K-5.8K-5.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.721.180.740.82
Total Volume539.136370701701425
Total OI1,440.0918811,7081,4851,017

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$37.39$37.0013.1%3.8%11.9%5.3%12.1%3.4%1.1%68.3K-650.0K-5.8K0.7435.18N/AN/A403298821664
2017-10-03$37.38$37.0013.2%3.8%12.0%5.5%12.3%1.2%1.4%103.0K-959.7K-6.9K0.8449.28N/AN/A355298988665
2017-10-04$37.33$37.0012.3%3.5%11.0%4.1%13.4%0.5%1.3%104.9K-883.9K-6.8K0.8451.56N/AN/A356298986665
2017-10-05$37.53$32.0010.9%3.7%11.0%1.9%14.6%2.5%1.5%119.5K-1.0M-6.6K0.7955.14N/AN/A356283987665
2017-10-06$37.13$32.0012.7%4.0%11.0%4.7%14.1%2.5%1.8%98.2K-715.3K-6.6K0.7246.36N/AN/A370267989670
2017-10-09$37.24$32.0013.0%4.0%10.6%5.2%14.1%2.4%2.0%109.6K-793.0K-6.5K0.7381.07N/AN/A364267999671
2017-10-10$37.29$32.0012.2%4.1%10.5%3.9%14.2%2.6%1.0%117.6K-851.4K-6.4K0.7940.98N/AN/A344272999671
2017-10-11$37.39$32.0013.9%4.0%9.7%6.6%14.5%-21.5%0.8%124.7K-876.4K-6.3K0.78106.88N/AN/A3492721,000681
2017-10-12$37.23$32.0014.3%4.1%9.9%7.2%14.0%0.6%1.0%103.1K-739.9K-6.2K0.78112.54N/AN/A349272995681
2017-10-13$37.23$32.0013.8%4.0%9.9%6.5%13.6%2.6%0.2%114.8K-760.8K-6.1K0.78104.52N/AN/A349272995681
2017-10-16$37.30$32.0013.3%3.8%9.7%5.7%13.3%1.2%1.0%108.7K-766.8K-5.7K0.78106.06N/AN/A349272995681
2017-10-17$37.32$32.0013.6%3.9%9.7%6.1%14.5%2.5%1.3%114.1K-755.1K-5.6K1.18119.62N/AN/A238281995681
2017-10-18$37.03$32.0013.2%3.8%9.7%5.5%13.1%3.1%1.3%79.1K-521.2K-5.5K1.09111.11N/AN/A2582811,000691
2017-10-19$36.88$32.0013.2%3.8%9.8%5.5%13.5%1.4%0.9%76.3K-472.6K-5.5K1.12108.86N/AN/A2582881,000691
2017-10-20$36.94$32.0012.5%3.6%9.6%4.4%12.9%1.5%0.9%55.4K-69.5K-5.3K1.10119.54N/AN/A2592841,000708
2017-10-23$36.71$32.0013.0%3.7%7.9%5.3%12.8%1.6%4.0%54.0K-589.8K-5.3K0.8587.57N/AN/A200171558323
2017-10-24$36.78$36.0013.4%3.8%6.6%5.8%13.9%1.1%0.7%70.0K-702.4K-5.6K0.86106.36N/AN/A199171633337
2017-10-25$36.54$36.0012.7%3.6%6.7%4.7%12.5%5.6%3.5%62.8K-580.9K-5.8K0.86125.55N/AN/A199172637337
2017-10-26$36.64$36.0013.3%3.8%6.7%5.6%12.0%4.0%0.7%65.7K-566.6K-5.6K0.8696.68N/AN/A199172637338
2017-10-27$36.74$36.0012.8%3.7%6.8%4.9%11.5%2.9%1.3%66.1K-614.4K-5.6K0.84120.07N/AN/A205172637338
2017-10-30$36.99$36.0013.3%3.8%7.3%5.7%12.4%6.2%0.7%72.0K-678.0K-5.4K0.86117.00N/AN/A222192637338
2017-10-31$37.11$36.0013.5%3.9%7.5%5.9%11.0%6.6%1.2%84.8K-803.6K-5.6K0.8286.52N/AN/A233192659358