IYE Options History — March 2018

In March 2018, IYE traded between $36.23 and $37.92. ATM implied volatility averaged 19.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 21.5%). 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 13 of 21 days. Put/call ratio averaged 0.36.

Notable Days

  • 2018-03-23: Highest Volume — 1,266 contracts
  • 2018-03-22: Largest IV spike — 36.9% change
  • 2018-03-28: Highest IV Rank — 37.6%
  • 2018-03-28: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.00$36.23$37.92$36.51$37.04
Max Pain$36.33$36.00$37.00$37.00$37.00
ATM IV19.8%14.5%23.8%23.1%19.3%
Expected Move5.7%4.8%6.8%6.6%5.5%
HV 20d21.5%17.8%28.3%28.3%23.2%
HV 60d21.9%21.1%23.4%21.2%23.4%
IV Rank27.0%12.8%37.6%35.7%25.5%
IV Percentile78.7%26.2%94.4%92.1%83.7%
Term Structure0.5%-1.7%3.4%-1.4%0.9%
VWIV21.2%17.5%24.0%22.4%20.8%
Skew 25d3.7%2.4%5.1%5.1%2.4%
Skew 10d8.8%3.6%16.0%13.7%8.4%
Call IV 25d19.2%16.2%22.2%22.0%19.5%
Put IV 25d22.9%19.2%27.1%27.1%22.0%
Bid-Ask Spread %61.9929.36107.1581.1529.36
Gamma HHI0.260.190.340.220.33
Net GEX189.9K119.1K229.0K183.6K222.0K
Net DEX-2.2M-3.6M-1.5M-1.7M-2.9M
Net VEX-11.0K-15.1K-7.9K-9.9K-14.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.360.200.660.280.31
Total Volume878.3336451,2668271,167
Total OI2,283.8571,7142,4262,2412,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$36.51$37.0023.1%6.6%28.3%35.7%22.4%5.1%-1.4%183.6K-1.7M-9.9K0.2881.15N/AN/A6451822,006235
2018-03-02$36.79$37.0022.2%6.4%28.3%33.3%17.5%4.8%-1.0%201.0K-1.8M-10.0K0.3858.06N/AN/A4811822,049238
2018-03-05$37.18$36.0023.1%6.0%24.7%35.8%21.3%3.6%-0.9%211.7K-2.0M-9.7K0.3843.46N/AN/A4811822,049238
2018-03-06$37.12$36.0021.8%5.9%21.5%32.2%21.6%2.9%-0.1%228.7K-2.1M-9.9K0.4062.15N/AN/A4861922,049238
2018-03-07$36.83$36.0020.9%5.6%21.6%29.8%21.1%4.3%0.8%188.8K-1.8M-9.8K0.4138.74N/AN/A4671922,091251
2018-03-08$36.75$36.0019.6%5.8%21.1%26.3%21.5%4.2%-0.2%167.1K-1.7M-9.4K0.4146.39N/AN/A4671922,102251
2018-03-09$37.50$36.0014.5%5.4%19.2%12.8%20.9%3.8%1.0%229.0K-2.2M-9.6K0.4163.34N/AN/A4641922,102251
2018-03-12$37.53$36.0016.7%5.1%19.2%18.5%21.6%4.0%0.9%206.5K-2.2M-9.1K0.4159.87N/AN/A4641922,101251
2018-03-13$37.19$36.0018.6%5.6%18.6%23.7%19.8%3.7%0.4%134.9K-1.9M-8.8K0.4138.28N/AN/A4641922,101251
2018-03-14$37.02$36.0018.0%5.2%18.6%22.2%20.9%4.2%0.8%137.6K-1.8M-9.1K0.4160.05N/AN/A4641922,101251
2018-03-15$36.87$36.0017.6%5.0%17.8%21.0%20.2%3.1%1.6%119.1K-1.6M-8.3K0.4258.55N/AN/A4641942,101251
2018-03-16$37.24$36.0016.7%4.8%18.1%18.6%18.4%2.6%2.2%178.4K-2.0M-8.8K0.6672.04N/AN/A4703092,101253
2018-03-19$36.58$36.0018.5%5.3%19.2%23.5%20.0%3.1%1.2%154.2K-1.5M-7.9K0.3845.98N/AN/A4671781,504210
2018-03-20$36.90$36.0017.6%5.0%19.3%21.0%20.5%3.9%2.1%168.9K-1.7M-8.1K0.2054.82N/AN/A9711951,514215
2018-03-21$37.92$36.0016.6%4.8%20.7%18.3%20.9%5.1%3.4%226.6K-3.6M-15.0K0.20107.15N/AN/A9821932,078232
2018-03-22$36.87$36.0022.7%6.5%23.0%34.7%21.9%4.3%-1.7%213.8K-3.1M-14.9K0.2094.47N/AN/A9841932,086232
2018-03-23$36.66$37.0022.4%6.4%21.7%34.0%23.4%2.6%0.7%206.8K-3.0M-15.1K0.3094.38N/AN/A9762902,076232
2018-03-26$37.31$37.0021.4%6.1%22.6%31.2%23.3%2.7%-0.2%214.9K-3.0M-14.8K0.3063.65N/AN/A9762902,080329
2018-03-27$36.88$37.0021.4%6.1%22.6%31.3%22.7%3.3%0.6%204.9K-2.8M-14.6K0.3072.88N/AN/A9302762,080329
2018-03-28$36.23$37.0023.8%6.8%21.8%37.6%24.0%4.5%-0.6%189.0K-2.3M-14.2K0.3157.01N/AN/A8912762,094332
2018-03-29$37.04$37.0019.3%5.5%23.2%25.5%20.8%2.4%0.9%222.0K-2.9M-14.4K0.3129.36N/AN/A8912762,094332