IYE Options History — August 2020

In August 2020, IYE traded between $19.04 and $20.53. ATM implied volatility averaged 34.9%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.3% (HV 20d: 28.6%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2020-08-11: Highest Volume — 73 contracts
  • 2020-08-04: Largest IV drop — 10.7% change
  • 2020-08-03: Highest IV Rank — 18.2%
  • 2020-08-03: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.74$19.04$20.53$19.28$19.04
Max Pain$18.29$18.00$19.00$19.00$19.00
ATM IV34.9%31.9%39.1%39.1%36.3%
Expected Move10.1%9.2%11.2%11.2%10.4%
HV 20d28.6%23.5%36.7%36.7%24.6%
HV 60d44.1%39.2%48.2%48.2%39.2%
IV Rank15.1%12.9%18.2%18.2%16.1%
IV Percentile53.7%50.0%59.1%59.1%55.2%
Term Structure2.2%-4.6%10.7%0.9%2.3%
VWIV34.2%29.6%40.2%36.9%36.5%
Skew 25d3.4%-8.5%11.3%6.5%-0.2%
Skew 10d7.9%-10.2%19.9%2.8%10.1%
Call IV 25d33.4%27.4%39.3%36.2%38.9%
Put IV 25d36.8%22.0%42.6%42.6%38.8%
Bid-Ask Spread %76.4334.65103.9675.4235.74
Gamma HHI0.220.100.690.210.12
Net GEX7.6K-20.2K19.4K2.3K6.9K
Net DEX-123.9K-323.2K5.2K-9.2K-17.4K
Net VEX-1.3K-1.6K-1.0K-1.4K-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.0010.000.000.12
Total Volume19.2381733719
Total OI750.19651833692709

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$19.28$19.0039.1%11.2%36.7%18.2%36.9%6.5%0.9%2.3K-9.2K-1.4K0.0075.42N/AN/A370453239
2020-08-04$19.66$19.0034.9%10.0%36.1%15.1%34.6%6.6%1.8%5.3K-86.8K-1.6K0.0073.16N/AN/A30479239
2020-08-05$19.89$19.0035.9%10.3%36.3%15.8%0.0%-0.3%2.7%5.9K-124.8K-1.5K0.0091.65N/AN/A300481239
2020-08-06$19.72$18.0035.9%10.5%31.5%15.8%0.0%11.3%0.9%6.9K-117.5K-1.6K0.0091.88N/AN/A200508239
2020-08-07$19.81$18.0036.4%10.2%30.7%16.2%39.6%9.5%5.8%6.9K-116.8K-1.4K10.00101.89N/AN/A110508239
2020-08-10$20.43$18.0035.6%11.0%32.3%15.6%40.2%-2.9%-0.1%8.5K-245.6K-1.4K0.0096.97N/AN/A290509249
2020-08-11$20.44$18.0031.9%10.2%30.9%12.9%31.9%-5.1%10.7%13.4K-323.2K-1.6K0.12103.96N/AN/A658534249
2020-08-12$20.53$18.0035.2%10.1%30.0%15.3%36.0%5.6%1.2%13.1K-271.3K-1.6K1.0074.70N/AN/A11539253
2020-08-13$20.20$18.0038.4%11.0%30.5%17.6%0.0%4.5%1.5%12.3K-219.5K-1.5K0.0080.06N/AN/A10540254
2020-08-14$20.31$18.0035.2%10.1%30.1%15.3%32.9%5.2%2.7%14.7K-240.9K-1.5K0.0079.90N/AN/A200541254
2020-08-17$20.26$18.0031.9%9.2%29.6%12.9%29.6%7.2%7.5%19.4K-248.9K-1.4K0.0087.56N/AN/A240561254
2020-08-18$19.95$18.0032.3%9.2%23.6%13.2%0.0%-5.4%3.3%16.0K-175.0K-1.3K1.0050.46N/AN/A11560254
2020-08-19$19.76$18.0033.8%9.7%23.5%14.3%34.1%5.0%1.1%17.7K-139.8K-1.3K0.2086.55N/AN/A204561255
2020-08-20$19.43$18.0035.6%10.2%24.1%15.6%0.0%3.5%-0.7%-1.3K-94.0K-1.2K0.0086.66N/AN/A160582251
2020-08-21$19.18$18.0032.3%9.2%24.5%13.2%32.0%-8.5%-4.6%-20.2K-15.6K-1.0K1.0079.20N/AN/A1111579251
2020-08-24$19.68$18.0033.1%9.5%26.4%13.8%31.0%7.0%2.9%5.1K-51.0K-1.2K0.0034.65N/AN/A180456195
2020-08-25$19.47$18.0033.6%9.6%26.3%14.2%33.0%2.7%2.2%6.6K-42.8K-1.2K0.0074.98N/AN/A70473195
2020-08-26$19.07$18.0033.9%9.7%26.4%14.4%32.9%4.5%2.7%5.5K5.2K-1.1K0.0072.89N/AN/A240476195
2020-08-27$19.10$19.0036.1%10.3%23.5%15.9%35.4%8.7%1.3%5.8K-2.8K-1.1K0.0045.58N/AN/A190491200
2020-08-28$19.43$19.0036.2%10.4%23.9%16.1%31.3%6.2%0.6%8.5K-64.2K-1.3K0.0081.18N/AN/A30510200
2020-08-31$19.04$19.0036.3%10.4%24.6%16.1%36.5%-0.2%2.3%6.9K-17.4K-1.2K0.1235.74N/AN/A172509200