IYE Options History — January 2021

In January 2021, IYE traded between $20.29 and $23.85. ATM implied volatility averaged 39.9%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.4% (HV 20d: 35.4%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2021-01-06: Highest Volume — 138 contracts
2021-01-11: Largest IV spike — 25.1% change
2021-01-11: Highest IV Rank — 21.9%
2021-01-29: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.27	$20.29	$23.85	$20.29	$20.98
Max Pain	$20.89	$20.00	$21.00	$20.00	$21.00
ATM IV	39.9%	32.0%	45.5%	39.1%	45.5%
Expected Move	11.3%	9.2%	13.0%	11.9%	13.0%
HV 20d	35.4%	30.4%	40.2%	34.9%	40.2%
HV 60d	48.7%	47.8%	49.9%	47.8%	48.6%
IV Rank	17.2%	9.6%	21.9%	17.5%	19.5%
IV Percentile	38.9%	8.3%	65.5%	35.3%	65.5%
Term Structure	2.2%	-9.4%	36.6%	-0.2%	6.1%
VWIV	39.3%	24.0%	47.6%	40.7%	47.6%
Skew 25d	1.1%	-9.7%	13.1%	1.6%	-6.7%
Skew 10d	6.2%	-9.6%	19.2%	0.4%	11.6%
Call IV 25d	38.9%	27.4%	62.8%	33.3%	62.8%
Put IV 25d	40.0%	31.7%	56.0%	34.9%	56.0%
Bid-Ask Spread %	79.46	43.52	122.84	89.80	107.24
Gamma HHI	0.19	0.15	0.33	0.18	0.17
Net GEX	21.8K	15.2K	32.2K	15.2K	17.2K
Net DEX	-628.2K	-1.0M	-286.8K	-286.8K	-400.5K
Net VEX	-1.6K	-1.8K	-1.2K	-1.2K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	2.00	0.33	0.00
Total Volume	29.632	4	138	4	13
Total OI	631.737	491	810	641	529

Daily Data (19 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
2021-01-04	$20.29	$20.00	39.1%	11.9%	34.9%	17.5%	0.0%	1.6%	-0.2%	15.2K	-286.8K	-1.2K	0.33	89.80	N/A	N/A	3	1	541	100
2021-01-05	$21.28	$20.00	42.9%	12.0%	33.4%	20.2%	40.7%	2.8%	-1.1%	19.0K	-455.6K	-1.3K	0.65	78.61	N/A	N/A	57	37	543	99
2021-01-06	$21.85	$21.00	42.5%	11.4%	33.3%	19.9%	41.5%	-0.2%	-0.6%	21.0K	-548.2K	-1.4K	0.03	72.22	N/A	N/A	134	4	569	115
2021-01-07	$22.27	$21.00	38.4%	10.8%	33.4%	16.9%	37.1%	3.6%	2.3%	25.0K	-722.4K	-1.7K	0.33	45.32	N/A	N/A	15	5	629	119
2021-01-08	$22.15	$21.00	36.1%	10.9%	33.5%	15.2%	37.9%	1.8%	3.1%	25.1K	-712.5K	-1.7K	2.00	55.52	N/A	N/A	2	4	637	124
2021-01-11	$22.47	$21.00	45.2%	11.6%	32.0%	21.9%	38.6%	3.3%	-0.2%	25.5K	-757.2K	-1.7K	0.00	71.69	N/A	N/A	11	0	635	128
2021-01-12	$23.35	$21.00	43.1%	11.6%	34.2%	20.4%	40.0%	1.5%	1.8%	26.5K	-916.0K	-1.6K	0.01	77.03	N/A	N/A	79	1	642	128
2021-01-13	$23.05	$21.00	38.9%	11.1%	30.4%	17.3%	0.0%	1.4%	-0.6%	26.9K	-899.3K	-1.7K	0.20	75.09	N/A	N/A	15	3	661	120
2021-01-14	$23.85	$21.00	38.7%	11.1%	31.9%	17.1%	38.9%	1.5%	36.6%	25.3K	-1.0M	-1.6K	0.10	63.73	N/A	N/A	20	2	674	120
2021-01-15	$22.77	$21.00	39.7%	11.4%	36.8%	17.9%	39.3%	-0.1%	-2.5%	32.2K	-883.0K	-1.7K	0.08	59.18	N/A	N/A	37	3	690	120
2021-01-19	$23.31	$21.00	35.2%	10.1%	37.3%	14.6%	40.5%	-3.2%	2.8%	20.0K	-631.1K	-1.7K	0.00	69.81	N/A	N/A	14	0	455	36
2021-01-20	$23.31	$21.00	38.0%	10.9%	36.3%	15.8%	38.0%	1.8%	-9.4%	20.0K	-647.8K	-1.8K	0.00	43.52	N/A	N/A	8	0	469	36
2021-01-21	$22.62	$21.00	38.5%	11.0%	37.9%	16.2%	38.7%	1.7%	-0.6%	19.3K	-586.2K	-1.8K	0.00	79.40	N/A	N/A	19	0	477	36
2021-01-22	$22.47	$21.00	43.3%	12.4%	37.3%	19.7%	43.3%	-2.3%	-3.1%	19.5K	-537.2K	-1.7K	0.00	92.14	N/A	N/A	6	0	471	36
2021-01-25	$22.18	$21.00	42.1%	12.1%	37.1%	17.7%	42.1%	2.8%	-0.4%	19.1K	-516.6K	-1.7K	0.05	89.38	N/A	N/A	22	1	473	36
2021-01-26	$21.81	$21.00	41.1%	11.8%	37.4%	16.5%	41.0%	-9.7%	0.0%	18.5K	-502.0K	-1.7K	0.00	100.46	N/A	N/A	18	0	480	37
2021-01-27	$21.43	$21.00	32.0%	9.2%	38.0%	9.6%	38.4%	13.1%	9.5%	18.9K	-448.9K	-1.7K	0.06	122.84	N/A	N/A	18	1	482	37
2021-01-28	$21.72	$21.00	37.2%	10.7%	38.1%	13.3%	24.0%	6.0%	-1.5%	20.6K	-447.7K	-1.6K	0.00	116.78	N/A	N/A	10	0	481	38
2021-01-29	$20.98	$21.00	45.5%	13.0%	40.2%	19.5%	47.6%	-6.7%	6.1%	17.2K	-400.5K	-1.6K	0.00	107.24	N/A	N/A	13	0	491	38