IYE Options History — June 2020

In June 2020, IYE traded between $19.32 and $24.61. ATM implied volatility averaged 47.3%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 10.0% (HV 20d: 57.3%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2020-06-04: Highest Volume — 379 contracts
  • 2020-06-08: Largest IV spike — 23.8% change
  • 2020-06-16: Highest IV Rank — 30.7%
  • 2020-06-16: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.23$19.32$24.61$20.79$20.03
Max Pain$18.18$17.00$20.00$19.00$19.00
ATM IV47.3%34.5%56.4%39.6%44.6%
Expected Move13.3%9.5%16.2%11.3%12.8%
HV 20d57.3%46.2%65.7%46.8%60.9%
HV 60d68.2%55.9%89.3%89.3%55.9%
IV Rank24.1%14.8%30.7%18.5%22.1%
IV Percentile77.2%71.4%83.7%75.0%71.4%
Term Structure-2.1%-10.2%6.1%-4.9%0.3%
VWIV48.2%36.1%71.4%45.6%48.5%
Skew 25d7.8%-3.8%20.4%7.9%4.7%
Skew 10d16.5%1.2%34.9%16.4%4.7%
Call IV 25d44.6%31.9%68.9%41.7%46.0%
Put IV 25d52.4%41.2%65.1%49.6%50.7%
Bid-Ask Spread %95.4567.74110.4386.93102.85
Gamma HHI0.180.110.320.190.13
Net GEX16.9K6.9K30.4K17.8K8.3K
Net DEX-481.0K-1.1M-139.7K-482.7K-160.3K
Net VEX-1.4K-1.9K-891-1.5K-891
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.002.922.920.00
Total Volume79.273137921
Total OI8195011,132675504

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$20.79$19.0039.6%11.3%46.8%18.5%0.0%7.9%-4.9%17.8K-482.7K-1.5K0.0086.93N/AN/A02517158
2020-06-02$21.21$19.0041.7%12.0%46.2%20.1%45.6%11.0%-6.5%17.5K-544.9K-1.5K2.9267.74N/AN/A1235517158
2020-06-03$22.03$20.0034.5%9.9%47.7%14.8%36.1%8.0%1.3%16.0K-651.6K-1.4K0.4291.32N/AN/A9540527189
2020-06-04$21.84$17.0035.8%10.8%47.2%15.8%43.6%14.0%-1.4%19.3K-632.4K-1.6K0.4099.52N/AN/A271108601228
2020-06-05$23.46$17.0039.5%10.7%52.5%18.5%41.2%5.9%-0.7%20.6K-926.2K-1.4K0.61100.31N/AN/A8049597230
2020-06-08$24.61$17.0048.9%9.5%53.0%25.3%71.4%20.4%-7.6%19.2K-1.1M-1.4K0.05110.43N/AN/A22711638277
2020-06-09$23.95$17.0046.8%13.2%54.2%23.7%46.7%8.6%-10.2%27.1K-1.1M-1.5K0.1396.15N/AN/A385713287
2020-06-10$22.78$17.0044.5%12.8%57.4%22.1%42.9%9.5%-2.5%23.3K-792.8K-1.9K0.00103.20N/AN/A250745292
2020-06-11$20.66$17.0053.0%15.2%65.3%28.2%50.4%6.5%-10.0%14.7K-349.6K-1.7K0.76103.13N/AN/A5945760292
2020-06-12$20.97$17.0052.1%14.9%65.4%27.6%56.2%-3.8%-0.7%19.5K-420.7K-1.7K0.16106.65N/AN/A325814294
2020-06-15$20.76$18.0054.7%15.7%65.7%29.5%0.0%10.0%-1.5%20.2K-402.8K-1.6K0.0192.90N/AN/A1771830283
2020-06-16$21.40$18.0056.4%16.2%60.4%30.7%53.0%9.0%-3.8%30.4K-578.2K-1.7K0.6792.11N/AN/A3020826283
2020-06-17$20.84$18.0052.8%15.1%60.5%28.1%0.0%7.5%-4.6%24.7K-416.2K-1.6K0.0095.12N/AN/A100829303
2020-06-18$20.90$18.0052.5%15.1%59.4%27.9%55.0%4.0%-1.8%21.1K-421.5K-1.6K0.0073.95N/AN/A300819303
2020-06-19$20.90$18.0049.7%14.2%59.0%25.8%47.2%6.0%1.8%21.8K-474.8K-1.5K0.0497.82N/AN/A452828303
2020-06-22$20.70$19.0046.8%13.4%59.0%23.7%0.0%7.8%-0.1%10.0K-267.2K-1.4K0.0088.23N/AN/A20418124
2020-06-23$20.78$19.0044.9%12.9%57.7%22.4%42.3%7.2%1.4%9.2K-253.8K-1.2K0.4294.57N/AN/A17774389124
2020-06-24$19.79$19.0049.3%14.1%60.2%25.6%47.1%6.3%6.1%8.2K-182.1K-1.1K0.0099.72N/AN/A260389124
2020-06-25$19.95$19.0048.9%14.0%60.0%25.3%43.1%12.2%0.1%8.0K-169.1K-1.1K0.00100.36N/AN/A50378124
2020-06-26$19.32$19.0052.0%14.9%60.9%27.5%49.0%3.5%0.3%6.9K-139.7K-1.1K0.0098.42N/AN/A30377124
2020-06-29$19.48$19.0051.4%14.7%60.4%27.1%48.5%6.0%-0.4%7.2K-142.1K-1.1K0.0098.37N/AN/A20378124
2020-06-30$20.03$19.0044.6%12.8%60.9%22.1%0.0%4.7%0.3%8.3K-160.3K-8910.00102.85N/AN/A10380124