IYE Options History — January 2020

In January 2020, IYE traded between $28.46 and $32.53. ATM implied volatility averaged 18.2%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.3% (HV 20d: 13.9%). Max pain ranged from $29.98 to $33.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 9.06.

Notable Days

  • 2020-01-07: Highest Volume — 229 contracts
  • 2020-01-03: Largest IV spike — 70.2% change
  • 2020-01-31: Highest IV Rank — 25.7%
  • 2020-01-31: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.08$28.46$32.53$32.32$28.46
Max Pain$31.28$29.98$33.00$29.98$31.00
ATM IV18.2%14.1%24.1%14.1%24.1%
Expected Move5.2%4.1%6.9%4.1%6.9%
HV 20d13.9%10.2%17.1%17.1%16.5%
HV 60d18.0%17.1%18.9%18.9%17.1%
IV Rank10.4%0.0%25.7%0.0%25.7%
IV Percentile33.6%0.0%92.1%0.0%92.1%
Term Structure1.1%-6.3%4.4%4.4%-0.8%
VWIV18.7%12.5%24.8%24.8%22.6%
Skew 25d2.4%-4.2%5.7%-0.9%4.8%
Skew 10d3.4%-5.6%9.5%-3.5%2.9%
Call IV 25d16.9%14.9%24.2%16.6%21.2%
Put IV 25d19.3%15.7%25.9%15.7%25.9%
Bid-Ask Spread %81.6648.79112.6184.0477.44
Gamma HHI0.310.150.560.420.17
Net GEX-9.8K-49.7K13.1K-16.0K-7.9K
Net DEX-933.6K-1.9M242.8K-1.4M242.8K
Net VEX-1.1K-2.0K-883-1.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.060.0075.330.004.43
Total Volume33.7140229276
Total OI833.4762281,3621,362384

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$32.32$29.9814.1%4.1%17.1%0.0%0.0%-0.9%4.4%-16.0K-1.4M-1.5K0.0084.04N/AN/A20800562
2020-01-03$32.28$29.9824.1%6.9%16.1%25.6%24.8%-4.2%-6.3%13.1K-1.3M-2.0K54.00112.61N/AN/A154800562
2020-01-06$32.53$33.0017.5%5.0%16.1%8.8%0.0%2.3%2.0%-19.5K-1.6M-1.2K0.0087.13N/AN/A00799530
2020-01-07$32.42$33.0018.8%5.3%14.7%11.9%0.0%2.9%2.9%-20.0K-1.6M-1.1K75.3380.40N/AN/A3226799530
2020-01-08$31.95$33.0016.8%5.1%15.6%6.9%0.0%2.3%2.0%7.0K-1.9M-9660.0087.08N/AN/A00802337
2020-01-09$32.09$33.0017.0%4.9%15.7%7.4%18.3%2.5%2.4%7.6K-1.9M-9112.2574.82N/AN/A2045802337
2020-01-10$31.94$31.0016.2%5.0%15.8%5.4%0.0%1.4%1.7%-12.8K-1.8M-1.1K0.0081.10N/AN/A00807372
2020-01-13$31.88$31.0016.5%4.8%13.8%6.2%0.0%3.8%2.3%-30.9K-1.8M-9204.7177.52N/AN/A733807372
2020-01-14$31.97$31.0017.2%5.0%13.5%8.0%17.4%3.5%4.2%-33.5K-1.8M-1.0K0.0099.60N/AN/A160814392
2020-01-15$31.68$31.0016.4%4.7%10.2%5.9%17.2%2.9%1.8%-26.0K-1.7M-1.0K0.9198.93N/AN/A1110830392
2020-01-16$31.80$31.0015.8%4.5%10.3%4.3%0.0%2.2%1.7%-49.7K-1.8M-9500.0098.61N/AN/A20820402
2020-01-17$31.56$31.0015.3%4.4%10.5%3.0%0.0%2.2%2.5%3.5K-1.6M-8830.0077.95N/AN/A150820402
2020-01-21$30.98$31.0017.3%5.0%12.4%8.2%17.0%2.0%-0.0%921-60.2K-9453.3380.37N/AN/A310126102
2020-01-22$30.69$31.0016.7%4.8%12.0%6.5%17.0%2.9%0.1%-1.2K-21.6K-9611.0049.71N/AN/A33129112
2020-01-23$30.57$31.0016.7%4.8%11.1%6.6%18.1%0.4%0.9%-1.3K-5.4K-1.0K0.6476.82N/AN/A117132115
2020-01-24$30.15$31.0018.6%5.3%11.8%11.5%18.6%3.0%0.3%-75824.4K-9530.0071.24N/AN/A014143117
2020-01-27$29.38$31.0022.0%6.3%14.2%20.1%22.2%3.5%0.5%-2.7K108.7K-9144.0077.99N/AN/A312143121
2020-01-28$29.53$31.0019.2%5.5%14.6%13.1%0.0%3.6%0.4%-4.3K99.8K-9610.2048.79N/AN/A408146133
2020-01-29$29.18$31.0020.3%5.8%14.8%15.7%12.5%4.0%0.3%-4.2K141.3K-9573.2473.23N/AN/A1755186141
2020-01-30$29.31$31.0020.9%6.0%14.7%17.3%0.0%5.7%0.2%-7.1K154.3K-1.3K0.0099.40N/AN/A10203180
2020-01-31$28.46$31.0024.1%6.9%16.5%25.7%22.6%4.8%-0.8%-7.9K242.8K-1.1K4.4377.44N/AN/A1462204180