IYE Options History — December 2020

In December 2020, IYE traded between $19.65 and $22.05. ATM implied volatility averaged 40.8%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 9.4% (HV 20d: 50.2%). Max pain ranged from $18.00 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 0.57.

Notable Days

  • 2020-12-15: Highest Volume — 80 contracts
  • 2020-12-03: Largest IV drop — 8.9% change
  • 2020-12-01: Highest IV Rank — 23.1%
  • 2020-12-01: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.75$19.65$22.05$19.65$20.28
Max Pain$19.82$18.00$20.00$18.00$20.00
ATM IV40.8%36.7%45.9%45.9%36.7%
Expected Move11.6%10.5%13.2%13.2%10.5%
HV 20d50.2%34.9%67.3%65.1%34.9%
HV 60d49.3%47.8%50.8%49.5%47.8%
IV Rank19.4%16.4%23.1%23.1%16.4%
IV Percentile46.8%27.8%65.9%65.9%27.8%
Term Structure-0.8%-4.0%4.5%-3.2%3.8%
VWIV41.7%30.2%62.4%49.8%35.8%
Skew 25d1.8%-2.8%12.3%0.7%-2.8%
Skew 10d4.1%-16.5%21.0%16.5%1.2%
Call IV 25d39.5%28.3%43.4%41.3%32.8%
Put IV 25d41.3%30.0%46.7%42.0%30.0%
Bid-Ask Spread %76.8753.7295.7191.0091.21
Gamma HHI0.170.140.210.210.17
Net GEX12.6K7.2K15.3K11.6K15.3K
Net DEX-406.5K-677.4K-247.9K-308.0K-297.1K
Net VEX-1.3K-1.5K-1.1K-1.1K-1.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.003.503.502.00
Total Volume24.045080276
Total OI652.818548723589637

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$19.65$18.0045.9%13.2%65.1%23.1%49.8%0.7%-3.2%11.6K-308.0K-1.1K3.5091.00N/AN/A621469120
2020-12-02$20.32$18.0043.9%12.6%65.4%21.6%42.9%2.0%-4.0%13.1K-403.9K-1.2K1.1295.71N/AN/A1719522131
2020-12-03$20.37$20.0040.0%11.0%65.4%18.8%0.0%1.7%0.8%11.8K-393.6K-1.3K0.0087.20N/AN/A00531150
2020-12-04$21.53$20.0040.6%10.8%66.9%19.3%38.7%12.3%-1.4%14.2K-592.2K-1.1K0.1488.83N/AN/A588531150
2020-12-07$20.99$20.0043.0%11.6%67.3%21.0%41.2%-2.4%-1.4%11.4K-477.3K-1.4K0.0070.77N/AN/A160548157
2020-12-08$21.38$20.0040.7%11.6%51.2%19.3%40.4%2.0%-2.3%14.2K-551.4K-1.5K1.0063.97N/AN/A33563157
2020-12-09$21.38$20.0040.6%11.6%51.2%19.2%40.0%-0.2%-1.8%14.4K-555.2K-1.4K0.0070.64N/AN/A50563157
2020-12-10$22.05$20.0039.1%11.2%51.4%18.1%39.9%1.8%2.4%14.5K-677.4K-1.4K0.1371.20N/AN/A486566157
2020-12-11$21.77$20.0041.6%11.9%49.6%20.0%0.0%-0.5%-1.8%11.7K-602.0K-1.4K0.0061.38N/AN/A00550162
2020-12-14$20.87$20.0041.8%12.0%51.4%20.1%30.2%0.4%-2.0%10.5K-415.5K-1.4K0.5053.72N/AN/A84525162
2020-12-15$21.20$20.0041.6%11.9%48.3%20.0%43.1%2.7%-1.9%10.9K-469.4K-1.4K0.2776.00N/AN/A6317522163
2020-12-16$21.14$20.0040.8%11.7%48.3%19.4%41.5%1.1%0.4%9.7K-458.8K-1.4K0.0078.50N/AN/A300523168
2020-12-17$21.03$20.0041.3%11.8%48.0%19.7%41.7%-2.2%4.5%7.2K-445.3K-1.4K0.2082.63N/AN/A51536168
2020-12-18$20.63$20.0041.3%11.9%48.7%19.8%0.0%3.0%-2.3%12.2K-356.4K-1.3K0.0062.95N/AN/A300536168
2020-12-21$20.37$20.0043.9%12.6%49.0%21.6%44.7%3.3%-3.6%12.4K-287.3K-1.4K0.5074.36N/AN/A14747969
2020-12-22$20.03$20.0043.9%12.6%44.6%21.7%43.4%0.7%-3.7%12.0K-254.5K-1.3K1.2567.86N/AN/A121548775
2020-12-23$20.55$20.0040.5%11.6%41.6%19.2%39.7%-0.6%-1.3%13.8K-314.8K-1.4K0.0476.71N/AN/A23149781
2020-12-24$20.28$20.0038.8%11.1%41.4%17.9%39.0%1.0%-0.3%13.7K-279.5K-1.4K0.0065.22N/AN/A3051481
2020-12-28$20.20$20.0037.6%10.8%41.1%17.1%62.4%4.9%-0.1%13.7K-259.9K-1.2K0.0085.25N/AN/A2051481
2020-12-29$20.12$20.0036.8%10.5%36.4%16.5%0.0%7.5%0.8%13.4K-247.9K-1.2K0.0083.98N/AN/A2051581
2020-12-30$20.43$20.0037.2%10.7%36.8%16.8%35.7%2.7%0.6%14.8K-295.4K-1.2K0.8591.96N/AN/A413551581
2020-12-31$20.28$20.0036.7%10.5%34.9%16.4%35.8%-2.8%3.8%15.3K-297.1K-1.3K2.0091.21N/AN/A2454196