IYE Options History — May 2021

In May 2021, IYE traded between $27.12 and $29.18. ATM implied volatility averaged 32.3%, placing in the 9.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 2.8% (HV 20d: 29.5%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2021-05-10: Highest Volume — 155 contracts
  • 2021-05-05: Largest IV spike — 14.2% change
  • 2021-05-11: Highest IV Rank — 21.1%
  • 2021-05-05: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.09$27.12$29.18$27.18$27.95
Max Pain$24.85$24.00$25.00$25.00$25.00
ATM IV32.3%27.1%39.2%31.5%27.1%
Expected Move9.1%7.8%10.5%9.0%7.8%
HV 20d29.5%26.0%32.7%26.0%28.9%
HV 60d29.2%28.4%29.9%29.9%28.4%
IV Rank9.0%0.0%21.1%7.4%0.0%
IV Percentile11.7%0.0%45.2%6.0%0.0%
Term Structure1.0%-2.1%3.7%-0.5%2.2%
VWIV31.1%23.9%36.3%36.3%27.7%
Skew 25d2.5%-1.4%7.4%6.4%0.0%
Skew 10d5.4%-7.1%16.8%7.1%11.1%
Call IV 25d29.9%21.9%35.3%28.4%27.7%
Put IV 25d32.4%27.7%36.8%34.8%27.7%
Bid-Ask Spread %69.0731.28104.6496.8431.28
Gamma HHI0.260.190.400.190.35
Net GEX112.4K93.2K198.0K109.2K95.9K
Net DEX-2.4M-3.0M-2.0M-2.0M-2.2M
Net VEX-4.0K-4.9K-3.1K-4.3K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.006.675.200.17
Total Volume54.0581553170
Total OI1,734.251,5331,8551,6301,655

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-05-03$27.18$25.0031.5%9.0%26.0%7.4%36.3%6.4%-0.5%109.2K-2.0M-4.3K5.2096.84N/AN/A5261,447183
2021-05-04$27.12$25.0032.0%9.2%26.0%8.4%28.7%3.8%-0.8%95.6K-2.0M-4.7K6.67104.64N/AN/A3201,447208
2021-05-05$27.98$25.0036.5%10.5%28.0%16.4%34.7%7.4%-2.1%103.1K-2.4M-4.4K0.1192.89N/AN/A3641,448248
2021-05-06$28.11$24.0032.9%8.6%27.2%9.9%0.0%-1.4%1.5%100.8K-2.5M-4.6K0.5073.81N/AN/A1261,459246
2021-05-07$28.70$24.0036.0%8.8%27.6%15.4%31.1%6.7%-0.2%118.9K-2.8M-4.1K0.2174.71N/AN/A4291,467250
2021-05-10$28.84$24.0034.6%9.4%27.2%12.9%32.9%4.8%-0.8%102.6K-2.9M-4.4K1.0774.11N/AN/A75801,477254
2021-05-11$27.95$25.0039.2%10.0%30.2%21.1%33.3%-0.2%1.6%97.6K-2.3M-4.7K0.0579.54N/AN/A9251,492304
2021-05-12$28.07$25.0035.3%10.1%29.0%14.1%34.7%3.3%-0.5%101.2K-2.4M-4.9K0.0083.49N/AN/A9301,533304
2021-05-13$27.80$25.0033.4%9.6%29.2%10.9%0.0%2.5%1.4%109.9K-2.2M-4.4K1.2580.87N/AN/A451,515304
2021-05-14$28.55$25.0032.1%9.2%30.1%8.5%31.8%1.2%1.9%114.0K-2.7M-4.1K0.0436.67N/AN/A2611,529301
2021-05-17$29.18$25.0032.9%9.4%30.5%10.0%0.0%-0.5%1.0%106.0K-3.0M-3.9K1.0060.39N/AN/A661,519301
2021-05-18$28.79$25.0032.6%9.3%29.0%9.4%32.7%0.2%-1.4%106.1K-2.9M-3.8K0.2760.74N/AN/A114311,516301
2021-05-19$27.86$25.0035.8%10.3%32.0%15.1%35.4%-0.5%-0.0%116.7K-2.3M-4.1K0.1472.08N/AN/A711,523325
2021-05-20$27.97$25.0032.2%9.2%31.6%8.8%34.6%1.6%2.7%133.0K-2.3M-3.8K0.1077.21N/AN/A1011,529326
2021-05-21$28.05$25.0030.5%8.7%31.6%5.7%28.4%1.3%3.7%198.0K-2.3M-3.6K1.0280.25N/AN/A40411,499327
2021-05-24$28.24$25.0028.2%8.1%31.6%1.7%23.9%7.1%3.3%93.2K-2.4M-3.2K0.1531.43N/AN/A113171,386147
2021-05-25$27.65$25.0029.0%8.3%32.7%3.1%28.8%-0.6%3.4%112.0K-2.1M-3.4K0.2954.87N/AN/A34101,476162
2021-05-26$27.95$25.0027.7%7.9%30.8%0.7%26.0%3.3%2.4%116.6K-2.2M-3.4K0.5075.50N/AN/A1261,470167
2021-05-27$27.91$25.0027.1%7.8%30.8%0.0%27.3%3.5%1.8%117.0K-2.2M-3.2K0.5040.01N/AN/A1261,472168
2021-05-28$27.95$25.0027.1%7.8%28.9%0.0%27.7%0.0%2.2%95.9K-2.2M-3.1K0.1731.28N/AN/A60101,478177