IYE Options History — September 2020

In September 2020, IYE traded between $15.90 and $18.85. ATM implied volatility averaged 39.5%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 11.0% (HV 20d: 28.5%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.85.

Notable Days

  • 2020-09-18: Highest Volume — 225 contracts
  • 2020-09-02: Largest IV spike — 11.5% change
  • 2020-09-24: Highest IV Rank — 22.7%
  • 2020-09-24: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.37$15.90$18.85$18.85$15.90
Max Pain$18.90$18.00$20.00$19.00$18.00
ATM IV39.5%35.8%45.3%35.9%40.2%
Expected Move11.3%10.3%13.0%10.3%11.5%
HV 20d28.5%22.1%36.1%23.6%36.1%
HV 60d32.3%30.4%37.7%37.7%32.5%
IV Rank18.5%15.8%22.7%15.8%18.9%
IV Percentile58.0%48.8%69.0%53.2%58.7%
Term Structure1.4%-5.8%7.0%1.2%3.5%
VWIV37.4%31.3%48.4%34.1%48.4%
Skew 25d3.9%-1.0%9.2%3.8%0.8%
Skew 10d10.7%-9.0%27.1%3.9%2.4%
Call IV 25d37.3%33.3%43.6%34.3%40.4%
Put IV 25d41.2%35.1%46.6%38.1%41.1%
Bid-Ask Spread %79.0321.61103.7440.3585.34
Gamma HHI0.240.120.730.120.22
Net GEX8.0K3.9K33.9K7.3K4.3K
Net DEX133.1K-11.1K267.7K6.1K241.2K
Net VEX-847-1.1K-652-1.1K-956
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.850.0022.000.000.50
Total Volume48.66742253615
Total OI836.286725962725962

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$18.85$19.0035.9%10.3%23.6%15.8%34.1%3.8%1.2%7.3K6.1K-1.1K0.0040.35N/AN/A360523202
2020-09-02$18.77$19.0040.0%11.5%23.1%18.8%36.4%6.6%-0.8%7.7K-11.1K-1.1K0.0098.37N/AN/A180544202
2020-09-03$18.55$20.0044.5%12.6%23.2%22.0%0.0%4.5%-3.2%8.0K-694-1.1K0.0095.71N/AN/A50561202
2020-09-04$18.56$20.0039.5%10.4%23.1%18.4%39.5%8.5%1.3%7.7K20.9K-1.0K0.23103.74N/AN/A225566202
2020-09-08$17.91$20.0041.7%11.6%22.1%20.1%40.4%3.4%1.6%4.0K96.8K-8490.0091.06N/AN/A340562201
2020-09-09$18.01$20.0039.6%11.4%22.4%18.5%34.3%4.0%0.4%5.6K75.7K-8280.0660.33N/AN/A322581201
2020-09-10$17.37$20.0039.0%11.2%24.3%18.1%0.0%-1.0%-5.8%3.9K141.4K-6870.0692.91N/AN/A332594203
2020-09-11$17.32$20.0038.7%11.1%24.2%17.9%31.3%6.5%-0.4%4.2K139.7K-7230.0382.74N/AN/A301624203
2020-09-14$17.49$19.0037.2%10.7%24.6%16.7%34.5%4.6%1.5%5.3K128.2K-6970.0073.22N/AN/A40637204
2020-09-15$17.30$19.0036.5%10.5%24.5%16.2%36.7%3.3%1.8%6.4K149.0K-6520.0078.12N/AN/A013705204
2020-09-16$18.05$19.0035.8%10.3%30.1%15.8%34.5%3.0%1.4%24.2K-5.7K-8360.9379.01N/AN/A4138705211
2020-09-17$17.91$19.0036.5%10.5%30.1%16.2%35.9%7.2%7.0%33.9K29.5K-7830.0886.35N/AN/A121694206
2020-09-18$17.78$19.0035.9%10.3%29.8%15.8%31.4%2.8%3.2%6.6K100.1K-6968.0076.64N/AN/A25200694206
2020-09-21$17.16$18.0039.5%11.3%31.7%18.4%38.8%4.2%2.4%5.8K184.4K-75922.0021.61N/AN/A366511236
2020-09-22$17.12$18.0038.9%11.1%29.5%18.0%0.0%1.9%2.4%4.3K229.9K-8360.0081.51N/AN/A390514277
2020-09-23$16.12$18.0043.3%12.4%35.0%21.2%43.3%2.5%2.8%4.0K267.7K-7690.0873.52N/AN/A514546277
2020-09-24$16.05$18.0045.3%13.0%34.8%22.7%43.5%2.5%0.8%5.0K267.2K-8131.6781.88N/AN/A5185591281
2020-09-25$16.06$18.0040.7%11.7%34.8%19.3%36.1%9.2%0.3%6.2K254.8K-9240.0689.72N/AN/A171616296
2020-09-28$16.48$18.0042.0%12.0%35.7%20.2%0.0%-0.4%4.7%7.1K216.2K-9000.0099.46N/AN/A50622285
2020-09-29$16.05$18.0039.8%11.4%36.1%18.7%48.4%4.8%3.4%6.3K263.2K-7583.3768.09N/AN/A30101626285
2020-09-30$15.90$18.0040.2%11.5%36.1%18.9%0.0%0.8%3.5%4.3K241.2K-9560.5085.34N/AN/A105656306