IYE Options History — October 2020

In October 2020, IYE traded between $14.94 and $16.70. ATM implied volatility averaged 42.5%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 5.7% (HV 20d: 36.7%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 4.98.

Notable Days

  • 2020-10-20: Highest Volume — 100 contracts
  • 2020-10-12: Largest IV spike — 23.9% change
  • 2020-10-30: Highest IV Rank — 36.4%
  • 2020-10-30: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.97$14.94$16.70$15.39$15.28
Max Pain$17.18$17.00$18.00$18.00$17.00
ATM IV42.5%33.4%64.3%41.1%64.3%
Expected Move12.6%10.4%18.4%11.8%18.4%
HV 20d36.7%30.2%40.3%37.0%35.1%
HV 60d31.7%30.2%33.1%33.1%32.6%
IV Rank20.6%14.0%36.4%19.6%36.4%
IV Percentile59.3%38.5%87.3%60.3%87.3%
Term Structure-1.7%-19.1%17.6%-1.9%-2.5%
VWIV41.9%27.5%60.1%40.4%60.1%
Skew 25d5.7%-4.1%23.8%0.6%18.4%
Skew 10d11.4%-6.4%41.5%-2.5%15.1%
Call IV 25d38.7%27.0%49.0%42.6%42.4%
Put IV 25d44.3%27.9%68.2%43.2%60.8%
Bid-Ask Spread %93.2970.62114.6382.0191.77
Gamma HHI0.240.160.420.160.19
Net GEX4.5K-44512.3K3.0K2.3K
Net DEX135.6K51.1K274.6K274.6K120.5K
Net VEX-963-1.2K-743-945-849
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.980.0080.0080.000.00
Total Volume24.45501008113
Total OI874.1366311,058972731

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$15.39$18.0041.1%11.8%37.0%19.6%40.4%0.6%-1.9%3.0K274.6K-94580.0082.01N/AN/A180666306
2020-10-02$15.64$18.0040.0%11.5%38.2%18.8%35.6%-0.3%-7.2%2.6K272.1K-9935.67100.14N/AN/A317667326
2020-10-05$16.09$18.0039.2%12.1%40.3%18.2%49.7%6.6%0.5%4.3K192.0K-1.1K0.2492.56N/AN/A174670303
2020-10-06$15.94$18.0037.8%12.5%38.8%17.2%41.0%4.3%-2.7%3.7K215.1K-9900.8770.62N/AN/A2320682307
2020-10-07$16.11$17.0035.8%11.6%39.1%15.7%40.6%10.2%0.6%7.1K178.8K-1.1K0.0095.08N/AN/A10748307
2020-10-08$16.70$17.0036.7%12.1%40.0%16.4%41.7%7.3%-13.5%12.3K69.3K-1.2K0.0081.37N/AN/A90748307
2020-10-09$16.45$17.0033.4%11.6%40.2%14.0%40.5%2.1%1.8%10.2K103.4K-1.2K2.5094.02N/AN/A25751307
2020-10-12$16.53$17.0041.3%11.2%40.1%19.8%0.0%4.5%-0.6%11.1K68.0K-1.1K0.5086.77N/AN/A63753287
2020-10-13$16.30$17.0034.7%11.8%40.2%15.0%38.6%5.0%-1.6%8.8K112.5K-1.1K0.4387.03N/AN/A2310759286
2020-10-14$16.35$17.0042.6%12.2%36.5%20.7%27.5%-0.0%-7.0%6.1K120.2K-9650.0099.07N/AN/A540747286
2020-10-15$16.49$17.0039.0%11.2%36.8%18.1%0.0%0.5%17.6%7.9K145.5K-8790.00114.63N/AN/A00749286
2020-10-16$16.19$17.0046.0%13.2%37.2%23.2%44.8%0.6%-1.0%498111.8K-9901.33107.36N/AN/A34749286
2020-10-19$15.90$17.0036.3%10.4%35.7%16.1%37.4%-4.1%1.4%-445136.4K-7940.00100.68N/AN/A510410221
2020-10-20$16.09$17.0041.5%11.9%36.2%19.9%38.6%5.2%-5.2%2.1K95.2K-9375.6774.96N/AN/A1585465221
2020-10-21$15.74$17.0043.1%12.3%30.2%21.0%43.7%1.3%-3.4%2.7K96.5K-8860.0094.99N/AN/A04471211
2020-10-22$16.37$17.0041.9%12.0%33.4%20.2%28.0%18.3%1.1%3.2K51.1K-9560.13103.05N/AN/A81471215
2020-10-23$16.27$17.0040.2%11.5%33.5%18.9%40.3%4.2%2.8%3.5K56.1K-9890.0095.57N/AN/A30473216
2020-10-26$15.68$17.0045.3%13.0%34.6%22.7%46.7%3.4%9.9%2.9K104.5K-8901.6793.94N/AN/A1220475212
2020-10-27$15.55$17.0045.2%12.9%33.6%22.5%47.4%5.4%-3.4%1.7K136.4K-8170.3682.19N/AN/A145481232
2020-10-28$14.94$17.0054.1%15.5%36.2%29.0%0.0%23.8%-19.1%1.3K172.6K-7430.00106.73N/AN/A80487232
2020-10-29$15.31$17.0055.1%15.8%35.7%29.8%54.3%7.2%-4.2%1.6K149.8K-7880.1797.73N/AN/A122492232
2020-10-30$15.28$17.0064.3%18.4%35.1%36.4%60.1%18.4%-2.5%2.3K120.5K-8490.0091.77N/AN/A130501230