IYE Options History — November 2021

In November 2021, IYE traded between $30.18 and $32.35. ATM implied volatility averaged 30.2%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded above realized volatility by 9.2% (HV 20d: 21.0%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 9.44.

Notable Days

  • 2021-11-02: Highest Volume — 1,905 contracts
  • 2021-11-26: Largest IV spike — 37.0% change
  • 2021-11-26: Highest IV Rank — 38.9%
  • 2021-11-26: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.45$30.18$32.35$32.09$30.24
Max Pain$30.52$29.00$32.00$29.00$30.00
ATM IV30.2%26.1%35.8%27.6%35.2%
Expected Move8.8%7.5%10.3%7.9%10.1%
HV 20d21.0%16.2%28.0%18.2%27.8%
HV 60d25.7%24.1%26.6%26.2%26.6%
IV Rank19.6%5.8%38.9%7.9%37.2%
IV Percentile35.6%6.3%66.3%15.9%63.9%
Term Structure-0.4%-8.2%2.2%1.6%0.1%
VWIV30.5%21.2%37.1%25.7%36.3%
Skew 25d1.2%-8.1%7.5%3.5%5.0%
Skew 10d6.4%-3.6%16.0%5.2%7.3%
Call IV 25d30.9%27.2%37.2%27.2%37.2%
Put IV 25d32.1%22.6%42.2%30.7%42.2%
Bid-Ask Spread %80.1638.8596.2683.1581.14
Gamma HHI0.420.170.740.710.17
Net GEX71.9K-26.9K180.3K159.7K21.3K
Net DEX-5.5M-8.2M293.2K-7.6M293.2K
Net VEX-3.2K-5.5K-1.8K-4.5K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio9.440.2917.6412.730.48
Total Volume1,321.3331901,9051,867366
Total OI2,701.2866983,4713,3441,074

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$32.09$29.0027.6%7.9%18.2%7.9%25.7%3.5%1.6%159.7K-7.6M-4.5K12.7383.15N/AN/A1361,7312,771573
2021-11-02$31.75$29.0028.8%8.3%18.9%9.9%21.2%-8.1%0.7%165.8K-7.3M-5.2K9.9566.19N/AN/A1741,7312,782573
2021-11-03$31.44$29.0033.5%9.6%18.5%17.4%24.8%0.6%-2.5%180.3K-6.9M-5.5K9.9094.77N/AN/A1541,5252,781573
2021-11-04$31.47$29.0027.7%8.6%18.3%8.0%29.7%1.5%-0.2%173.1K-7.3M-4.4K12.3138.85N/AN/A1241,5262,783573
2021-11-05$31.94$29.0026.4%8.5%16.2%5.8%29.4%2.3%-0.8%135.8K-7.7M-3.7K13.2767.15N/AN/A1151,5262,787574
2021-11-08$32.26$29.0028.2%8.5%16.4%8.9%31.3%2.0%0.7%111.6K-8.0M-3.3K13.6074.49N/AN/A1161,5782,790574
2021-11-09$32.35$30.0028.1%8.8%16.3%8.7%31.8%2.4%-0.3%39.6K-8.2M-2.1K14.1069.72N/AN/A1121,5792,790628
2021-11-10$31.45$32.0031.7%9.1%19.7%26.7%32.9%-2.2%-2.8%130.0K-7.4M-3.2K14.0684.28N/AN/A1131,5892,785629
2021-11-11$31.73$32.0031.0%8.9%19.6%24.5%29.6%0.0%-0.4%18.7K-7.9M-2.1K12.8185.94N/AN/A1241,5892,786651
2021-11-12$31.58$32.0030.1%8.6%19.6%22.0%30.7%2.8%-0.7%37.7K-7.8M-2.2K12.8189.24N/AN/A1241,5892,803651
2021-11-15$31.84$32.0029.5%8.5%19.8%20.2%28.5%-1.1%0.0%33.0K-8.0M-1.9K12.3292.43N/AN/A1291,5892,808651
2021-11-16$31.93$32.0029.3%8.4%19.5%19.3%30.7%0.2%-0.3%42.9K-8.0M-2.1K11.7778.18N/AN/A1341,5772,811651
2021-11-17$31.33$32.0028.0%8.0%20.6%15.6%26.6%-2.9%1.7%151.0K-7.3M-2.7K13.0396.25N/AN/A1211,5772,819652
2021-11-18$31.26$32.0030.4%8.7%19.8%22.9%29.6%1.1%0.4%30.2K-7.8M-1.9K14.4163.45N/AN/A1091,5712,822643
2021-11-19$30.18$32.0031.1%8.9%23.1%24.9%29.2%-5.0%1.2%-26.9K-7.2M-1.8K17.6496.26N/AN/A1001,7642,819637
2021-11-22$30.85$31.0032.6%9.4%23.9%29.5%32.4%2.1%2.2%-2.7K185.2K-2.9K0.3861.01N/AN/A19875344354
2021-11-23$31.42$30.0031.0%8.9%24.9%24.6%33.6%6.4%0.7%18.5K-191.9K-3.1K0.2980.76N/AN/A19556481325
2021-11-24$31.83$30.0026.1%7.5%24.2%9.9%31.9%5.9%-0.5%26.4K-529.1K-3.4K0.4793.95N/AN/A12961582338
2021-11-26$30.62$30.0035.8%10.3%27.9%38.9%37.1%1.5%-8.2%37.9K-170.3K-3.2K1.2393.45N/AN/A142174631340
2021-11-29$30.81$30.0032.5%9.3%28.0%29.1%36.4%7.5%-1.1%25.5K75.0K-3.6K0.6892.60N/AN/A253173627461
2021-11-30$30.24$30.0035.2%10.1%27.8%37.2%36.3%5.0%0.1%21.3K293.2K-3.4K0.4881.14N/AN/A247119613461