IYE Options History — September 2021

In September 2021, IYE traded between $25.87 and $28.72. ATM implied volatility averaged 29.0%, placing in the 10.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 0.1% (HV 20d: 29.1%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.17.

Notable Days

  • 2021-09-23: Highest Volume — 2,365 contracts
  • 2021-09-20: Largest IV spike — 18.4% change
  • 2021-09-30: Highest IV Rank — 20.8%
  • 2021-09-30: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.97$25.87$28.72$25.93$28.39
Max Pain$25.33$25.00$27.00$26.00$27.00
ATM IV29.0%24.4%35.5%25.9%35.5%
Expected Move8.4%7.3%10.2%7.4%10.2%
HV 20d29.1%26.7%31.6%27.0%30.8%
HV 60d29.5%28.6%30.7%29.1%29.8%
IV Rank10.1%2.5%20.8%5.0%20.8%
IV Percentile20.6%1.2%50.8%4.0%50.8%
Term Structure0.1%-4.6%4.9%0.8%-1.4%
VWIV28.5%24.8%34.5%25.9%30.2%
Skew 25d4.1%-7.6%13.8%5.4%4.2%
Skew 10d10.6%1.8%19.8%14.4%1.8%
Call IV 25d27.9%16.6%33.9%25.0%33.0%
Put IV 25d32.0%21.4%38.4%30.4%37.2%
Bid-Ask Spread %58.8922.35106.7187.3522.35
Gamma HHI0.340.180.730.210.71
Net GEX67.6K10.6K264.3K11.4K238.3K
Net DEX-858.4K-3.8M-36.2K-36.2K-3.6M
Net VEX-3.2K-11.8K-999-1.3K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.000.740.500.15
Total Volume133.66702,365615
Total OI1,109.0485083,0856903,085

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$25.93$26.0025.9%7.4%27.0%5.0%25.9%5.4%0.8%11.4K-36.2K-1.3K0.5087.35N/AN/A42503187
2021-09-02$26.47$25.0026.0%8.3%27.8%5.2%27.3%9.5%0.9%22.3K-175.0K-1.4K0.0058.91N/AN/A300513187
2021-09-03$26.40$25.0024.4%7.9%27.7%2.5%0.0%1.2%1.9%21.2K-162.0K-1.3K0.0052.01N/AN/A00513187
2021-09-07$26.29$25.0025.9%8.3%27.4%5.1%0.0%2.8%0.3%20.0K-148.5K-1.3K0.0047.68N/AN/A00542180
2021-09-08$25.99$25.0028.1%8.1%26.8%8.6%0.0%3.2%1.1%14.4K-86.3K-1.2K0.0032.42N/AN/A30542180
2021-09-09$26.07$25.0028.7%8.2%26.7%9.6%0.0%3.7%-0.4%14.5K-96.6K-1.1K0.0074.91N/AN/A00542180
2021-09-10$25.99$25.0027.2%7.8%26.7%7.2%25.4%4.5%-4.6%13.1K-88.6K-1.1K0.0088.92N/AN/A40545180
2021-09-13$26.71$25.0028.7%8.2%28.4%9.7%26.6%11.1%-2.2%30.4K-229.5K-1.1K0.0070.61N/AN/A140545180
2021-09-14$26.30$25.0026.3%7.5%28.0%5.7%24.8%1.2%3.2%24.3K-188.7K-1.1K0.0055.60N/AN/A210543180
2021-09-15$27.32$25.0025.4%7.3%30.8%4.3%26.4%-7.6%-0.8%50.5K-388.7K-9990.00106.71N/AN/A50551180
2021-09-16$27.11$25.0029.2%8.4%30.4%10.5%27.5%4.2%4.9%42.3K-322.7K-1.1K0.4625.58N/AN/A2411551180
2021-09-17$26.84$25.0030.0%8.6%27.4%11.7%29.6%3.2%-0.7%44.5K-267.4K-1.0K0.0337.44N/AN/A401553180
2021-09-20$25.87$25.0035.5%10.2%31.0%20.7%34.5%4.5%-1.1%10.6K-39.3K-1.0K0.3777.82N/AN/A197395113
2021-09-21$26.20$25.0034.3%9.8%28.7%18.8%29.8%6.0%-1.1%13.9K-69.0K-1.0K0.0070.83N/AN/A200406114
2021-09-22$26.96$25.0028.0%8.0%29.9%8.5%28.7%2.5%-2.5%21.7K-173.1K-1.1K0.26104.00N/AN/A349417121
2021-09-23$27.79$25.0027.9%8.0%31.6%8.3%28.1%3.0%2.1%28.4K-300.9K-1.1K0.0024.67N/AN/A2,3569432121
2021-09-24$27.74$25.0028.2%8.1%31.0%8.9%28.7%13.8%1.1%28.4K-323.7K-1.4K0.2640.54N/AN/A195454129
2021-09-27$28.61$26.0030.6%8.8%31.6%12.8%30.2%4.0%-0.3%264.3K-3.7M-11.6K0.7443.71N/AN/A34252,796132
2021-09-28$28.70$26.0031.8%9.1%31.3%14.8%32.4%2.4%0.6%248.5K-3.8M-11.7K0.3124.02N/AN/A71222,811136
2021-09-29$28.72$27.0031.2%9.0%31.0%13.8%0.0%2.5%0.7%256.7K-3.8M-11.7K0.0090.60N/AN/A302,843161
2021-09-30$28.39$27.0035.5%10.2%30.8%20.8%30.2%4.2%-1.4%238.3K-3.6M-11.8K0.1522.35N/AN/A1322,903182