IYE Options History — June 2021

In June 2021, IYE traded between $28.12 and $29.99. ATM implied volatility averaged 27.6%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.5% (HV 20d: 27.0%). Max pain ranged from $21.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2021-06-29: Highest Volume — 1,570 contracts
  • 2021-06-18: Largest IV spike — 20.9% change
  • 2021-06-24: Highest IV Rank — 12.5%
  • 2021-06-24: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.41$28.12$29.99$29.04$29.07
Max Pain$25.27$21.00$27.00$25.00$27.00
ATM IV27.6%24.3%31.8%28.2%25.1%
Expected Move8.0%7.2%9.1%8.1%7.2%
HV 20d27.0%23.4%30.5%30.2%26.6%
HV 60d27.3%25.5%28.7%28.6%27.5%
IV Rank5.1%0.0%12.5%1.9%1.3%
IV Percentile4.0%0.0%15.9%2.0%0.4%
Term Structure2.5%-3.7%5.8%2.1%4.3%
VWIV28.7%25.2%32.7%27.9%25.2%
Skew 25d2.9%-1.5%7.0%1.7%-1.5%
Skew 10d5.2%-4.1%12.3%2.1%10.5%
Call IV 25d27.1%22.8%31.7%26.3%27.8%
Put IV 25d30.0%26.3%34.9%28.0%26.3%
Bid-Ask Spread %54.2426.3794.1368.0478.55
Gamma HHI0.410.210.660.430.29
Net GEX122.4K40.3K193.8K128.5K122.5K
Net DEX-2.0M-3.6M-270.1K-2.9M-1.2M
Net VEX-3.1K-6.0K-2.1K-3.2K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.012.001.560.05
Total Volume191.86451,57010522
Total OI1,501.5456342,0331,7122,033

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$29.04$25.0028.2%8.1%30.2%1.9%27.9%1.7%2.1%128.5K-2.9M-3.2K1.5668.04N/AN/A41641,517195
2021-06-02$29.54$25.0027.1%7.8%30.5%0.0%27.6%0.3%3.7%121.3K-3.1M-3.3K0.2527.12N/AN/A95241,495225
2021-06-03$29.64$23.0024.3%8.6%28.8%0.0%32.0%7.0%2.7%137.1K-3.3M-3.3K0.0894.13N/AN/A6351,551247
2021-06-04$29.86$23.0027.0%8.2%28.8%4.5%0.0%7.0%2.8%152.4K-3.5M-3.0K0.1852.11N/AN/A5091,561249
2021-06-07$29.72$21.0031.2%8.6%28.2%11.6%30.5%5.6%1.5%133.2K-3.4M-3.1K1.2980.47N/AN/A17221,561233
2021-06-08$29.99$22.0025.7%7.7%28.3%2.4%27.1%6.5%3.6%149.9K-3.6M-2.8K0.1726.37N/AN/A3561,562248
2021-06-09$29.85$22.0028.1%8.0%25.6%6.3%29.0%5.1%2.6%177.0K-3.5M-2.8K0.0748.96N/AN/A2821,534254
2021-06-10$29.69$22.0027.5%7.9%25.7%5.4%28.3%2.0%2.0%153.7K-3.3M-3.0K0.0770.05N/AN/A11081,527256
2021-06-11$29.52$22.0025.7%7.4%25.5%2.3%26.3%0.1%3.6%167.1K-3.3M-3.1K0.0029.54N/AN/A0271,563260
2021-06-14$29.32$27.0026.2%7.5%24.1%3.2%27.2%1.8%4.5%193.8K-1.5M-2.8K1.4437.35N/AN/A16231,004257
2021-06-15$29.94$27.0026.9%7.7%24.0%4.2%27.2%1.7%2.6%149.8K-2.0M-2.5K2.0055.23N/AN/A1428996253
2021-06-16$29.89$27.0028.1%8.0%23.4%6.2%29.1%4.4%1.2%146.7K-2.0M-2.6K0.0747.86N/AN/A6851,007257
2021-06-17$28.84$27.0025.3%7.2%24.0%1.6%29.0%2.8%5.8%190.4K-913.2K-2.5K0.8145.52N/AN/A1613952253
2021-06-18$28.12$27.0030.6%8.8%25.8%10.5%31.5%1.7%2.9%45.3K-270.1K-2.1K0.5434.06N/AN/A4826948263
2021-06-21$29.09$27.0029.2%8.4%28.5%8.2%31.4%3.3%2.4%40.3K-649.7K-2.2K0.4728.70N/AN/A3818519115
2021-06-22$29.36$27.0029.8%8.5%28.5%9.1%30.4%6.8%2.0%44.3K-720.8K-2.2K0.3636.33N/AN/A2810548117
2021-06-23$29.50$27.0027.8%8.0%27.2%5.9%27.9%1.7%2.7%47.0K-784.1K-2.3K0.4565.16N/AN/A18985572127
2021-06-24$29.65$27.0031.8%9.1%27.1%12.5%32.7%3.8%-3.7%49.0K-874.2K-2.5K0.0173.54N/AN/A1,37710623141
2021-06-25$29.80$27.0026.8%7.7%27.0%4.2%28.3%1.7%3.5%129.4K-1.5M-6.0K0.0085.61N/AN/A061,864141
2021-06-28$28.78$27.0027.6%7.9%30.2%5.5%28.4%-0.1%1.7%106.4K-1.0M-4.6K0.6753.43N/AN/A321,864140
2021-06-29$28.72$27.0027.2%7.8%26.9%4.9%26.1%1.7%1.5%107.7K-983.8K-4.5K0.0555.06N/AN/A1,502681,864138
2021-06-30$29.07$27.0025.1%7.2%26.6%1.3%25.2%-1.5%4.3%122.5K-1.2M-4.7K0.0578.55N/AN/A2111,891142