IYE Options History — September 2018

In September 2018, IYE traded between $40.05 and $42.68. ATM implied volatility averaged 15.8%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.0% (HV 20d: 14.8%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.35.

Notable Days

2018-09-27: Highest Volume — 973 contracts
2018-09-11: Largest IV drop — 12.1% change
2018-09-06: Highest IV Rank — 25.2%
2018-09-07: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.24	$40.05	$42.68	$40.87	$42.06
Max Pain	$35.53	$35.00	$40.00	$40.00	$35.00
ATM IV	15.8%	13.6%	18.3%	16.2%	14.3%
Expected Move	4.5%	3.9%	5.1%	4.7%	4.1%
HV 20d	14.8%	12.2%	18.2%	17.6%	13.2%
HV 60d	16.4%	15.0%	17.6%	17.4%	15.0%
IV Rank	17.6%	10.8%	25.2%	19.1%	12.7%
IV Percentile	36.6%	17.5%	61.9%	45.2%	19.0%
Term Structure	1.2%	-1.6%	2.9%	0.9%	2.5%
VWIV	16.1%	13.9%	18.0%	16.7%	16.9%
Skew 25d	3.0%	1.5%	4.5%	2.4%	1.5%
Skew 10d	6.9%	2.4%	9.9%	5.9%	2.4%
Call IV 25d	14.9%	13.0%	16.6%	15.2%	14.8%
Put IV 25d	17.8%	15.5%	20.7%	17.6%	16.3%
Bid-Ask Spread %	25.41	18.31	49.78	23.77	26.79
Gamma HHI	0.31	0.18	0.41	0.32	0.22
Net GEX	151.1K	87.4K	228.1K	143.1K	87.5K
Net DEX	-3.0M	-3.8M	-2.3M	-2.6M	-3.2M
Net VEX	-3.1K	-3.8K	-2.6K	-3.3K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.12	0.66	0.54	0.12
Total Volume	466.632	211	973	235	959
Total OI	1,171.316	1,059	1,294	1,059	1,147

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$40.87	$40.00	16.2%	4.7%	17.6%	19.1%	16.7%	2.4%	0.9%	143.1K	-2.6M	-3.3K	0.54	23.77	N/A	N/A	153	82	950	109
2018-09-05	$40.88	$40.00	17.1%	4.9%	17.2%	21.7%	16.9%	2.3%	0.1%	144.0K	-2.6M	-3.3K	0.52	18.51	N/A	N/A	158	82	950	110
2018-09-06	$40.15	$35.00	18.3%	5.1%	18.0%	25.2%	17.3%	3.5%	1.1%	143.9K	-2.4M	-3.2K	0.48	18.31	N/A	N/A	170	81	957	110
2018-09-07	$40.05	$35.00	17.9%	5.1%	17.8%	24.1%	18.0%	4.1%	0.1%	146.5K	-2.3M	-3.5K	0.64	24.06	N/A	N/A	129	82	970	111
2018-09-10	$40.09	$35.00	17.9%	4.9%	17.7%	24.1%	17.1%	3.2%	0.7%	153.7K	-2.3M	-3.1K	0.66	21.95	N/A	N/A	129	85	976	112
2018-09-11	$40.58	$35.00	15.8%	4.8%	18.1%	17.7%	17.1%	3.3%	1.3%	164.7K	-2.5M	-3.0K	0.59	27.42	N/A	N/A	145	85	976	114
2018-09-12	$40.82	$35.00	15.6%	4.5%	18.2%	17.3%	16.1%	2.8%	2.8%	174.1K	-2.7M	-3.1K	0.28	21.98	N/A	N/A	366	103	992	114
2018-09-13	$40.68	$35.00	15.9%	4.6%	12.9%	18.1%	15.4%	3.8%	2.1%	212.5K	-3.0M	-3.8K	0.29	32.62	N/A	N/A	362	104	1,154	127
2018-09-14	$41.00	$35.00	15.9%	4.6%	13.0%	18.2%	15.5%	2.4%	0.8%	219.9K	-3.2M	-3.7K	0.29	33.42	N/A	N/A	361	104	1,154	128
2018-09-17	$40.92	$35.00	16.4%	4.7%	13.0%	19.5%	15.2%	3.5%	1.4%	228.1K	-3.1M	-3.5K	0.33	22.70	N/A	N/A	320	104	1,156	128
2018-09-18	$41.39	$35.00	16.6%	4.8%	13.4%	20.1%	16.0%	2.9%	1.1%	211.5K	-3.4M	-3.2K	0.30	28.64	N/A	N/A	276	84	1,150	128
2018-09-19	$41.58	$35.00	15.4%	4.4%	13.3%	16.6%	15.0%	3.4%	2.1%	194.1K	-3.6M	-2.9K	0.30	19.25	N/A	N/A	283	84	1,150	129
2018-09-20	$41.51	$35.00	14.3%	4.1%	12.5%	13.5%	14.8%	1.8%	1.5%	194.7K	-3.6M	-2.8K	0.32	18.42	N/A	N/A	267	85	1,158	129
2018-09-21	$41.79	$35.00	13.6%	3.9%	12.2%	10.8%	13.9%	2.5%	2.9%	92.0K	-3.8M	-2.6K	0.33	20.29	N/A	N/A	263	87	1,163	131
2018-09-24	$42.41	$35.00	15.1%	4.3%	12.8%	15.1%	14.8%	3.4%	1.7%	92.4K	-3.4M	-2.6K	0.37	20.35	N/A	N/A	267	98	999	136
2018-09-25	$42.68	$35.00	14.4%	4.1%	12.8%	13.2%	15.5%	2.4%	1.7%	92.7K	-3.5M	-2.7K	0.12	19.18	N/A	N/A	862	101	1,009	148
2018-09-26	$42.10	$35.00	14.4%	4.1%	13.7%	13.2%	17.1%	2.8%	-1.6%	87.4K	-3.2M	-2.7K	0.12	49.78	N/A	N/A	871	101	984	151
2018-09-27	$42.01	$35.00	14.9%	4.3%	13.4%	14.5%	16.5%	4.5%	0.4%	88.8K	-3.2M	-2.7K	0.12	35.43	N/A	N/A	872	101	994	151
2018-09-28	$42.06	$35.00	14.3%	4.1%	13.2%	12.7%	16.9%	1.5%	2.5%	87.5K	-3.2M	-2.7K	0.12	26.79	N/A	N/A	857	102	995	152