IYE Options History — July 2018

In July 2018, IYE traded between $41.19 and $42.76. ATM implied volatility averaged 17.7%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 1.7% (HV 20d: 19.4%). Max pain ranged from $33.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2018-07-06: Highest Volume — 554 contracts
  • 2018-07-11: Largest IV spike — 27.2% change
  • 2018-07-02: Highest IV Rank — 33.2%
  • 2018-07-02: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.83$41.19$42.76$41.21$42.45
Max Pain$38.62$33.00$41.00$33.00$41.00
ATM IV17.7%14.8%21.0%21.0%16.0%
Expected Move5.1%4.3%6.0%6.0%4.6%
HV 20d19.4%14.2%22.4%21.1%14.2%
HV 60d19.2%18.7%19.8%19.8%18.7%
IV Rank23.3%15.0%33.2%33.2%18.5%
IV Percentile55.6%25.0%81.0%81.0%40.1%
Term Structure0.2%-2.7%1.9%-0.4%1.1%
VWIV18.0%15.6%20.8%19.4%16.1%
Skew 25d2.7%0.9%3.7%1.8%2.3%
Skew 10d6.7%3.1%13.5%11.5%6.1%
Call IV 25d16.5%14.5%19.8%19.7%14.5%
Put IV 25d19.2%16.1%22.1%21.5%16.8%
Bid-Ask Spread %29.2016.6176.0538.9259.60
Gamma HHI0.230.190.330.250.21
Net GEX196.5K80.4K326.6K323.5K88.9K
Net DEX-5.2M-7.5M-2.4M-6.3M-2.8M
Net VEX-5.1K-8.0K-3.7K-8.0K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.310.700.370.66
Total Volume401.238231554477239
Total OI1,862.0959252,4502,432973

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-07-02$41.21$33.0021.0%6.0%21.1%33.2%19.4%1.8%-0.4%323.5K-6.3M-8.0K0.3738.92N/AN/A3471302,238194
2018-07-03$41.60$33.0019.7%5.7%21.4%29.4%19.5%2.3%0.2%319.7K-6.7M-7.3K0.3529.41N/AN/A3701302,239204
2018-07-05$41.52$39.0019.5%5.6%21.4%28.7%20.8%3.5%-0.4%326.6K-6.6M-7.3K0.3649.00N/AN/A3601302,246204
2018-07-06$41.80$39.0017.4%5.3%20.4%22.5%18.7%3.1%0.4%313.7K-6.9M-6.4K0.3127.69N/AN/A4241302,241204
2018-07-09$42.39$39.0017.7%5.2%21.0%23.3%18.6%3.0%0.6%293.7K-7.3M-5.7K0.3223.76N/AN/A4121302,212204
2018-07-10$42.76$39.0015.1%5.0%21.1%15.8%18.4%3.6%0.7%219.1K-7.5M-4.8K0.3122.20N/AN/A3961232,114204
2018-07-11$41.80$39.0019.2%5.5%22.4%27.8%19.0%3.3%0.7%258.6K-6.3M-5.7K0.3622.56N/AN/A3451232,067211
2018-07-12$41.84$39.0018.3%5.2%22.4%25.1%18.4%3.6%0.8%257.1K-6.4M-5.2K0.3728.39N/AN/A3341232,079211
2018-07-13$42.04$39.0017.7%5.1%22.4%23.5%17.9%3.2%0.0%247.6K-6.6M-5.0K0.3819.39N/AN/A3281232,075211
2018-07-16$41.54$39.0017.9%5.1%21.3%24.0%19.1%3.3%0.4%243.6K-6.2M-5.0K0.4124.37N/AN/A3001232,052211
2018-07-17$41.47$39.0018.7%5.4%21.0%26.3%18.9%2.6%0.2%234.9K-6.1M-4.8K0.3916.61N/AN/A3161232,054211
2018-07-18$41.42$39.0018.0%5.2%21.0%24.2%18.5%3.4%0.3%218.7K-5.8M-4.7K0.3318.91N/AN/A3741231,981211
2018-07-19$41.48$39.0019.1%5.5%20.8%27.4%18.5%2.4%-2.7%182.0K-5.9M-4.6K0.3720.92N/AN/A3341231,979199
2018-07-20$41.34$39.0017.2%4.9%19.1%21.9%17.6%2.1%0.7%80.4K-5.8M-4.4K0.3417.18N/AN/A3591231,968199
2018-07-23$41.19$39.0017.6%5.0%17.0%23.1%16.6%2.7%-1.1%82.6K-2.4M-4.3K0.6443.45N/AN/A14694811114
2018-07-24$41.58$39.0017.6%5.1%15.7%23.2%17.3%0.9%-0.5%85.8K-2.5M-4.2K0.6418.95N/AN/A14794831118
2018-07-25$41.98$39.0014.8%4.3%15.8%15.0%16.0%3.7%1.9%86.6K-2.6M-4.0K0.6519.19N/AN/A14594834118
2018-07-26$42.42$39.0015.9%4.6%15.5%18.2%15.6%1.7%0.6%86.0K-2.7M-3.8K0.6418.35N/AN/A14794839118
2018-07-27$42.09$39.0015.8%4.5%15.7%17.8%15.9%1.8%0.1%89.4K-2.6M-4.0K0.7076.05N/AN/A13695843118
2018-07-30$42.47$41.0016.7%4.8%15.8%20.3%16.4%2.2%-0.1%87.5K-2.8M-3.7K0.6618.22N/AN/A14495845119
2018-07-31$42.45$41.0016.0%4.6%14.2%18.5%16.1%2.3%1.1%88.9K-2.8M-3.7K0.6659.60N/AN/A14495854119