IYE Options History — June 2018

In June 2018, IYE traded between $40.70 and $42.51. ATM implied volatility averaged 18.9%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 2.1% (HV 20d: 21.0%). Max pain ranged from $33.00 to $41.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2018-06-11: Highest Volume — 887 contracts
  • 2018-06-29: Largest IV spike — 38.8% change
  • 2018-06-29: Highest IV Rank — 47.3%
  • 2018-06-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.67$40.70$42.51$41.98$41.98
Max Pain$33.38$33.00$41.00$41.00$33.00
ATM IV18.9%15.2%25.9%18.3%25.9%
Expected Move5.4%4.6%7.4%5.2%7.4%
HV 20d21.0%20.1%23.4%20.6%20.3%
HV 60d21.1%19.9%22.0%21.9%19.9%
IV Rank27.0%16.0%47.3%25.0%47.3%
IV Percentile67.6%30.6%96.0%67.1%96.0%
Term Structure0.1%-1.5%1.5%0.3%0.5%
VWIV19.1%16.1%27.7%18.7%27.7%
Skew 25d3.6%2.2%10.8%2.5%10.8%
Skew 10d6.4%1.9%12.8%1.9%5.9%
Call IV 25d18.5%15.9%38.2%16.9%38.2%
Put IV 25d22.1%18.3%49.0%19.4%49.0%
Bid-Ask Spread %37.8816.4587.6816.4587.35
Gamma HHI0.220.170.350.190.22
Net GEX308.7K-37.3K414.1K347.5K282.2K
Net DEX-6.7M-8.1M-5.5M-7.4M-6.6M
Net VEX-9.9K-13.1K-8.1K-13.1K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.190.470.440.33
Total Volume628.143397887647480
Total OI2,732.192,2833,1873,1612,456

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-06-01$41.98$41.0018.3%5.2%20.6%25.0%18.7%2.5%0.3%347.5K-7.4M-13.1K0.4416.45N/AN/A4481992,723438
2018-06-04$41.63$33.0019.6%5.2%20.7%29.0%19.9%3.6%1.0%344.1K-6.9M-12.9K0.4740.46N/AN/A4261992,746441
2018-06-05$41.50$33.0018.8%5.4%20.8%26.5%19.4%2.9%-0.8%341.9K-6.7M-12.7K0.4720.87N/AN/A4221992,746441
2018-06-06$41.64$33.0017.3%4.9%20.7%22.1%16.7%2.8%0.7%356.0K-6.9M-12.1K0.3024.25N/AN/A6651992,743441
2018-06-07$42.41$33.0019.3%5.2%20.4%28.2%17.9%2.5%0.0%373.8K-8.0M-10.7K0.2730.77N/AN/A6641812,647441
2018-06-08$42.22$33.0016.8%5.1%20.3%20.7%18.1%2.4%0.1%373.6K-7.6M-10.7K0.2726.17N/AN/A6671812,643441
2018-06-11$42.51$33.0015.2%4.7%20.4%16.0%17.4%2.3%0.8%414.1K-8.1M-9.4K0.2627.77N/AN/A7061812,637441
2018-06-12$42.09$33.0016.0%4.9%20.6%18.4%16.5%2.8%0.7%383.1K-7.3M-9.0K0.3132.56N/AN/A5851812,551441
2018-06-13$42.08$33.0017.7%5.1%20.6%23.5%18.7%4.3%-0.2%340.8K-6.9M-10.0K0.3087.68N/AN/A6021812,536441
2018-06-14$41.87$33.0016.2%4.6%20.5%19.0%16.1%2.3%1.5%352.9K-6.9M-8.8K0.3038.85N/AN/A6051812,555441
2018-06-15$40.96$33.0017.6%5.0%20.9%23.1%16.8%3.7%0.5%-37.3K-5.7M-9.5K0.3068.69N/AN/A6121852,541404
2018-06-18$41.38$33.0019.6%5.6%21.3%28.9%18.0%3.4%-0.4%275.8K-6.1M-8.9K0.1963.59N/AN/A5221012,114173
2018-06-19$41.33$33.0018.7%5.3%20.8%26.2%18.0%3.5%-0.2%285.7K-6.1M-9.0K0.1923.99N/AN/A5221012,123173
2018-06-20$41.65$33.0018.8%5.4%20.6%26.6%20.3%4.0%-0.4%274.2K-6.4M-8.5K0.3423.02N/AN/A3001012,129173
2018-06-21$40.70$33.0021.1%6.0%22.0%33.2%21.4%4.0%-0.5%286.0K-5.5M-9.6K0.3337.21N/AN/A3071012,132173
2018-06-22$41.70$33.0019.5%5.6%23.4%28.8%19.3%4.0%-0.5%265.6K-6.5M-8.3K0.2830.27N/AN/A3551012,110173
2018-06-25$40.87$33.0021.7%6.2%22.5%35.1%21.8%3.9%-1.5%306.4K-5.7M-9.2K0.3427.58N/AN/A2961012,195173
2018-06-26$41.18$33.0019.7%5.7%22.7%29.3%19.8%4.0%0.0%308.2K-6.2M-8.6K0.3428.52N/AN/A2971002,191173
2018-06-27$41.75$33.0021.0%6.0%20.2%33.1%19.9%4.5%-0.2%298.0K-6.7M-8.3K0.3528.54N/AN/A3431202,220174
2018-06-28$41.66$33.0018.6%5.3%20.1%26.1%19.2%2.2%1.3%311.1K-6.7M-8.1K0.3430.87N/AN/A3541202,248194
2018-06-29$41.98$33.0025.9%7.4%20.3%47.3%27.7%10.8%0.5%282.2K-6.6M-9.5K0.3387.35N/AN/A3601202,262194