IYE Options History — November 2019

In November 2019, IYE traded between $31.29 and $32.93. ATM implied volatility averaged 20.7%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 1.4% (HV 20d: 22.1%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.90.

Notable Days

2019-11-04: Highest Volume — 68 contracts
2019-11-08: Largest IV spike — 199.7% change
2019-11-08: Highest IV Rank — 100.0%
2019-11-04: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.02	$31.29	$32.93	$31.78	$31.48
Max Pain	$31.00	$31.00	$31.00	$31.00	$31.00
ATM IV	20.7%	17.0%	53.0%	17.7%	17.0%
Expected Move	5.5%	4.9%	6.0%	5.1%	4.9%
HV 20d	22.1%	20.4%	23.4%	20.4%	21.0%
HV 60d	22.4%	21.1%	24.5%	23.5%	21.1%
IV Rank	16.9%	5.9%	100.0%	11.3%	5.9%
IV Percentile	39.3%	12.3%	100.0%	19.4%	12.3%
Term Structure	0.9%	-3.5%	21.6%	1.2%	2.1%
VWIV	19.0%	13.9%	23.1%	13.9%	17.1%
Skew 25d	2.8%	-9.2%	6.5%	6.5%	1.8%
Skew 10d	6.6%	-1.2%	23.2%	-1.2%	5.3%
Call IV 25d	18.4%	13.6%	31.4%	13.6%	14.4%
Put IV 25d	21.2%	16.2%	24.0%	20.1%	16.2%
Bid-Ask Spread %	98.54	86.21	121.25	95.54	111.54
Gamma HHI	0.37	0.27	0.45	0.32	0.42
Net GEX	49.1K	12.2K	78.6K	22.5K	78.6K
Net DEX	-472.3K	-944.9K	-81.0K	-269.2K	-182.3K
Net VEX	-6.1K	-7.2K	-5.3K	-7.2K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	3.60	3.60	0.00
Total Volume	12.1	0	68	46	7
Total OI	1,585.7	1,456	1,652	1,631	1,532

Daily Data (20 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
2019-11-01	$31.78	$31.00	17.7%	5.1%	20.4%	11.3%	13.9%	6.5%	1.2%	22.5K	-269.2K	-7.2K	3.60	95.54	N/A	N/A	10	36	855	776
2019-11-04	$32.77	$31.00	18.8%	6.0%	22.7%	15.6%	23.1%	2.3%	-0.6%	29.9K	-850.3K	-6.8K	1.19	89.70	N/A	N/A	31	37	865	756
2019-11-05	$32.93	$31.00	18.8%	5.4%	21.1%	15.4%	0.0%	3.0%	0.1%	34.5K	-944.9K	-6.4K	2.00	93.76	N/A	N/A	1	2	860	791
2019-11-06	$32.15	$31.00	19.4%	6.0%	23.4%	17.7%	0.0%	2.5%	-1.0%	25.7K	-520.4K	-6.9K	0.00	108.04	N/A	N/A	0	0	861	789
2019-11-07	$32.57	$31.00	17.7%	5.7%	23.4%	11.3%	0.0%	3.2%	-2.1%	37.0K	-713.8K	-6.3K	0.00	101.05	N/A	N/A	0	1	861	789
2019-11-08	$32.52	$31.00	53.0%	5.6%	22.7%	100.0%	0.0%	-9.2%	21.6%	12.2K	-552.8K	-7.1K	0.00	121.25	N/A	N/A	0	0	863	789
2019-11-11	$32.32	$31.00	22.2%	5.9%	22.6%	19.6%	0.0%	1.8%	-2.4%	49.8K	-606.3K	-6.2K	0.00	99.08	N/A	N/A	20	0	863	789
2019-11-12	$32.08	$31.00	21.4%	5.6%	22.8%	17.4%	0.0%	5.3%	1.0%	40.4K	-543.7K	-6.3K	0.00	101.51	N/A	N/A	0	0	863	789
2019-11-13	$31.95	$31.00	19.4%	5.6%	22.1%	12.3%	0.0%	3.5%	0.3%	45.3K	-427.7K	-6.2K	0.00	92.90	N/A	N/A	0	0	863	789
2019-11-14	$31.88	$31.00	19.8%	5.7%	22.1%	13.3%	19.8%	3.8%	-0.7%	55.6K	-394.0K	-6.1K	0.00	98.89	N/A	N/A	18	0	863	789
2019-11-15	$32.03	$31.00	17.4%	5.0%	22.0%	7.0%	19.7%	3.6%	1.4%	57.5K	-505.4K	-5.9K	0.00	100.63	N/A	N/A	0	2	863	789
2019-11-18	$31.64	$31.00	17.8%	5.1%	22.1%	8.2%	17.4%	2.3%	1.3%	54.9K	-269.9K	-5.9K	0.30	86.21	N/A	N/A	33	10	851	605
2019-11-19	$31.29	$31.00	20.2%	5.8%	21.7%	14.4%	21.6%	3.6%	-1.2%	61.5K	-81.0K	-5.9K	0.00	88.07	N/A	N/A	0	2	884	615
2019-11-20	$31.56	$31.00	19.3%	5.5%	21.9%	12.1%	19.0%	3.2%	-0.2%	60.4K	-249.2K	-5.9K	0.00	96.01	N/A	N/A	2	0	884	617
2019-11-21	$32.03	$31.00	19.4%	5.6%	22.5%	12.3%	19.1%	4.0%	3.4%	47.5K	-541.5K	-6.1K	1.00	87.63	N/A	N/A	10	10	886	617
2019-11-22	$31.98	$31.00	19.1%	5.5%	22.2%	11.6%	0.0%	2.2%	-0.9%	60.1K	-558.6K	-5.8K	0.00	110.17	N/A	N/A	0	0	895	627
2019-11-25	$31.95	$31.00	20.2%	5.8%	22.1%	14.5%	0.0%	5.4%	-2.7%	65.9K	-501.2K	-5.6K	0.00	97.51	N/A	N/A	0	10	895	627
2019-11-26	$31.63	$31.00	17.4%	5.0%	22.3%	7.1%	0.0%	4.3%	0.4%	73.0K	-302.3K	-5.5K	0.00	93.64	N/A	N/A	0	0	895	637
2019-11-27	$31.81	$31.00	18.8%	5.4%	20.7%	10.7%	0.0%	2.7%	-3.5%	69.3K	-432.1K	-5.5K	0.00	97.69	N/A	N/A	0	0	895	637
2019-11-29	$31.48	$31.00	17.0%	4.9%	21.0%	5.9%	17.1%	1.8%	2.1%	78.6K	-182.3K	-5.3K	0.00	111.54	N/A	N/A	7	0	895	637