IYE Options History — November 2008

In November 2008, IYE traded between $24.03 and $31.58. ATM implied volatility averaged 71.9%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 42.3% (HV 20d: 114.2%). Max pain ranged from $20.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.28.

Notable Days

2008-11-04: Highest Volume — 408 contracts
2008-11-12: Largest IV spike — 25.0% change
2008-11-20: Highest IV Rank — 63.0%
2008-11-20: Largest Expected Move — 26.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.60	$24.03	$31.58	$29.59	$29.70
Max Pain	$25.00	$20.00	$30.00	$25.00	$25.00
ATM IV	71.9%	64.2%	91.0%	72.6%	65.2%
Expected Move	20.5%	16.8%	26.1%	20.8%	18.7%
HV 20d	114.2%	88.0%	158.5%	156.6%	95.1%
HV 60d	104.6%	98.9%	111.1%	98.9%	111.1%
IV Rank	46.4%	39.6%	63.0%	46.9%	40.4%
IV Percentile	90.9%	85.3%	96.8%	92.1%	85.3%
Term Structure	-0.2%	-7.7%	11.9%	-0.8%	4.3%
VWIV	72.9%	65.3%	99.7%	79.4%	65.7%
Skew 25d	19.0%	10.7%	27.8%	15.0%	17.0%
Skew 10d	43.6%	17.8%	61.4%	17.8%	19.8%
Call IV 25d	63.9%	55.3%	80.2%	65.8%	57.1%
Put IV 25d	83.0%	71.9%	105.0%	80.8%	74.1%
Bid-Ask Spread %	68.63	33.45	96.10	86.13	81.68
Gamma HHI	0.32	0.27	0.39	0.31	0.29
Net GEX	23.7K	8.6K	32.0K	20.8K	23.7K
Net DEX	-92.9K	-923.6K	903.8K	-332.7K	-218.6K
Net VEX	-5.1K	-7.0K	-3.0K	-6.0K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.28	0.00	2.00	0.08	0.00
Total Volume	64.474	0	408	69	15
Total OI	2,088.579	1,510	2,350	2,028	1,732

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2008-11-03	$29.59	$25.00	72.6%	20.8%	156.6%	46.9%	79.4%	15.0%	-0.8%	20.8K	-332.7K	-6.0K	0.08	86.13	N/A	N/A	64	5	1,318	710
2008-11-04	$31.58	$25.00	69.5%	19.9%	156.8%	44.2%	65.3%	18.4%	-1.5%	25.7K	-917.7K	-6.1K	0.08	85.34	N/A	N/A	379	29	1,380	715
2008-11-05	$30.13	$25.00	68.9%	19.8%	157.7%	43.7%	71.2%	19.9%	-3.9%	31.9K	-923.6K	-7.0K	0.00	96.10	N/A	N/A	33	0	1,610	740
2008-11-06	$28.45	$30.00	69.2%	19.8%	158.5%	44.0%	69.1%	27.8%	2.3%	23.2K	-4.4K	-5.9K	0.30	52.06	N/A	N/A	23	7	1,452	714
2008-11-07	$29.60	$25.00	66.1%	19.2%	138.8%	41.2%	67.2%	18.9%	-3.2%	27.6K	-188.5K	-5.9K	0.19	53.84	N/A	N/A	37	7	1,464	721
2008-11-10	$29.81	$25.00	68.0%	16.8%	114.9%	43.0%	0.0%	10.7%	11.9%	31.7K	-442.5K	-6.2K	0.00	77.11	N/A	N/A	0	0	1,500	721
2008-11-11	$28.73	$25.00	66.5%	19.7%	115.6%	41.6%	68.8%	18.8%	-5.1%	27.0K	-84.4K	-5.4K	0.00	33.45	N/A	N/A	10	0	1,490	721
2008-11-12	$26.70	$25.00	83.1%	24.0%	99.1%	56.1%	0.0%	22.6%	-4.3%	20.5K	315.4K	-4.8K	0.16	65.63	N/A	N/A	32	5	1,490	721
2008-11-13	$29.58	$25.00	69.6%	20.0%	101.3%	44.3%	0.0%	19.1%	-0.2%	32.0K	-202.9K	-5.5K	0.00	61.14	N/A	N/A	15	0	1,495	721
2008-11-14	$28.40	$25.00	70.7%	20.3%	102.4%	45.3%	0.0%	18.8%	-2.3%	29.3K	-211.9K	-5.5K	0.00	69.79	N/A	N/A	12	0	1,500	721
2008-11-17	$27.81	$25.00	72.5%	20.8%	95.1%	46.9%	72.3%	20.4%	-2.6%	29.7K	-658	-4.8K	0.00	60.46	N/A	N/A	5	0	1,512	721
2008-11-18	$28.63	$25.00	71.6%	20.5%	94.8%	46.1%	72.1%	18.6%	-3.6%	31.9K	-15.8K	-4.7K	0.32	42.19	N/A	N/A	31	10	1,508	721
2008-11-19	$27.32	$25.00	80.9%	23.2%	88.0%	54.2%	0.0%	20.8%	1.6%	22.7K	256.4K	-4.3K	2.00	74.92	N/A	N/A	10	20	1,519	711
2008-11-20	$24.03	$25.00	91.0%	26.1%	97.5%	63.0%	99.7%	24.8%	-7.7%	8.6K	903.8K	-3.0K	0.55	53.88	N/A	N/A	42	23	1,515	701
2008-11-21	$26.54	$20.00	80.5%	23.1%	104.0%	53.9%	76.2%	12.7%	0.9%	13.1K	386.6K	-3.7K	1.03	85.42	N/A	N/A	75	77	1,541	723
2008-11-24	$28.06	$25.00	64.2%	18.4%	102.9%	39.6%	69.3%	18.9%	6.0%	12.7K	112.6K	-4.2K	0.26	64.63	N/A	N/A	160	41	1,035	475
2008-11-25	$28.52	$25.00	66.4%	19.0%	94.7%	41.6%	0.0%	17.0%	4.4%	17.3K	31.9K	-4.6K	0.00	76.03	N/A	N/A	7	0	1,168	515
2008-11-26	$30.26	$25.00	70.5%	20.2%	96.8%	45.1%	72.0%	21.5%	0.4%	21.7K	-228.0K	-5.2K	0.04	84.21	N/A	N/A	49	2	1,167	515
2008-11-28	$29.70	$25.00	65.2%	18.7%	95.1%	40.4%	65.7%	17.0%	4.3%	23.7K	-218.6K	-5.1K	0.00	81.68	N/A	N/A	15	0	1,215	517