IYE Options History — January 2018

In January 2018, IYE traded between $40.30 and $42.68. ATM implied volatility averaged 16.4%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.9% (HV 20d: 14.5%). Max pain ranged from $37.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2018-01-12: Highest Volume — 1,127 contracts
  • 2018-01-18: Largest IV spike — 107.0% change
  • 2018-01-18: Highest IV Rank — 36.0%
  • 2018-01-18: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.67$40.30$42.68$40.30$40.94
Max Pain$39.43$37.00$40.00$37.00$40.00
ATM IV16.4%12.7%32.3%14.5%17.0%
Expected Move4.7%4.0%9.3%4.2%4.9%
HV 20d14.5%12.6%17.9%14.0%17.1%
HV 60d13.8%12.8%15.3%12.8%15.2%
IV Rank10.6%4.8%36.0%7.7%11.6%
IV Percentile47.8%8.3%97.6%27.8%70.2%
Term Structure0.5%-2.1%3.2%0.6%-1.2%
VWIV16.6%13.0%23.5%14.4%20.1%
Skew 25d1.2%-7.3%3.5%3.5%0.9%
Skew 10d1.3%-23.6%10.1%10.1%-9.5%
Call IV 25d16.4%11.9%28.6%11.9%21.4%
Put IV 25d17.5%14.9%22.4%15.5%22.4%
Bid-Ask Spread %58.7823.2498.1939.5984.73
Gamma HHI0.240.210.340.260.21
Net GEX97.0K58.0K146.2K61.3K58.0K
Net DEX-2.8M-4.0M-1.5M-2.2M-1.5M
Net VEX-6.3K-8.6K-4.0K-4.2K-7.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.370.980.980.73
Total Volume634.2864911,127524523
Total OI1,508.9521,1622,0301,3461,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$40.30$37.0014.5%4.2%14.0%7.7%14.4%3.5%0.6%61.3K-2.2M-4.2K0.9839.59N/AN/A265259767579
2018-01-03$40.91$37.0015.6%4.5%14.6%9.3%15.3%-3.2%-0.1%64.5K-2.5M-4.3K0.8983.77N/AN/A284254820564
2018-01-04$41.14$39.0015.2%4.2%14.2%8.7%15.7%1.9%1.3%63.8K-2.7M-4.1K0.9129.38N/AN/A279254828574
2018-01-05$41.11$39.0013.2%4.1%12.6%5.5%14.3%2.6%1.2%71.4K-2.7M-4.1K0.7725.81N/AN/A330254845574
2018-01-08$41.35$39.0013.4%4.2%12.6%5.9%14.3%2.2%1.4%110.2K-3.0M-4.0K0.7767.15N/AN/A328254917574
2018-01-09$41.21$39.0012.7%4.0%12.9%4.8%14.5%0.8%1.2%121.6K-3.0M-4.4K0.8075.18N/AN/A316254942574
2018-01-10$41.17$39.0014.2%4.1%12.9%7.1%13.0%1.3%1.0%130.8K-3.1M-4.4K0.7946.06N/AN/A321254982584
2018-01-11$41.99$39.0014.9%4.3%13.8%8.3%15.6%1.1%1.3%92.6K-3.5M-4.0K0.3854.25N/AN/A806310992584
2018-01-12$42.35$40.0015.2%4.4%13.7%8.7%15.7%2.1%1.0%116.2K-4.0M-7.3K0.3755.15N/AN/A8203071,289650
2018-01-16$41.85$40.0015.3%4.4%14.7%8.9%15.9%1.6%0.7%144.7K-3.7M-7.5K0.6354.69N/AN/A4863071,317681
2018-01-17$42.16$40.0015.6%4.5%14.3%9.4%14.9%1.3%0.8%120.5K-3.9M-7.5K0.5944.27N/AN/A5052971,320681
2018-01-18$41.83$40.0032.3%9.3%15.0%36.0%23.5%-7.3%-2.1%146.2K-3.7M-8.6K0.7198.19N/AN/A4202971,339691
2018-01-19$41.78$40.0015.0%4.3%14.7%8.4%14.6%2.3%0.7%103.2K-3.7M-7.5K0.7060.19N/AN/A4252971,333683
2018-01-22$42.68$40.0015.2%4.4%15.4%8.7%16.3%1.5%3.2%102.1K-2.4M-7.2K0.5423.24N/AN/A318173914248
2018-01-23$42.64$40.0016.0%4.6%14.3%9.9%17.3%2.1%-0.0%98.3K-2.5M-7.2K0.6257.15N/AN/A313193919278
2018-01-24$42.55$40.0015.8%4.5%14.4%9.8%18.1%1.7%0.7%94.8K-2.4M-7.4K0.6173.25N/AN/A315193919328
2018-01-25$42.15$40.0017.4%5.0%15.0%12.2%18.1%2.1%-0.1%89.1K-2.2M-7.5K0.6059.08N/AN/A321193921328
2018-01-26$42.33$40.0018.6%5.3%14.8%14.1%18.1%2.0%-0.0%89.8K-2.3M-7.5K0.5864.08N/AN/A333193925328
2018-01-29$41.77$40.0018.4%5.3%15.9%13.7%19.1%1.1%0.1%89.1K-2.1M-7.4K0.6464.60N/AN/A332213945328
2018-01-30$40.90$40.0018.7%5.4%17.9%14.2%19.7%2.9%-1.1%68.8K-1.6M-7.6K0.7274.61N/AN/A304220946348
2018-01-31$40.94$40.0017.0%4.9%17.1%11.6%20.1%0.9%-1.2%58.0K-1.5M-7.6K0.7384.73N/AN/A303220961368