IYE Options History — November 2018

In November 2018, IYE traded between $35.04 and $38.62. ATM implied volatility averaged 27.8%, placing in the 67.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded below realized volatility by 0.1% (HV 20d: 27.9%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2018-11-14: Highest Volume — 515 contracts
  • 2018-11-12: Largest IV spike — 42.8% change
  • 2018-11-12: Highest IV Rank — 100.0%
  • 2018-11-23: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.67$35.04$38.62$37.26$36.14
Max Pain$37.57$37.00$41.00$41.00$37.00
ATM IV27.8%20.9%36.3%26.4%28.8%
Expected Move7.6%5.9%8.7%7.6%8.3%
HV 20d27.9%25.5%31.2%25.8%28.0%
HV 60d21.5%20.0%23.7%20.0%23.4%
IV Rank67.4%42.8%100.0%48.7%71.7%
IV Percentile93.5%73.4%100.0%94.8%95.2%
Term Structure-2.2%-4.8%-0.2%-1.8%-4.3%
VWIV25.6%20.8%28.2%25.9%27.3%
Skew 25d5.2%3.8%7.3%4.3%4.7%
Skew 10d10.4%4.2%18.3%10.9%17.7%
Call IV 25d24.1%19.2%27.9%26.7%26.4%
Put IV 25d29.2%23.8%35.0%31.0%31.1%
Bid-Ask Spread %56.3927.9889.5689.5680.28
Gamma HHI0.190.150.230.180.20
Net GEX6.9K-2.3K20.2K10.6K4.7K
Net DEX-18.4K-215.5K129.4K-78.3K20.9K
Net VEX-2.2K-2.5K-2.0K-2.0K-2.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.200.410.220.38
Total Volume454.952411515411443
Total OI527.381466592466575

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$37.26$41.0026.4%7.6%25.8%48.7%25.9%4.3%-1.8%10.6K-78.3K-2.0K0.2289.56N/AN/A33774361105
2018-11-02$37.31$41.0027.6%7.9%25.9%68.8%27.5%4.6%-3.0%10.6K-88.6K-2.0K0.2186.92N/AN/A34774362105
2018-11-05$37.90$38.0027.5%6.7%26.9%68.4%22.9%5.1%-1.1%13.5K-146.4K-2.2K0.2059.60N/AN/A36174375105
2018-11-06$37.85$38.0026.8%6.7%26.6%65.7%22.7%5.1%-1.2%17.3K-164.5K-2.2K0.2165.64N/AN/A35774391105
2018-11-07$38.62$38.0020.9%5.9%26.1%42.8%20.8%4.5%-0.8%20.2K-215.5K-2.2K0.2156.70N/AN/A35774391105
2018-11-08$37.70$38.0022.4%6.0%25.5%48.4%22.4%5.9%-0.2%18.5K-180.8K-2.0K0.4183.98N/AN/A350142390101
2018-11-09$37.90$37.0025.4%6.5%25.7%60.4%23.2%5.1%-2.5%5.7K-48.9K-2.4K0.4175.08N/AN/A347142393168
2018-11-12$36.94$37.0036.3%7.5%26.9%100.0%26.2%5.9%-2.4%2.0K24.4K-2.3K0.4127.98N/AN/A347142397168
2018-11-13$35.95$37.0035.0%7.9%27.7%95.3%26.8%6.1%-1.6%-2.3K129.4K-2.2K0.4147.71N/AN/A350142397168
2018-11-14$36.07$37.0028.2%8.1%27.9%69.4%27.0%5.2%-2.4%-1.7K68.1K-2.2K0.3828.50N/AN/A373142404158
2018-11-15$36.48$37.0027.5%7.9%28.5%66.7%25.9%4.9%-2.1%1469.2K-2.4K0.3939.38N/AN/A364142434158
2018-11-16$36.94$37.0024.7%7.1%29.1%56.1%24.6%4.8%-1.2%4.6K-44.3K-2.4K0.3929.38N/AN/A364142434158
2018-11-19$36.73$37.0026.9%7.7%28.9%64.2%27.2%5.0%-1.6%7.0K-48.0K-2.3K0.3834.76N/AN/A307116346144
2018-11-20$35.63$37.0028.5%8.2%29.5%70.6%27.9%5.1%-0.8%6.5K62.0K-2.2K0.3843.17N/AN/A307116359144
2018-11-21$36.25$37.0028.1%8.1%28.5%69.1%25.9%5.0%-2.5%7.0K928-2.2K0.3839.83N/AN/A307116359144
2018-11-23$35.04$37.0030.5%8.7%30.7%78.1%28.2%7.3%-4.0%6.4K111.8K-2.1K0.3951.13N/AN/A317125370144
2018-11-26$35.56$37.0027.3%7.8%31.2%65.7%26.0%4.8%-2.7%3.6K68.5K-2.2K0.3954.98N/AN/A322125370154
2018-11-27$35.45$37.0028.1%8.1%29.5%68.9%26.6%3.8%-3.0%4.2K81.9K-2.1K0.4032.52N/AN/A312126375154
2018-11-28$35.96$37.0026.5%7.6%28.1%62.8%25.7%5.0%-2.0%1.9K77.7K-2.2K0.4080.27N/AN/A322128374166
2018-11-29$36.38$37.0029.3%8.4%28.0%73.4%27.3%6.0%-4.8%4.3K-25.2K-2.5K0.4076.74N/AN/A319128386178
2018-11-30$36.14$37.0028.8%8.3%28.0%71.7%27.3%4.7%-4.3%4.7K20.9K-2.4K0.3880.28N/AN/A322121397178