IYE Options History — September 2023

In September 2023, IYE traded between $47.02 and $48.95. ATM implied volatility averaged 20.8%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 4.2% (HV 20d: 16.5%). Max pain ranged from $41.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2023-09-14: Highest Volume — 117 contracts
  • 2023-09-11: Largest IV spike — 47.4% change
  • 2023-09-28: Highest IV Rank — 26.5%
  • 2023-09-28: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.97$47.02$48.95$47.78$47.41
Max Pain$43.90$41.00$46.00$44.00$46.00
ATM IV20.8%15.2%25.6%16.9%23.3%
Expected Move6.0%4.8%7.4%4.8%6.7%
HV 20d16.5%14.4%21.1%15.3%21.1%
HV 60d18.1%17.6%18.8%18.1%18.5%
IV Rank14.0%0.0%26.5%3.1%20.6%
IV Percentile13.1%0.0%37.3%0.4%27.8%
Term Structure1.6%-1.3%4.5%2.7%0.7%
VWIV20.4%15.1%24.2%15.1%18.5%
Skew 25d1.7%-7.7%11.8%0.5%2.0%
Skew 10d3.9%-1.4%13.4%3.6%4.8%
Call IV 25d19.1%11.1%23.0%16.8%22.1%
Put IV 25d20.8%13.1%25.2%17.2%24.1%
Bid-Ask Spread %77.5648.26109.0559.8265.33
Gamma HHI0.330.240.620.260.31
Net GEX66.1K26.7K224.3K54.4K26.7K
Net DEX-635.1K-1.1M-355.8K-621.5K-391.8K
Net VEX-2.8K-3.0K-2.5K-2.8K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.009.000.000.00
Total Volume24.350117412
Total OI581.75507677526617

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$47.78$44.0016.9%4.8%15.3%3.1%0.0%0.5%2.7%54.4K-621.5K-2.8K0.0059.82N/AN/A40355171
2023-09-05$48.05$41.0015.2%5.2%15.3%0.0%15.1%11.8%3.3%59.7K-661.2K-2.6K0.00109.05N/AN/A170357171
2023-09-06$47.92$41.0021.4%5.7%15.3%15.6%0.0%2.9%1.7%59.9K-657.8K-2.8K0.0076.60N/AN/A00373171
2023-09-07$47.91$41.0018.0%5.7%14.4%7.1%19.7%4.7%1.9%61.6K-666.2K-2.8K0.0074.85N/AN/A50373171
2023-09-08$48.30$41.0016.6%5.8%14.4%3.6%20.5%6.1%2.4%64.6K-758.6K-2.7K2.5774.70N/AN/A718377171
2023-09-11$47.59$43.0024.5%6.1%14.8%23.5%0.0%1.2%-1.3%55.2K-647.2K-2.8K0.0085.57N/AN/A1000380189
2023-09-12$48.73$43.0019.6%5.4%16.9%11.1%19.3%-1.1%4.5%161.7K-983.9K-2.8K0.0093.85N/AN/A140478189
2023-09-13$48.31$43.0020.6%5.9%15.0%13.8%0.0%-7.7%2.0%155.7K-895.3K-2.8K0.00101.30N/AN/A20487189
2023-09-14$48.95$43.0019.7%5.6%15.2%11.3%20.9%1.6%3.2%224.3K-1.1M-2.7K0.0080.08N/AN/A1170488189
2023-09-15$48.30$43.0022.7%6.5%16.0%19.0%19.0%0.3%-0.4%52.0K-743.8K-2.6K0.2571.12N/AN/A82384189
2023-09-18$48.55$43.0019.1%5.5%16.0%9.9%18.6%2.4%1.2%47.1K-626.5K-2.5K0.0648.26N/AN/A312337170
2023-09-19$48.17$45.0019.8%5.7%16.2%11.8%21.4%2.5%2.5%47.8K-587.1K-2.6K1.0051.39N/AN/A2222364172
2023-09-20$47.80$45.0020.1%5.8%16.2%12.5%21.0%2.3%0.9%42.5K-546.7K-2.8K9.0051.82N/AN/A218384187
2023-09-21$47.14$46.0021.4%6.1%17.0%15.7%23.0%2.2%1.0%29.2K-405.4K-2.9K1.3359.51N/AN/A34384205
2023-09-22$47.16$46.0021.6%6.2%16.8%16.3%20.9%-4.3%1.3%28.6K-414.3K-2.8K0.0086.73N/AN/A80384209
2023-09-25$47.69$46.0021.1%6.0%17.0%14.8%21.2%3.4%1.1%34.1K-470.5K-2.7K0.2585.33N/AN/A41384209
2023-09-26$47.02$46.0023.6%6.8%17.8%21.3%23.0%2.5%0.4%28.1K-355.8K-2.8K0.4684.76N/AN/A136369210
2023-09-27$48.22$46.0024.4%7.0%19.8%23.3%24.2%1.7%2.9%41.2K-538.3K-3.0K0.00101.96N/AN/A120380216
2023-09-28$48.33$46.0025.6%7.4%19.8%26.5%18.5%-1.0%-0.8%47.9K-623.4K-3.0K1.5489.19N/AN/A1320386216
2023-09-29$47.41$46.0023.3%6.7%21.1%20.6%0.0%2.0%0.7%26.7K-391.8K-3.0K0.0065.33N/AN/A120381236