IYE Options History — February 2018

In February 2018, IYE traded between $36.41 and $41.28. ATM implied volatility averaged 23.8%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.3% (HV 20d: 26.1%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.66.

Notable Days

  • 2018-02-16: Highest Volume — 1,060 contracts
  • 2018-02-09: Largest IV spike — 34.2% change
  • 2018-02-06: Highest IV Rank — 41.1%
  • 2018-02-09: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.57$36.41$41.28$41.28$36.58
Max Pain$39.05$37.00$43.00$43.00$37.00
ATM IV23.8%19.2%35.6%19.2%22.2%
Expected Move6.6%5.2%8.5%5.2%6.4%
HV 20d26.1%16.5%28.4%16.5%28.4%
HV 60d19.7%15.3%21.3%15.3%21.3%
IV Rank22.4%15.1%41.1%15.1%19.9%
IV Percentile91.7%86.1%97.6%90.1%89.7%
Term Structure-1.1%-4.4%2.5%0.1%-3.7%
VWIV22.2%18.8%28.5%18.8%21.0%
Skew 25d4.0%-0.3%7.7%2.1%2.8%
Skew 10d10.0%1.2%18.0%3.5%1.2%
Call IV 25d21.7%17.4%28.6%17.4%22.1%
Put IV 25d25.7%19.5%31.8%19.5%24.9%
Bid-Ask Spread %78.4345.77108.8054.1445.77
Gamma HHI0.210.120.480.210.29
Net GEX85.9K24.4K264.2K71.5K153.6K
Net DEX-810.4K-2.0M453.5K-1.7M-1.2M
Net VEX-7.1K-8.5K-6.0K-7.5K-6.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.261.240.750.26
Total Volume803.3685101,060535881
Total OI1,582.7371,2631,8901,3291,890

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-02-01$41.28$43.0019.2%5.2%16.5%15.1%18.8%2.1%0.1%71.5K-1.7M-7.5K0.7554.14N/AN/A305230961368
2018-02-02$39.47$42.0022.9%6.2%22.9%20.9%20.1%3.2%-1.6%35.7K-685.3K-7.2K0.6753.36N/AN/A305205965378
2018-02-05$38.09$42.0030.3%7.1%25.8%32.7%28.5%4.7%1.2%37.6K-257.5K-7.1K0.51108.80N/AN/A383195972361
2018-02-06$38.20$41.0035.6%7.7%25.7%41.1%25.3%7.7%-4.4%58.1K-338.3K-7.3K0.5395.67N/AN/A3932101,070361
2018-02-07$37.68$41.0024.8%7.1%25.9%24.0%23.3%5.6%-3.4%68.4K-526.0K-6.7K0.5478.54N/AN/A3982151,095326
2018-02-08$36.52$41.0022.1%6.3%27.5%19.7%22.0%-0.3%2.5%52.4K-51.1K-6.0K1.2490.81N/AN/A3674551,095361
2018-02-09$36.41$41.0029.7%8.5%25.8%31.7%24.8%3.9%-1.0%24.4K453.5K-6.4K1.0792.94N/AN/A4745051,155500
2018-02-12$37.04$41.0026.5%7.6%26.7%26.7%25.7%7.0%-2.1%31.0K-226.1K-7.2K1.0982.94N/AN/A4655051,268518
2018-02-13$36.90$40.0024.1%6.9%26.6%22.9%24.2%4.1%0.0%29.7K-217.0K-7.1K0.9581.59N/AN/A5305051,279499
2018-02-14$37.47$37.0022.2%6.4%27.3%19.9%22.2%3.7%0.3%54.6K-614.7K-7.2K0.95101.06N/AN/A5305051,318469
2018-02-15$37.31$37.0022.9%6.6%27.3%20.9%21.7%3.5%-0.6%41.4K-625.4K-7.2K0.9486.07N/AN/A5405051,313469
2018-02-16$37.37$37.0022.5%6.5%27.4%20.3%21.5%4.1%-1.2%87.5K-812.0K-7.2K0.9189.40N/AN/A5555051,323469
2018-02-20$37.09$37.0022.7%6.5%25.5%20.6%22.4%4.2%-1.8%82.8K-1.1M-6.4K0.3364.76N/AN/A4881591,094169
2018-02-21$36.51$37.0019.4%5.6%25.6%15.4%19.2%5.6%0.1%79.1K-1.0M-6.3K0.4276.31N/AN/A5132161,125159
2018-02-22$36.91$37.0023.8%6.8%26.3%22.3%21.1%4.7%-2.8%88.4K-1.1M-7.2K0.28106.03N/AN/A7121981,170218
2018-02-23$37.68$37.0021.1%6.0%28.1%18.0%19.7%2.2%-2.7%150.4K-1.5M-7.7K0.2780.55N/AN/A7461981,371221
2018-02-26$37.91$37.0019.3%5.5%28.2%15.2%19.3%3.1%0.0%264.2K-2.0M-8.5K0.4153.04N/AN/A4801981,665221
2018-02-27$37.47$37.0021.2%6.1%28.1%18.2%20.6%3.6%-0.3%221.8K-1.8M-8.1K0.4048.36N/AN/A4921981,665211
2018-02-28$36.58$37.0022.2%6.4%28.4%19.9%21.0%2.8%-3.7%153.6K-1.2M-6.9K0.2645.77N/AN/A6991821,679211