IYE Options History — November 2017

In November 2017, IYE traded between $36.71 and $38.50. ATM implied volatility averaged 18.9%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 6.2% (HV 20d: 12.6%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2017-11-29: Highest Volume — 606 contracts
  • 2017-11-09: Largest IV spike — 66.4% change
  • 2017-11-01: Highest IV Rank — 54.2%
  • 2017-11-01: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.48$36.71$38.50$37.59$37.87
Max Pain$36.62$36.00$37.00$36.00$37.00
ATM IV18.9%12.9%43.8%43.8%14.1%
Expected Move5.4%4.0%12.6%12.6%4.0%
HV 20d12.6%8.0%14.9%8.8%14.9%
HV 60d11.4%10.6%11.9%10.8%11.8%
IV Rank14.5%5.1%54.2%54.2%7.0%
IV Percentile52.4%7.1%98.8%98.8%18.3%
Term Structure1.3%-10.4%35.6%35.6%0.7%
VWIV18.5%13.6%38.8%31.6%14.5%
Skew 25d1.7%-18.0%7.8%7.8%4.0%
Skew 10d5.2%-11.9%23.5%23.5%12.7%
Call IV 25d18.3%10.9%59.4%16.4%10.9%
Put IV 25d20.0%14.2%65.3%24.3%14.9%
Bid-Ask Spread %78.1532.55147.75147.7560.74
Gamma HHI0.410.240.600.480.45
Net GEX92.1K50.6K161.9K55.7K94.6K
Net DEX-1.0M-1.8M-544.1K-932.9K-1.2M
Net VEX-6.7K-8.0K-5.8K-6.7K-6.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.580.870.690.84
Total Volume531.905470606470605
Total OI1,274.7621,0431,3641,0431,358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$37.59$36.0043.8%12.6%8.8%54.2%31.6%7.8%35.6%55.7K-932.9K-6.7K0.69147.75N/AN/A278192685358
2017-11-02$37.42$36.0015.2%4.1%8.7%8.7%13.6%3.3%1.0%108.1K-1.1M-5.8K0.77110.08N/AN/A290224723358
2017-11-03$37.62$36.0012.9%4.0%8.0%5.1%15.3%2.7%-0.0%108.8K-1.1M-6.2K0.82113.70N/AN/A274224747416
2017-11-06$38.50$36.0015.3%4.3%11.3%9.0%16.2%4.3%0.0%111.5K-1.6M-5.9K0.6687.19N/AN/A339224766416
2017-11-07$38.38$36.0015.2%4.4%11.4%8.7%15.9%2.8%0.3%128.9K-1.8M-7.0K0.5852.09N/AN/A329192885420
2017-11-08$38.20$36.0019.0%5.5%11.6%14.8%19.1%7.0%-3.2%113.4K-1.5M-7.7K0.58102.69N/AN/A329192885438
2017-11-09$38.38$36.0031.7%9.1%11.5%34.9%38.8%6.0%-10.4%119.5K-1.5M-8.0K0.58124.73N/AN/A329192885438
2017-11-10$38.16$36.0016.1%4.6%11.8%10.1%17.4%2.8%-0.6%138.5K-1.6M-7.1K0.6265.86N/AN/A326202885438
2017-11-13$37.92$37.0015.6%4.5%12.1%9.3%16.7%2.9%-0.3%161.9K-1.4M-6.9K0.6248.20N/AN/A328202896448
2017-11-14$37.26$37.0016.3%4.7%13.7%10.5%16.3%1.5%0.5%110.4K-964.4K-6.9K0.6168.67N/AN/A332202901448
2017-11-15$36.86$37.0026.0%7.4%14.0%25.8%25.2%-8.3%0.5%76.9K-710.8K-7.1K0.6181.56N/AN/A331202901448
2017-11-16$36.71$37.0016.4%4.7%14.0%10.6%16.2%2.6%-1.0%60.3K-544.1K-6.6K0.6753.66N/AN/A300200901448
2017-11-17$36.92$37.0016.2%4.6%14.1%10.3%15.6%2.2%-0.9%63.0K-621.3K-6.6K0.7442.84N/AN/A300221914450
2017-11-20$36.85$37.0015.8%4.5%14.0%9.6%16.1%1.8%-0.9%60.9K-578.2K-6.6K0.7371.22N/AN/A292213788444
2017-11-21$36.93$37.0015.8%4.5%14.0%9.7%15.6%2.0%-1.3%66.8K-638.0K-6.6K0.7348.41N/AN/A292213802444
2017-11-22$37.14$37.0023.4%6.7%13.9%21.8%21.3%-18.0%4.7%50.6K-768.3K-7.0K0.6897.88N/AN/A312213802444
2017-11-24$37.19$37.0016.7%4.8%13.8%11.1%15.7%2.4%-0.5%78.9K-874.4K-6.6K0.65108.47N/AN/A329213832444
2017-11-27$36.80$37.0015.9%4.5%14.4%9.8%15.2%0.7%-1.3%76.2K-582.2K-6.2K0.6743.55N/AN/A319213838444
2017-11-28$37.05$37.0015.9%4.6%14.4%9.9%15.3%2.3%-2.0%85.4K-758.5K-6.3K0.8732.55N/AN/A319277840444
2017-11-29$37.25$37.0018.7%5.4%14.5%14.3%17.8%2.8%6.6%63.7K-839.1K-7.1K0.8479.33N/AN/A329277840508
2017-11-30$37.87$37.0014.1%4.0%14.9%7.0%14.5%4.0%0.7%94.6K-1.2M-6.7K0.8460.74N/AN/A328277850508