IYE Options History — August 2021

In August 2021, IYE traded between $24.72 and $27.11. ATM implied volatility averaged 28.7%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 0.6% (HV 20d: 28.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2021-08-27: Highest Volume — 102 contracts
  • 2021-08-20: Largest IV spike — 65.2% change
  • 2021-08-20: Highest IV Rank — 30.1%
  • 2021-08-20: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.33$24.72$27.11$26.55$26.31
Max Pain$25.32$25.00$27.00$27.00$26.00
ATM IV28.7%24.9%41.2%31.3%26.7%
Expected Move8.2%6.6%11.8%9.0%7.6%
HV 20d28.1%21.2%32.2%32.2%27.6%
HV 60d28.8%27.7%29.8%29.5%29.0%
IV Rank9.6%3.4%30.1%13.9%6.3%
IV Percentile14.0%1.2%76.6%21.8%5.2%
Term Structure1.8%-9.2%12.4%-0.4%0.3%
VWIV28.2%23.9%32.3%25.2%32.3%
Skew 25d4.4%-7.3%19.2%11.9%15.1%
Skew 10d10.7%-0.7%23.1%7.1%5.3%
Call IV 25d28.3%19.0%41.0%25.8%24.9%
Put IV 25d32.7%20.4%40.0%37.7%40.0%
Bid-Ask Spread %72.6822.29105.18104.0226.14
Gamma HHI0.170.140.230.160.22
Net GEX15.8K-4.8K27.2K20.2K14.1K
Net DEX-66.1K-211.9K241.8K-146.7K-87.4K
Net VEX-1.3K-1.7K-665-1.7K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.006.670.000.00
Total Volume25.95501021610
Total OI1,513.7274401,9991,951628

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$26.55$27.0031.3%9.0%32.2%13.9%25.2%11.9%-0.4%20.2K-146.7K-1.7K0.00104.02N/AN/A1601,743208
2021-08-03$26.95$27.0024.9%7.1%31.4%3.4%23.9%0.9%3.6%19.7K-124.9K-1.6K0.04104.40N/AN/A2811,743208
2021-08-04$26.35$27.0030.9%8.9%31.8%13.2%0.0%7.2%2.0%16.8K-67.9K-1.6K0.00105.18N/AN/A021,751208
2021-08-05$26.59$25.0026.2%8.9%32.0%5.5%0.0%4.5%-1.9%19.2K-108.1K-1.7K0.0097.19N/AN/A001,779207
2021-08-06$26.79$25.0027.0%6.6%30.9%6.9%0.0%1.6%12.4%22.6K-149.4K-1.7K0.5091.17N/AN/A211,779209
2021-08-09$26.47$25.0029.7%8.4%31.0%11.2%29.8%4.5%0.4%18.0K-70.7K-1.5K0.0094.32N/AN/A501,779209
2021-08-10$26.93$25.0025.8%6.8%31.8%4.8%28.9%2.5%11.1%23.5K-162.6K-1.5K0.0066.42N/AN/A1301,779209
2021-08-11$27.11$25.0028.3%8.1%30.0%8.9%0.0%3.7%7.4%27.2K-206.4K-1.5K1.25100.54N/AN/A8101,780209
2021-08-12$27.05$25.0030.2%8.7%29.6%12.1%0.0%4.2%-1.1%27.1K-211.9K-1.5K0.0082.64N/AN/A001,790209
2021-08-13$26.74$25.0028.7%8.2%28.0%9.7%0.0%3.4%-0.7%25.8K-164.0K-1.4K0.0062.90N/AN/A601,791199
2021-08-16$26.22$25.0028.1%8.1%25.2%8.6%27.8%-7.3%4.7%17.2K-15.6K-1.2K0.0070.40N/AN/A1101,789198
2021-08-17$25.97$25.0029.4%8.4%24.5%10.7%29.2%-2.1%1.6%13.5K58.6K-1.0K0.0484.60N/AN/A2611,791198
2021-08-18$25.60$25.0028.8%8.3%21.2%9.7%0.0%4.0%1.2%10.6K127.2K-8740.2285.40N/AN/A1841,782189
2021-08-19$24.72$25.0024.9%7.1%24.0%3.4%26.7%-2.8%7.5%-4.8K241.8K-6650.23100.11N/AN/A70161,763188
2021-08-20$24.93$25.0041.2%11.8%24.4%30.1%29.9%19.2%-9.2%-131225.7K-6776.6764.57N/AN/A6401,748196
2021-08-23$25.82$25.0030.4%8.7%26.5%12.4%29.2%8.1%-3.9%5.7K-4.5K-8300.0938.48N/AN/A575338102
2021-08-24$26.26$25.0028.2%8.1%27.0%8.9%29.8%6.8%0.4%9.1K-56.9K-9420.8824.78N/AN/A2421344103
2021-08-25$26.45$25.0028.7%8.2%26.8%9.7%26.2%5.3%0.5%14.5K-128.2K-1.2K0.0088.50N/AN/A20394118
2021-08-26$26.10$25.0028.8%8.3%26.9%9.8%0.0%5.8%1.3%12.7K-87.6K-1.2K0.0046.27N/AN/A03408139
2021-08-27$26.77$25.0026.9%7.7%27.9%6.7%27.9%2.7%1.8%17.3K-168.1K-1.2K0.7038.66N/AN/A6042408139
2021-08-30$26.55$25.0026.2%7.5%28.0%5.5%32.3%-1.4%1.1%16.7K-146.7K-1.2K0.0022.29N/AN/A630408142
2021-08-31$26.31$26.0026.7%7.6%27.6%6.3%0.0%15.1%0.3%14.1K-87.4K-1.4K0.0026.14N/AN/A100441187