IYE Options History — February 2020 In February 2020, IYE traded between $23.80 and $29.26. ATM implied volatility averaged 26.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.9% (HV 20d: 24.8%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.43.
Notable Days 2020-02-25 : Highest Volume — 130 contracts2020-02-24 : Largest IV spike — 182.2% change2020-02-24 : Highest IV Rank — 100.0%2020-02-24 : Largest Expected Move — 16.9%Monthly Statistics Metric Avg Min Max Open Close Price $27.92 $23.80 $29.26 $28.14 $23.80 Max Pain $29.21 $29.00 $31.00 $31.00 $29.00 ATM IV 26.7% 19.7% 58.8% 22.3% 54.3% Expected Move 7.7% 5.6% 16.9% 6.4% 15.6% HV 20d 24.8% 15.8% 35.6% 16.4% 35.3% HV 60d 19.6% 16.5% 25.1% 17.1% 25.1% IV Rank 29.8% 14.3% 100.0% 21.1% 89.9% IV Percentile 78.1% 55.2% 100.0% 85.7% 99.6% Term Structure -0.3% -10.6% 8.5% -0.7% -7.4% VWIV 23.2% 12.5% 45.1% 22.3% 45.1% Skew 25d 4.5% -25.4% 45.9% 5.3% -25.4% Skew 10d 3.9% -33.7% 15.3% 5.9% -33.7% Call IV 25d 24.5% 15.3% 84.1% 19.5% 84.1% Put IV 25d 29.0% 15.1% 69.3% 24.7% 58.7% Bid-Ask Spread % 88.64 47.55 118.06 47.55 105.13 Gamma HHI 0.23 0.14 0.32 0.23 0.19 Net GEX -9.1K -20.7K 2.6K -15.2K -1.5K Net DEX 159.4K 37.2K 395.5K 265.9K 306.4K Net VEX -1.2K -1.4K -520 -1.0K -979 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.00 5.50 0.04 0.25 Total Volume 20.263 0 130 99 0 Total OI 511.579 408 571 408 571
Daily Data (19 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 2020-02-03 $28.14 $31.00 22.3% 6.4% 16.4% 21.1% 22.3% 5.3% -0.7% -15.2K 265.9K -1.0K 0.04 47.55 N/A N/A 95 4 208 200 2020-02-04 $28.15 $30.00 21.4% 6.1% 15.8% 18.6% 12.5% 3.4% 0.2% -12.1K 216.9K -1.2K 0.00 52.03 N/A N/A 6 0 288 190 2020-02-05 $29.22 $30.00 21.3% 6.1% 22.3% 18.4% 0.0% 4.2% 0.4% -4.7K 72.6K -1.4K 0.00 54.03 N/A N/A 13 0 294 190 2020-02-06 $28.97 $29.00 21.3% 6.0% 22.1% 18.4% 0.0% 3.6% 0.5% -4.8K 90.5K -1.4K 0.00 79.60 N/A N/A 0 5 305 190 2020-02-07 $28.71 $29.00 20.5% 6.0% 21.9% 16.3% 0.0% 4.3% 0.4% -9.4K 144.2K -1.3K 0.00 78.97 N/A N/A 1 0 305 195 2020-02-10 $28.47 $29.00 23.2% 6.5% 21.9% 23.2% 0.0% 4.1% 0.8% -12.8K 183.7K -1.2K 0.00 79.14 N/A N/A 23 0 300 195 2020-02-11 $28.82 $29.00 20.6% 5.9% 22.8% 16.7% 0.0% 4.1% -0.0% -13.7K 124.1K -1.2K 0.00 87.17 N/A N/A 1 0 313 195 2020-02-12 $29.26 $29.00 20.4% 5.9% 23.7% 16.2% 0.0% 2.9% 0.8% -6.1K 37.2K -1.3K 0.00 97.53 N/A N/A 1 0 313 195 2020-02-13 $29.09 $29.00 20.4% 5.9% 23.7% 16.2% 21.0% 4.6% 1.3% -7.2K 46.0K -1.4K 1.11 103.85 N/A N/A 9 10 313 195 2020-02-14 $28.95 $29.00 22.2% 6.4% 23.5% 20.7% 0.0% -0.9% 1.1% -8.1K 44.9K -1.4K 0.00 105.16 N/A N/A 40 0 318 205 2020-02-18 $28.74 $29.00 19.9% 5.7% 23.5% 14.8% 15.2% 1.2% 0.3% -13.1K 112.5K -1.3K 0.00 98.58 N/A N/A 7 0 347 205 2020-02-19 $29.16 $29.00 19.7% 5.6% 23.8% 14.3% 19.8% 6.2% 1.6% -15.3K 48.3K -1.3K 0.00 82.28 N/A N/A 2 0 346 205 2020-02-20 $29.12 $29.00 20.0% 5.7% 23.7% 15.0% 22.7% 7.2% 5.1% -20.7K 59.1K -1.2K 0.00 96.10 N/A N/A 0 3 348 205 2020-02-21 $28.69 $29.00 20.8% 6.0% 24.1% 17.3% 19.8% 3.2% 1.0% -15.4K 141.7K -1.2K 0.00 93.92 N/A N/A 1 0 348 205 2020-02-24 $27.45 $29.00 58.8% 16.9% 28.0% 100.0% 0.0% 45.9% -10.6% 2.6K 111.6K -1.3K 0.00 118.06 N/A N/A 5 0 317 149 2020-02-25 $26.18 $29.00 33.0% 9.4% 31.0% 42.1% 30.4% 7.0% -3.1% -4.0K 290.4K -520 5.50 93.44 N/A N/A 20 110 316 147 2020-02-26 $25.49 $29.00 30.4% 8.7% 31.6% 36.4% 0.0% 4.7% -5.7% -6.0K 336.4K -1.0K 0.00 100.11 N/A N/A 4 0 333 217 2020-02-27 $24.16 $29.00 37.2% 10.7% 35.6% 51.6% 45.1% 0.6% 8.5% -5.5K 395.5K -689 0.25 111.54 N/A N/A 20 5 337 217 2020-02-28 $23.80 $29.00 54.3% 15.6% 35.3% 89.9% 0.0% -25.4% -7.4% -1.5K 306.4K -979 0.00 105.13 N/A N/A 0 0 349 222
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