IYE Options History — May 2018

In May 2018, IYE traded between $40.12 and $43.42. ATM implied volatility averaged 18.8%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.7% (HV 20d: 17.0%). Max pain ranged from $35.00 to $41.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-05-16: Highest Volume — 1,250 contracts
  • 2018-05-07: Largest IV spike — 24.5% change
  • 2018-05-07: Highest IV Rank — 37.6%
  • 2018-05-29: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.81$40.12$43.42$40.12$41.91
Max Pain$39.64$35.00$41.00$39.00$41.00
ATM IV18.8%17.2%22.5%19.9%19.1%
Expected Move5.3%4.9%6.1%5.7%5.5%
HV 20d17.0%14.9%20.9%19.7%20.9%
HV 60d21.4%20.3%23.5%23.5%22.0%
IV Rank26.1%21.8%37.6%27.1%27.4%
IV Percentile69.8%56.0%90.1%81.0%74.6%
Term Structure-0.2%-2.1%0.8%-0.3%-1.0%
VWIV18.8%15.9%21.3%19.9%19.5%
Skew 25d2.5%1.1%3.8%3.4%2.3%
Skew 10d5.0%1.0%8.9%1.1%1.0%
Call IV 25d17.5%15.6%19.9%18.3%18.2%
Put IV 25d20.0%17.9%22.9%21.7%20.5%
Bid-Ask Spread %28.3916.3451.1331.7217.07
Gamma HHI0.290.190.460.380.19
Net GEX395.3K283.9K527.3K408.6K339.0K
Net DEX-9.1M-11.6M-5.8M-7.3M-7.3M
Net VEX-17.8K-25.0K-12.8K-22.0K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.440.840.470.79
Total Volume926.1366821,2501,070792
Total OI3,802.53,0494,5983,8333,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$40.12$39.0019.9%5.7%19.7%27.1%19.9%3.4%-0.3%408.6K-7.3M-22.0K0.4731.72N/AN/A7283423,279554
2018-05-02$40.46$39.0019.0%5.4%19.7%24.7%19.7%2.7%-0.6%462.1K-8.7M-24.7K0.6549.92N/AN/A5193373,636577
2018-05-03$40.17$35.0019.9%5.6%19.4%27.1%19.1%2.9%0.1%514.8K-8.5M-25.0K0.6425.94N/AN/A5233373,767577
2018-05-04$40.60$35.0018.1%5.1%17.4%24.6%18.2%2.5%0.3%527.3K-9.3M-24.9K0.8420.38N/AN/A3703123,805577
2018-05-07$40.67$35.0022.5%5.5%17.4%37.6%19.1%3.4%-0.8%506.7K-9.4M-24.2K0.7030.12N/AN/A4773323,808617
2018-05-08$40.96$40.0021.7%5.6%14.9%35.0%19.2%3.7%-0.3%506.3K-9.7M-23.5K0.7028.78N/AN/A5113583,790641
2018-05-09$41.81$40.0018.3%5.2%15.9%25.1%18.5%3.2%0.0%516.3K-11.6M-21.8K0.5050.95N/AN/A6673313,907691
2018-05-10$42.14$40.0018.7%5.3%15.9%26.2%18.1%2.2%0.3%447.9K-11.3M-19.9K0.8044.11N/AN/A5114093,647691
2018-05-11$42.10$40.0017.7%5.1%16.0%23.5%17.7%2.3%0.8%418.4K-10.8M-18.0K0.8016.34N/AN/A5214163,460731
2018-05-14$42.41$40.0017.5%5.0%15.8%22.9%15.9%2.0%0.3%385.4K-11.0M-15.8K0.5817.66N/AN/A7134163,328740
2018-05-15$42.39$40.0018.2%5.2%15.8%24.8%18.9%2.7%-0.0%420.5K-10.7M-16.8K0.5245.91N/AN/A8164213,318740
2018-05-16$42.67$40.0017.2%4.9%14.9%21.8%19.0%1.9%0.3%380.3K-10.4M-14.9K0.6617.45N/AN/A7544963,110750
2018-05-17$43.30$40.0017.7%5.1%15.4%23.5%18.7%2.8%0.4%283.9K-10.8M-13.3K0.6617.97N/AN/A6924593,037837
2018-05-18$42.98$41.0017.3%5.0%15.3%22.3%18.1%1.1%-0.1%288.9K-10.3M-13.3K0.6424.59N/AN/A7214593,061924
2018-05-21$43.42$41.0017.2%4.9%15.5%21.9%17.5%2.9%-0.4%309.2K-9.6M-12.8K0.4620.31N/AN/A5582592,782289
2018-05-22$42.80$41.0017.3%5.0%15.6%22.2%18.7%1.8%0.5%331.9K-8.8M-14.6K0.5651.13N/AN/A4642592,830373
2018-05-23$42.73$41.0017.3%5.0%15.5%22.2%17.6%1.4%-0.0%336.0K-8.6M-14.5K0.4425.42N/AN/A5882592,806373
2018-05-24$42.10$41.0017.8%5.1%15.9%23.7%18.5%2.0%0.2%326.5K-7.5M-14.6K0.4417.47N/AN/A5952592,687373
2018-05-25$40.98$41.0018.7%5.4%18.4%26.5%19.7%3.8%0.3%326.6K-6.1M-15.0K0.7818.56N/AN/A4483492,676373
2018-05-29$40.88$41.0021.2%6.1%18.4%33.7%21.3%2.9%-1.4%314.5K-5.8M-14.9K0.7826.05N/AN/A4473492,732428
2018-05-30$42.18$41.0020.5%5.9%20.8%31.5%19.9%1.6%-2.1%346.4K-7.7M-13.7K0.7726.82N/AN/A4523492,742428
2018-05-31$41.91$41.0019.1%5.5%20.9%27.4%19.5%2.3%-1.0%339.0K-7.3M-13.8K0.7917.07N/AN/A4433492,725438