IYE Options History — March 2020

In March 2020, IYE traded between $12.36 and $24.65. ATM implied volatility averaged 93.0%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 4.0% (HV 20d: 89.0%). Max pain ranged from $19.98 to $29.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 9.11.

Notable Days

  • 2020-03-06: Highest Volume — 113 contracts
  • 2020-03-10: Largest IV spike — 80.2% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 43.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.13$12.36$24.65$24.65$15.15
Max Pain$28.07$19.98$29.00$29.00$19.98
ATM IV93.0%43.1%151.7%43.1%85.6%
Expected Move25.8%11.0%43.5%12.4%24.5%
HV 20d89.0%36.1%127.6%38.0%126.5%
HV 60d56.3%25.9%76.6%26.3%76.6%
IV Rank76.0%47.7%100.0%64.9%51.9%
IV Percentile98.2%94.4%100.0%98.4%94.4%
Term Structure-14.8%-44.9%18.9%-8.6%-6.3%
VWIV98.5%43.9%155.8%46.0%79.1%
Skew 25d18.1%-150.5%63.8%13.6%32.2%
Skew 10d36.5%-16.0%160.1%24.1%48.0%
Call IV 25d79.4%32.5%183.8%43.0%70.1%
Put IV 25d97.5%33.3%125.0%56.5%102.3%
Bid-Ask Spread %107.6792.04128.9692.0496.20
Gamma HHI0.190.120.260.230.25
Net GEX-1.5K-5.2K937-4.7K-787
Net DEX277.7K79.1K459.9K376.0K79.1K
Net VEX-480-816-255-816-561
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.110.00112.00112.000.00
Total Volume29.50113520
Total OI621.455575695575621

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$24.65$29.0043.1%12.4%38.0%64.9%0.0%13.6%-8.6%-4.7K376.0K-8160.0092.04N/AN/A05353222
2020-03-03$24.46$29.0056.4%16.2%37.9%94.7%0.0%2.9%-10.7%-3.5K369.2K-7760.00107.53N/AN/A00373227
2020-03-04$24.54$29.0043.9%12.6%38.0%66.7%46.0%9.3%-9.3%-5.1K394.9K-6530.00100.91N/AN/A035373227
2020-03-05$23.54$28.9853.4%11.0%36.1%87.9%43.9%15.4%-5.2%-5.2K459.9K-6160.0096.83N/AN/A011373257
2020-03-06$22.30$28.9870.2%11.7%39.3%100.0%0.0%30.0%9.6%-3.6K448.7K-720112.00113.45N/AN/A1112373268
2020-03-09$18.14$28.9870.5%26.5%79.0%100.0%86.7%8.0%-33.8%937363.4K-42211.43106.15N/AN/A780374232
2020-03-10$18.60$28.98126.9%23.7%80.7%100.0%75.3%63.8%-18.4%-1.8K350.1K-4360.00108.41N/AN/A30375232
2020-03-11$17.62$28.9891.5%26.2%80.5%68.6%0.0%54.6%10.0%-754337.0K-4415.00114.85N/AN/A630376232
2020-03-12$15.45$28.98131.4%37.7%87.4%100.0%0.0%62.6%-32.0%820311.9K-4523.33128.96N/AN/A620382252
2020-03-13$15.86$28.98104.4%29.9%89.4%77.0%0.0%40.2%-32.3%-1.3K343.4K-3640.00119.21N/AN/A10383263
2020-03-16$14.89$28.98113.6%32.6%89.6%84.8%119.5%-59.0%-25.5%-1.2K288.0K-2740.14114.06N/AN/A142377228
2020-03-17$14.49$28.98116.4%33.4%89.1%87.2%139.1%13.9%-18.5%-1.1K286.9K-2552.10104.92N/AN/A1021377229
2020-03-18$12.36$28.98151.7%43.5%97.4%100.0%155.8%-150.5%-44.9%236223.1K-3760.00122.33N/AN/A0101387230
2020-03-19$13.22$28.98118.1%33.9%104.1%75.6%122.8%11.0%-18.4%-715289.3K-2940.85109.06N/AN/A2622388261
2020-03-20$13.65$28.9892.5%26.5%106.8%56.9%0.0%49.2%-5.5%-817290.1K-4080.00112.72N/AN/A100414281
2020-03-23$12.66$28.98126.4%36.2%107.7%81.6%113.8%36.9%18.9%-587182.8K-3460.20115.24N/AN/A102402216
2020-03-24$14.34$28.9891.1%26.1%122.2%55.9%0.0%29.8%-28.8%-1.0K204.3K-3150.00104.31N/AN/A05402218
2020-03-25$15.34$28.9885.7%24.6%127.0%52.0%0.0%19.4%-12.4%-1.1K187.7K-4350.36101.02N/AN/A2810402218
2020-03-26$15.64$27.9879.8%22.9%127.5%47.7%101.6%38.3%-13.9%-723110.3K-5381.25104.13N/AN/A1620430188
2020-03-27$15.05$27.98101.1%29.0%127.6%63.2%0.0%32.2%-22.8%-999118.9K-5590.00100.72N/AN/A00442208
2020-03-30$14.99$19.9891.4%26.2%126.0%56.2%0.0%43.8%-16.3%-1.1K94.6K-4920.0095.70N/AN/A150432174
2020-03-31$15.15$19.9885.6%24.5%126.5%51.9%79.1%32.2%-6.3%-78779.1K-5610.0096.20N/AN/A200447174