IYE Options History — November 2020

In November 2020, IYE traded between $15.57 and $21.37. ATM implied volatility averaged 46.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 8.5% (HV 20d: 55.0%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2020-11-10: Highest Volume — 114 contracts
2020-11-09: Largest IV spike — 117.9% change
2020-11-09: Highest IV Rank — 50.7%
2020-11-02: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.35	$15.57	$21.37	$15.90	$19.61
Max Pain	$16.70	$15.00	$18.00	$17.00	$18.00
ATM IV	46.5%	38.1%	83.8%	56.5%	56.1%
Expected Move	12.6%	10.9%	16.2%	16.2%	16.1%
HV 20d	55.0%	33.6%	65.8%	36.6%	65.8%
HV 60d	42.8%	33.0%	49.5%	33.8%	49.5%
IV Rank	23.5%	17.4%	50.7%	30.8%	30.5%
IV Percentile	61.6%	42.1%	92.1%	83.7%	82.1%
Term Structure	-2.6%	-18.7%	3.6%	-5.3%	-1.9%
VWIV	42.0%	38.4%	58.0%	58.0%	46.4%
Skew 25d	3.8%	-19.7%	26.9%	2.5%	-5.2%
Skew 10d	5.0%	-9.1%	24.8%	12.4%	-9.1%
Call IV 25d	41.7%	27.0%	62.6%	56.0%	49.5%
Put IV 25d	45.5%	38.7%	68.5%	58.6%	44.3%
Bid-Ask Spread %	91.78	71.78	119.23	71.78	98.55
Gamma HHI	0.22	0.17	0.27	0.22	0.19
Net GEX	9.2K	3.3K	14.5K	3.3K	10.6K
Net DEX	-348.2K	-707.6K	141.7K	57.9K	-295.4K
Net VEX	-970	-1.2K	-729	-894	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.00	3.33	2.00	0.14
Total Volume	43.75	2	114	9	25
Total OI	794.45	539	1,017	740	573

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-11-02	$15.90	$17.00	56.5%	16.2%	36.6%	30.8%	58.0%	2.5%	-5.3%	3.3K	57.9K	-894	2.00	71.78	N/A	N/A	3	6	510	230
2020-11-03	$15.85	$17.00	55.5%	15.9%	36.5%	30.0%	0.0%	-5.0%	-0.1%	3.3K	65.5K	-895	0.00	90.59	N/A	N/A	29	0	510	230
2020-11-04	$15.90	$17.00	52.5%	15.0%	36.3%	27.9%	0.0%	26.9%	-6.3%	4.4K	91.4K	-831	0.00	119.23	N/A	N/A	2	0	557	231
2020-11-05	$15.88	$15.00	44.1%	12.7%	33.6%	21.7%	0.0%	5.2%	-6.3%	5.0K	44.7K	-919	0.00	99.70	N/A	N/A	2	0	557	231
2020-11-06	$15.57	$15.00	38.5%	11.8%	33.9%	17.7%	42.2%	10.6%	-0.6%	3.7K	141.7K	-729	0.75	101.22	N/A	N/A	16	12	558	231
2020-11-09	$17.77	$15.00	83.8%	11.3%	58.7%	50.7%	38.5%	-19.7%	3.6%	8.8K	-324.5K	-1.0K	0.27	105.95	N/A	N/A	33	9	570	242
2020-11-10	$18.06	$15.00	46.0%	11.5%	58.5%	23.2%	39.8%	3.3%	-0.2%	9.9K	-411.5K	-1.1K	1.24	93.64	N/A	N/A	51	63	590	242
2020-11-11	$17.91	$15.00	38.1%	10.9%	58.7%	17.4%	38.4%	4.9%	-2.7%	10.4K	-414.9K	-1.1K	0.86	100.62	N/A	N/A	7	6	625	297
2020-11-12	$17.32	$15.00	41.8%	12.0%	60.2%	20.1%	42.7%	-0.4%	-3.3%	10.7K	-260.8K	-1.1K	0.00	98.76	N/A	N/A	28	0	630	297
2020-11-13	$18.12	$15.00	42.9%	12.3%	61.5%	20.9%	41.3%	-1.0%	-1.6%	12.5K	-484.0K	-1.0K	0.00	88.48	N/A	N/A	14	0	631	297
2020-11-16	$19.15	$16.00	41.0%	11.7%	63.2%	19.5%	41.2%	2.4%	-2.1%	11.4K	-693.2K	-767	1.75	79.51	N/A	N/A	40	70	601	264
2020-11-17	$19.27	$18.00	39.7%	11.4%	63.2%	18.6%	40.3%	-1.3%	-0.6%	9.8K	-707.6K	-812	0.02	78.81	N/A	N/A	96	2	635	324
2020-11-18	$18.99	$18.00	39.6%	11.3%	62.8%	18.5%	39.7%	0.7%	-1.4%	7.3K	-611.6K	-839	0.06	88.00	N/A	N/A	80	5	615	326
2020-11-19	$19.16	$18.00	39.6%	11.4%	61.8%	18.5%	39.5%	6.7%	-1.6%	9.5K	-646.4K	-861	0.13	89.32	N/A	N/A	76	10	639	331
2020-11-20	$19.14	$18.00	39.6%	11.4%	61.7%	18.5%	39.5%	3.9%	-0.1%	12.1K	-641.9K	-1.0K	0.23	76.20	N/A	N/A	31	7	676	341
2020-11-23	$20.32	$18.00	42.4%	12.2%	61.8%	20.6%	39.6%	4.8%	-1.8%	13.0K	-417.3K	-1.0K	0.00	79.87	N/A	N/A	24	0	465	74
2020-11-24	$21.37	$18.00	42.3%	12.1%	62.7%	20.5%	43.0%	17.9%	-18.7%	14.5K	-538.2K	-1.1K	0.37	86.66	N/A	N/A	62	23	486	74
2020-11-25	$20.97	$18.00	42.4%	12.1%	60.6%	20.5%	42.8%	11.1%	2.8%	13.3K	-492.0K	-1.2K	3.33	95.61	N/A	N/A	9	30	489	98
2020-11-27	$20.66	$18.00	47.4%	13.6%	61.5%	24.2%	0.0%	7.3%	-4.7%	10.7K	-426.1K	-1.2K	0.33	93.03	N/A	N/A	3	1	495	117
2020-11-30	$19.61	$18.00	56.1%	16.1%	65.8%	30.5%	46.4%	-5.2%	-1.9%	10.6K	-295.4K	-1.1K	0.14	98.55	N/A	N/A	22	3	455	118