IYE Options History — October 2021

In October 2021, IYE traded between $29.12 and $32.10. ATM implied volatility averaged 30.0%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.6% (HV 20d: 25.4%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 7.98.

Notable Days

  • 2021-10-21: Highest Volume — 1,950 contracts
  • 2021-10-12: Largest IV drop — 22.4% change
  • 2021-10-06: Highest IV Rank — 21.5%
  • 2021-10-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.83$29.12$32.10$29.12$31.53
Max Pain$28.57$27.00$29.00$27.00$29.00
ATM IV30.0%25.7%35.9%34.0%27.8%
Expected Move8.7%7.7%10.1%9.8%8.0%
HV 20d25.4%18.2%32.1%31.1%18.2%
HV 60d27.7%26.1%30.2%30.2%26.1%
IV Rank11.7%4.6%21.5%18.3%8.2%
IV Percentile28.0%3.6%54.0%47.2%17.1%
Term Structure0.8%-2.3%3.2%-0.8%2.4%
VWIV31.5%21.7%35.4%35.4%21.7%
Skew 25d1.9%0.1%4.0%4.0%1.4%
Skew 10d6.3%-5.5%20.6%6.3%-0.9%
Call IV 25d30.1%26.4%34.2%33.5%27.6%
Put IV 25d32.1%28.0%37.5%37.5%28.9%
Bid-Ask Spread %49.4829.4181.0241.8658.25
Gamma HHI0.620.440.790.710.78
Net GEX188.6K114.8K261.3K251.2K195.1K
Net DEX-5.9M-7.4M-4.1M-4.3M-7.0M
Net VEX-10.0K-13.6K-5.9K-12.0K-6.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.980.0045.630.0010.75
Total Volume911.61941,95041,892
Total OI3,668.4293,0834,7153,0883,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$29.12$27.0034.0%9.8%31.1%18.3%35.4%4.0%-0.8%251.2K-4.3M-12.0K0.0041.86N/AN/A402,906182
2021-10-04$29.65$28.0035.4%9.9%31.4%20.6%34.1%3.0%-0.6%253.7K-4.8M-11.6K5.2639.56N/AN/A985152,899184
2021-10-05$29.78$28.0030.0%9.6%31.1%11.8%35.0%3.9%-0.8%261.3K-5.0M-11.2K0.0443.75N/AN/A2512,900184
2021-10-06$29.37$28.0035.9%10.1%31.3%21.5%34.8%3.7%-2.3%178.1K-4.1M-12.4K0.2049.18N/AN/A512,995684
2021-10-07$29.68$28.0033.3%9.3%31.3%17.1%35.4%2.7%-0.8%182.6K-4.6M-12.2K0.0032.55N/AN/A2302,992685
2021-10-08$30.55$28.0030.6%9.1%32.1%12.8%34.4%3.9%1.4%197.3K-5.9M-11.0K33.0043.66N/AN/A461,5182,992685
2021-10-11$30.54$27.0033.1%9.0%31.4%16.8%32.0%1.3%-0.4%229.2K-6.1M-10.4K0.1135.82N/AN/A5463,015685
2021-10-12$30.48$29.0025.7%9.0%30.5%4.6%30.4%1.3%0.9%175.1K-5.2M-13.6K0.4769.80N/AN/A1573,0411,389
2021-10-13$30.66$29.0031.4%9.0%28.2%14.0%31.8%1.8%-0.8%205.2K-5.6M-12.8K0.0047.68N/AN/A2003,0651,389
2021-10-14$30.95$29.0028.9%8.3%27.8%10.0%0.0%4.0%2.0%163.4K-6.0M-12.8K0.8329.44N/AN/A36303,0701,645
2021-10-15$31.18$29.0027.2%7.8%27.1%7.2%29.4%1.6%1.9%154.5K-6.5M-11.9K0.8232.04N/AN/A60493,0681,645
2021-10-18$31.18$29.0029.2%8.4%21.7%10.4%28.8%0.1%0.5%124.6K-5.6M-10.8K0.0248.84N/AN/A11122,6841,359
2021-10-19$31.48$29.0027.0%7.7%21.7%6.8%31.1%0.1%3.2%114.8K-6.0M-10.1K45.6329.41N/AN/A321,4602,7101,408
2021-10-20$31.68$29.0027.5%7.9%20.5%7.6%29.7%2.2%1.5%197.8K-6.8M-7.3K8.0976.98N/AN/A1881,5212,716444
2021-10-21$31.18$29.0029.2%8.4%20.4%10.4%29.5%0.5%1.8%220.4K-6.3M-8.4K8.1564.23N/AN/A2131,7372,718450
2021-10-22$31.44$29.0027.1%7.8%20.2%7.0%29.6%2.2%2.7%182.8K-6.4M-8.5K9.8138.37N/AN/A1771,7372,747671
2021-10-25$31.92$29.0029.5%8.5%18.3%11.0%31.9%1.7%0.1%151.4K-7.1M-6.8K9.4671.71N/AN/A1841,7402,749671
2021-10-26$32.10$29.0028.5%8.2%18.3%9.3%30.2%0.3%1.6%136.1K-7.4M-5.9K11.0930.72N/AN/A1561,7302,752672
2021-10-27$31.45$29.0029.4%8.4%20.5%10.8%30.0%0.2%2.1%194.5K-6.6M-7.1K12.0274.31N/AN/A1441,7312,753570
2021-10-28$31.59$29.0029.0%8.3%19.6%10.1%34.0%0.8%1.1%192.2K-6.8M-6.9K11.9481.02N/AN/A1451,7312,754573
2021-10-29$31.53$29.0027.8%8.0%18.2%8.2%21.7%1.4%2.4%195.1K-7.0M-6.2K10.7558.25N/AN/A1611,7312,763573