IYE Options History — December 2017

In December 2017, IYE traded between $37.42 and $39.83. ATM implied volatility averaged 13.6%, placing in the 6.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.2% (HV 20d: 13.4%). Max pain ranged from $36.00 to $37.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2017-12-07: Highest Volume — 638 contracts
  • 2017-12-18: Largest IV spike — 24.8% change
  • 2017-12-06: Highest IV Rank — 10.1%
  • 2017-12-06: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.49$37.42$39.83$38.18$39.66
Max Pain$36.90$36.00$37.00$37.00$37.00
ATM IV13.6%10.0%16.1%15.2%13.7%
Expected Move4.0%2.9%8.1%4.4%3.9%
HV 20d13.4%11.5%15.1%15.1%13.3%
HV 60d11.9%11.5%12.5%11.9%12.5%
IV Rank6.1%0.4%10.1%8.8%6.3%
IV Percentile17.5%0.4%45.6%30.6%19.0%
Term Structure2.1%-8.8%15.4%-1.8%1.8%
VWIV13.8%11.6%19.8%15.3%14.7%
Skew 25d1.9%0.5%3.7%3.2%1.7%
Skew 10d3.3%-18.0%9.5%3.7%7.2%
Call IV 25d13.1%11.5%15.1%13.3%13.7%
Put IV 25d15.0%12.8%18.4%16.5%15.4%
Bid-Ask Spread %52.4828.26117.71117.7151.01
Gamma HHI0.360.220.630.410.26
Net GEX73.6K21.7K152.5K96.8K56.5K
Net DEX-1.4M-1.9M-768.9K-1.4M-1.8M
Net VEX-5.3K-6.7K-4.4K-6.5K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.751.020.990.90
Total Volume608.85531638597628
Total OI1,334.41,1781,5111,3591,346

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$38.18$37.0015.2%4.4%15.1%8.8%15.3%3.2%-1.8%96.8K-1.4M-6.5K0.99117.71N/AN/A300297851508
2017-12-04$38.17$36.0015.8%4.2%15.0%9.7%14.6%3.5%1.4%99.4K-1.4M-6.3K0.9751.52N/AN/A306297853521
2017-12-05$37.96$36.0014.9%4.0%12.6%8.2%13.8%3.2%2.2%102.3K-1.3M-6.1K1.0245.18N/AN/A305312853521
2017-12-06$37.42$37.0016.1%8.1%13.4%10.1%19.8%3.2%-8.8%80.0K-768.9K-6.7K1.0293.65N/AN/A305312853546
2017-12-07$37.62$37.0015.1%3.7%13.6%8.6%13.2%3.7%3.1%90.9K-919.7K-6.1K0.9660.65N/AN/A326312853546
2017-12-08$37.92$37.0013.0%3.8%13.8%5.2%13.1%2.6%2.4%84.9K-1.1M-6.3K0.9742.41N/AN/A323312865646
2017-12-11$38.23$37.0014.7%3.8%14.0%7.9%12.8%0.7%0.5%111.5K-1.4M-5.4K0.9830.15N/AN/A319312843546
2017-12-12$38.09$37.0013.5%3.6%13.9%6.0%12.1%2.8%3.1%120.8K-1.4M-5.2K0.9760.33N/AN/A320312843546
2017-12-13$38.06$37.0011.6%3.3%12.2%3.0%14.0%0.6%6.1%100.6K-1.3M-5.4K0.9761.86N/AN/A320312845546
2017-12-14$37.91$37.0011.8%3.4%11.5%3.3%12.3%1.0%2.5%152.5K-1.3M-5.1K0.9639.58N/AN/A324312845546
2017-12-15$37.78$37.0010.0%2.9%11.5%0.4%11.6%2.6%2.1%26.4K-1.1M-4.9K0.9761.38N/AN/A307297840546
2017-12-18$38.17$37.0012.4%3.6%11.8%4.3%12.8%2.1%1.6%29.9K-1.1M-4.9K1.0137.39N/AN/A264267699520
2017-12-19$37.96$37.0012.7%3.6%12.0%4.7%12.7%1.4%1.8%21.7K-921.0K-4.8K0.9732.44N/AN/A274267658520
2017-12-20$38.55$37.0013.0%3.7%13.0%5.1%13.4%0.8%1.7%31.5K-1.2M-4.6K0.9947.58N/AN/A283281668520
2017-12-21$39.37$37.0013.9%4.0%14.6%6.7%13.8%0.5%1.1%43.9K-1.6M-4.4K0.7531.30N/AN/A338255680524
2017-12-22$39.47$37.0013.6%3.9%14.6%6.2%13.7%0.5%2.0%59.4K-1.8M-4.9K0.8555.64N/AN/A331281751527
2017-12-26$39.83$37.0013.4%3.8%13.8%5.8%14.2%2.1%2.1%54.5K-1.9M-4.7K0.8128.26N/AN/A346282745553
2017-12-27$39.67$37.0013.4%3.8%14.1%5.9%13.8%1.0%1.8%58.3K-1.9M-4.6K0.8631.45N/AN/A328282750554
2017-12-28$39.76$37.0013.9%4.0%14.1%6.6%14.9%1.4%15.4%50.1K-1.9M-4.8K0.9070.09N/AN/A331297757554
2017-12-29$39.66$37.0013.7%3.9%13.3%6.3%14.7%1.7%1.8%56.5K-1.8M-4.9K0.9051.01N/AN/A331297767579