IYE Options History — December 2019

In December 2019, IYE traded between $31.01 and $32.60. ATM implied volatility averaged 20.7%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.9% (HV 20d: 17.8%). Max pain ranged from $29.98 to $31.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.51.

Notable Days

  • 2019-12-16: Highest Volume — 37 contracts
  • 2019-12-16: Largest IV spike — 159.0% change
  • 2019-12-16: Highest IV Rank — 84.0%
  • 2019-12-16: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$31.01$32.60$31.55$32.09
Max Pain$30.54$29.98$31.00$31.00$29.98
ATM IV20.7%15.2%46.9%20.5%18.1%
Expected Move5.6%4.3%13.4%5.9%5.2%
HV 20d17.8%15.1%20.0%18.8%18.3%
HV 60d20.4%18.9%21.6%21.1%18.9%
IV Rank15.7%1.4%84.0%15.2%8.8%
IV Percentile37.9%2.0%99.6%55.2%28.6%
Term Structure-0.8%-41.8%6.1%0.0%0.3%
VWIV19.1%17.0%22.3%22.3%17.0%
Skew 25d2.7%-6.1%13.3%8.1%4.2%
Skew 10d2.7%-8.3%13.4%3.9%-8.3%
Call IV 25d17.2%11.9%32.8%15.1%15.6%
Put IV 25d19.8%13.3%29.2%23.2%19.7%
Bid-Ask Spread %103.3065.55157.34101.7077.93
Gamma HHI0.410.320.550.430.42
Net GEX52.4K0109.4K75.3K10.8K
Net DEX-726.1K-1.3M139.6K-215.0K-1.3M
Net VEX-3.4K-5.1K0-5.1K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.510.0011.330.000.00
Total Volume6.47603701
Total OI1,40601,5291,5271,361

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$31.55$31.0020.5%5.9%18.8%15.2%0.0%8.1%0.0%75.3K-215.0K-5.1K0.00101.70N/AN/A00890637
2019-12-03$31.01$31.0022.8%6.5%15.7%21.0%0.0%1.8%-2.5%67.9K139.6K-5.0K0.00102.25N/AN/A02890637
2019-12-04$31.55$31.0016.8%4.8%17.1%5.5%0.0%13.3%5.8%74.3K-210.0K-5.0K0.00107.99N/AN/A00890639
2019-12-05$31.38$31.0038.6%4.3%15.1%62.4%22.3%1.7%6.1%76.9K-60.4K-4.8K0.00122.75N/AN/A200890639
2019-12-06$32.01$31.0019.8%5.0%16.1%13.4%0.0%-0.3%0.0%87.3K-480.1K-4.5K0.00117.20N/AN/A00890639
2019-12-09$31.93$31.0020.6%5.3%16.1%15.4%0.0%2.9%1.4%81.7K-491.9K-4.5K0.0090.83N/AN/A00890639
2019-12-10$31.99$31.0017.9%5.3%16.0%8.5%0.0%3.0%1.6%80.1K-553.7K-4.3K0.0089.59N/AN/A00890639
2019-12-11$31.95$31.0020.6%5.9%15.8%15.4%0.0%3.4%2.5%83.2K-488.8K-4.3K0.00112.36N/AN/A100890639
2019-12-12$32.60$31.0020.1%5.8%17.3%14.0%18.7%8.4%2.1%75.8K-964.6K-3.8K0.07114.88N/AN/A282890639
2019-12-13$32.28$31.0018.1%5.2%17.7%8.9%0.0%-6.1%2.6%109.4K-815.8K-3.9K0.00112.70N/AN/A190881641
2019-12-16$31.45$31.0046.9%13.4%20.0%84.0%0.0%-3.6%-41.8%24.9K-310.8K-5.1K11.33157.34N/AN/A334883641
2019-12-17$31.45$0.0016.9%4.9%19.5%5.9%0.0%-0.7%0.5%0000.00120.41N/AN/A0000
2019-12-18$31.62$29.9815.2%4.4%19.2%1.4%0.0%4.9%2.7%62.8K-995.7K-3.2K0.00127.95N/AN/A00863654
2019-12-19$31.55$29.9817.6%5.0%19.0%7.5%18.2%1.5%3.2%73.8K-989.9K-3.0K0.0091.92N/AN/A70863654
2019-12-20$31.86$29.9815.9%4.6%18.5%3.1%17.0%1.3%3.4%54.3K-1.2M-2.6K0.6791.48N/AN/A64869654
2019-12-23$32.19$29.9816.1%4.6%18.9%3.7%0.0%3.5%1.8%10.6K-1.3M-2.3K0.0087.82N/AN/A00799562
2019-12-24$32.15$29.9816.1%4.6%18.9%3.6%0.0%3.0%1.2%10.9K-1.3M-2.3K0.0086.19N/AN/A00799562
2019-12-26$32.17$29.9818.6%5.3%18.5%10.1%0.0%2.1%-4.8%12.3K-1.3M-2.2K0.0082.05N/AN/A00799562
2019-12-27$32.08$29.9817.2%4.9%18.5%6.5%0.0%1.4%0.8%7.1K-1.3M-2.0K0.00108.47N/AN/A00799562
2019-12-30$31.90$29.9820.3%5.8%18.2%14.5%0.0%1.9%-4.4%21.2K-1.2M-2.1K0.0065.55N/AN/A00799562
2019-12-31$32.09$29.9818.1%5.2%18.3%8.8%0.0%4.2%0.3%10.8K-1.3M-1.8K0.0077.93N/AN/A10799562