IYE Options History — September 2019

In September 2019, IYE traded between $30.62 and $34.02. ATM implied volatility averaged 20.8%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.0% (HV 20d: 23.8%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 7.02.

Notable Days

  • 2019-09-25: Highest Volume — 306 contracts
  • 2019-09-16: Largest IV spike — 26.9% change
  • 2019-09-03: Highest IV Rank — 37.1%
  • 2019-09-03: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.43$30.62$34.02$30.62$31.82
Max Pain$32.20$31.00$33.00$33.00$33.00
ATM IV20.8%17.7%23.8%23.8%21.1%
Expected Move6.0%5.3%6.8%6.8%6.0%
HV 20d23.8%19.0%27.0%25.7%21.8%
HV 60d21.9%20.9%22.6%20.9%22.4%
IV Rank25.5%14.9%37.1%37.1%25.3%
IV Percentile51.7%27.0%71.8%71.8%52.4%
Term Structure0.5%-2.9%1.9%-1.1%0.3%
VWIV22.5%20.3%25.4%21.3%21.1%
Skew 25d4.3%3.2%6.3%5.0%4.3%
Skew 10d9.7%1.1%15.3%10.8%6.1%
Call IV 25d19.4%16.9%22.7%22.6%20.1%
Put IV 25d23.7%21.2%27.6%27.6%24.4%
Bid-Ask Spread %87.1680.1098.3183.1094.67
Gamma HHI0.320.250.470.470.25
Net GEX22.7K-22.4K56.9K24.3K-22.4K
Net DEX-913.3K-1.7M89.0K-359.4K89.0K
Net VEX-6.7K-8.4K-5.8K-6.4K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.020.0031.000.000.00
Total Volume49.703063210
Total OI1,288.21,0891,6661,0891,662

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$30.62$33.0023.8%6.8%25.7%37.1%0.0%5.0%-1.1%24.3K-359.4K-6.4K0.0083.10N/AN/A320745344
2019-09-04$31.10$33.0022.0%6.3%26.4%30.4%0.0%3.6%-0.3%28.9K-554.9K-6.6K6.6781.76N/AN/A320766344
2019-09-05$31.55$31.0018.7%5.6%26.9%18.5%21.3%5.1%1.4%30.4K-703.9K-6.7K30.0087.68N/AN/A130769349
2019-09-06$31.63$31.0017.7%5.5%26.1%14.9%0.0%4.3%1.6%31.2K-742.7K-6.5K0.0082.78N/AN/A00769339
2019-09-09$32.28$31.0020.6%6.0%27.0%25.3%24.5%4.5%0.0%29.0K-973.4K-6.4K0.0080.10N/AN/A014769339
2019-09-10$32.62$31.0019.5%5.5%26.5%21.5%22.2%4.1%0.6%25.8K-1.1M-6.3K6.9281.64N/AN/A1390769349
2019-09-11$32.68$31.0018.6%5.3%26.4%17.9%0.0%4.1%1.5%41.6K-1.2M-6.3K0.0085.70N/AN/A290782350
2019-09-12$32.61$31.0018.6%5.3%21.6%18.1%25.4%4.7%0.8%45.7K-1.2M-6.5K0.0086.09N/AN/A80809350
2019-09-13$32.80$31.0018.3%5.3%21.2%17.1%23.7%3.6%1.8%45.6K-1.3M-6.2K31.0084.21N/AN/A131815350
2019-09-16$34.02$31.0023.3%6.7%23.8%35.0%24.8%3.3%-2.9%39.0K-1.7M-5.8K2.0685.11N/AN/A51105816378
2019-09-17$33.45$33.0023.4%6.7%24.0%35.6%22.0%4.0%-0.8%28.1K-1.4M-6.6K2.7887.52N/AN/A1850859485
2019-09-18$33.25$33.0021.2%6.1%23.8%27.6%0.0%4.1%1.5%21.0K-1.3M-6.9K0.0098.31N/AN/A00861535
2019-09-19$33.11$33.0020.7%5.9%24.0%25.6%20.4%3.4%1.8%28.1K-1.3M-6.8K11.2598.15N/AN/A445861535
2019-09-20$33.09$33.0020.8%6.0%23.9%26.1%21.0%3.2%0.9%56.9K-1.3M-6.7K0.0089.67N/AN/A60859510
2019-09-23$33.25$33.0018.9%5.4%19.0%19.2%0.0%3.9%1.9%19.3K-1.3M-6.1K0.0085.22N/AN/A02819500
2019-09-24$32.38$33.0022.7%6.5%22.1%31.2%22.8%5.0%0.1%10.6K-919.5K-6.8K6.2582.08N/AN/A850823502
2019-09-25$32.43$33.0021.6%6.2%21.9%27.2%0.0%4.0%0.7%9.7K-994.9K-6.7K0.0088.29N/AN/A0306823512
2019-09-26$32.00$33.0021.9%6.3%22.3%28.2%20.3%6.3%0.2%-19.1K-38.0K-8.3K8.2087.59N/AN/A541823828
2019-09-27$31.97$33.0022.0%6.3%21.8%28.9%21.1%5.9%-0.3%-19.3K-10.0K-8.4K0.2493.48N/AN/A174828838
2019-09-30$31.82$33.0021.1%6.0%21.8%25.3%0.0%4.3%0.3%-22.4K89.0K-8.0K0.0094.67N/AN/A100821841