IYE Options History — March 2021

In March 2021, IYE traded between $25.72 and $28.45. ATM implied volatility averaged 38.6%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.1% (HV 20d: 31.4%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.46.

Notable Days

  • 2021-03-01: Highest Volume — 182 contracts
  • 2021-03-08: Largest IV spike — 23.7% change
  • 2021-03-09: Highest IV Rank — 12.0%
  • 2021-03-10: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.05$25.72$28.45$26.30$26.24
Max Pain$25.52$23.00$26.00$23.00$26.00
ATM IV38.6%30.3%46.2%41.8%33.9%
Expected Move10.9%8.7%12.2%12.0%9.7%
HV 20d31.4%29.0%35.3%30.2%31.6%
HV 60d34.4%32.8%36.1%36.1%34.7%
IV Rank6.6%0.0%12.0%8.3%5.8%
IV Percentile27.6%0.0%69.0%47.2%4.4%
Term Structure-1.3%-7.9%9.6%-2.2%-0.7%
VWIV37.6%22.3%43.9%41.8%33.0%
Skew 25d2.3%-4.4%13.2%1.9%1.9%
Skew 10d5.2%-12.8%18.7%13.2%-1.2%
Call IV 25d38.4%27.1%43.0%41.1%37.1%
Put IV 25d40.7%36.0%44.8%43.0%38.9%
Bid-Ask Spread %71.9443.8297.3785.6180.94
Gamma HHI0.170.130.230.180.23
Net GEX12.8K2.0K26.1K26.1K5.2K
Net DEX-983.2K-1.5M-354.0K-1.0M-412.5K
Net VEX-2.8K-3.2K-1.9K-1.9K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.002.071.220.00
Total Volume51.261618218243
Total OI1,072.6097691,2827691,034

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$26.30$23.0041.8%12.0%30.2%8.3%41.8%1.9%-2.2%26.1K-1.0M-1.9K1.2285.61N/AN/A82100607162
2021-03-02$26.29$23.0041.4%11.9%30.5%7.9%40.3%0.9%-0.8%23.0K-982.2K-2.5K0.0071.43N/AN/A60663262
2021-03-03$26.68$23.0038.0%10.9%30.5%5.0%38.7%8.2%-2.7%21.9K-1.1M-2.4K0.1397.37N/AN/A385666262
2021-03-04$27.13$25.0044.4%11.0%29.0%10.4%35.3%4.6%-2.3%21.0K-1.2M-2.3K0.0587.86N/AN/A995665263
2021-03-05$28.09$25.0037.0%11.0%30.3%4.2%38.4%3.2%-2.6%22.0K-1.4M-2.1K0.4373.13N/AN/A4921693263
2021-03-08$28.30$26.0045.8%11.8%30.3%11.6%41.4%-0.8%-3.6%20.8K-1.5M-2.2K1.0283.73N/AN/A8890729283
2021-03-09$27.66$26.0046.2%11.5%30.2%12.0%37.9%-4.4%-1.0%16.5K-1.4M-3.2K0.3264.52N/AN/A3110808372
2021-03-10$28.41$26.0042.4%12.2%30.0%8.7%35.4%3.2%-3.2%16.6K-1.5M-3.0K0.0079.08N/AN/A170804379
2021-03-11$28.43$26.0040.5%11.6%30.1%7.1%40.6%0.6%-3.1%17.0K-1.5M-3.2K2.0776.88N/AN/A1429822379
2021-03-12$28.45$26.0039.5%11.3%29.2%6.4%38.9%13.2%-4.8%15.6K-1.5M-2.9K0.0048.76N/AN/A280822405
2021-03-15$28.12$26.0038.2%11.0%30.0%5.3%40.6%-1.1%1.0%14.4K-1.5M-3.0K1.0081.18N/AN/A99840405
2021-03-16$27.39$26.0038.5%11.0%31.4%5.5%37.6%-2.2%-0.1%11.4K-1.2M-3.1K0.5787.40N/AN/A74834413
2021-03-17$27.49$26.0036.5%10.5%31.3%3.8%22.3%-0.1%-1.0%12.0K-1.3M-2.9K0.1483.04N/AN/A7010831413
2021-03-18$26.23$26.0037.5%10.7%35.3%4.6%43.9%3.5%-7.9%17.1K-904.5K-3.2K0.0043.82N/AN/A170859423
2021-03-19$26.45$26.0037.6%10.8%35.0%6.0%39.1%3.5%-1.0%4.0K-964.5K-3.1K1.1970.75N/AN/A1619850423
2021-03-22$26.19$26.0034.1%9.8%33.4%2.3%38.3%1.7%2.9%3.7K-477.4K-2.9K0.2878.96N/AN/A3911634362
2021-03-23$25.72$26.0035.6%10.2%33.7%4.0%36.3%1.6%-0.4%2.9K-354.0K-2.8K0.1155.64N/AN/A91613372
2021-03-24$26.38$26.0034.3%9.8%32.9%3.4%34.9%-0.1%-1.1%2.0K-487.9K-2.9K0.6782.87N/AN/A2718608375
2021-03-25$26.32$26.0038.7%11.1%32.0%9.9%38.4%7.6%-2.2%2.4K-459.0K-2.9K0.0048.96N/AN/A520601393
2021-03-26$26.84$26.0037.6%10.8%32.3%8.2%36.2%1.7%-2.8%5.2K-650.5K-3.0K0.1667.23N/AN/A508640393
2021-03-29$26.70$26.0030.3%8.7%31.7%0.0%38.2%-0.0%9.6%6.4K-510.9K-3.0K1.1652.79N/AN/A1922630386
2021-03-30$26.45$26.0037.0%10.6%31.9%10.7%36.4%3.4%-0.2%6.3K-472.1K-3.1K0.0052.79N/AN/A70633396
2021-03-31$26.24$26.0033.9%9.7%31.6%5.8%33.0%1.9%-0.7%5.2K-412.5K-3.0K0.0080.94N/AN/A430638396