IYE Options History — February 2009

In February 2009, IYE traded between $24.14 and $29.36. ATM implied volatility averaged 47.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 3.5% (HV 20d: 43.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2009-02-25: Highest Volume — 135 contracts
2009-02-03: Largest IV drop — 34.6% change
2009-02-19: Highest IV Rank — 32.6%
2009-02-19: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.79	$24.14	$29.36	$27.39	$24.51
Max Pain	$26.05	$25.00	$30.00	$30.00	$25.00
ATM IV	47.3%	36.2%	57.8%	56.3%	47.5%
Expected Move	13.8%	10.4%	16.6%	16.1%	13.6%
HV 20d	43.8%	38.6%	48.1%	47.1%	41.0%
HV 60d	59.6%	46.1%	68.4%	68.4%	46.1%
IV Rank	23.1%	13.2%	32.6%	31.2%	22.8%
IV Percentile	67.0%	53.2%	75.4%	74.6%	68.7%
Term Structure	-0.2%	-4.2%	5.2%	5.2%	3.3%
VWIV	49.6%	36.6%	58.7%	41.1%	48.0%
Skew 25d	13.0%	10.0%	18.4%	18.4%	14.3%
Skew 10d	21.3%	8.5%	33.4%	33.2%	12.7%
Call IV 25d	43.5%	38.3%	48.7%	43.5%	45.5%
Put IV 25d	56.4%	51.4%	61.9%	61.9%	59.8%
Bid-Ask Spread %	50.62	38.77	69.76	38.77	40.32
Gamma HHI	0.72	0.59	0.81	0.76	0.62
Net GEX	45.3K	17.4K	84.5K	50.1K	22.8K
Net DEX	-499.9K	-1.3M	-62.2K	-611.6K	-105.1K
Net VEX	-5.2K	-6.6K	-3.8K	-6.0K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.00	5.00	0.00	0.00
Total Volume	40.316	5	135	15	21
Total OI	1,591.895	1,282	1,771	1,588	1,519

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
2009-02-02	$27.39	$30.00	56.3%	16.1%	47.1%	31.2%	0.0%	18.4%	5.2%	50.1K	-611.6K	-6.0K	0.00	38.77	N/A	N/A	15	0	1,270	318
2009-02-03	$27.82	$30.00	36.8%	10.6%	46.9%	13.8%	41.1%	13.8%	4.2%	53.8K	-702.6K	-6.1K	0.43	49.35	N/A	N/A	28	12	1,255	318
2009-02-04	$28.01	$30.00	37.1%	10.6%	46.8%	14.0%	43.0%	11.9%	2.2%	60.5K	-831.7K	-6.3K	0.28	44.15	N/A	N/A	36	10	1,263	328
2009-02-05	$28.67	$30.00	36.2%	10.4%	45.8%	13.2%	36.6%	12.7%	4.7%	72.1K	-918.9K	-6.3K	0.00	69.76	N/A	N/A	30	0	1,279	338
2009-02-06	$29.23	$25.00	37.8%	12.4%	46.2%	14.6%	0.0%	11.7%	-0.2%	77.9K	-1.2M	-6.6K	5.00	56.73	N/A	N/A	2	10	1,288	338
2009-02-09	$29.36	$25.00	38.7%	12.6%	44.7%	15.5%	0.0%	13.0%	-0.6%	84.5K	-1.3M	-6.5K	0.00	43.95	N/A	N/A	66	0	1,260	344
2009-02-10	$28.08	$25.00	38.1%	13.7%	45.7%	15.0%	0.0%	13.7%	-2.1%	72.2K	-855.3K	-6.2K	0.00	53.15	N/A	N/A	24	0	1,316	344
2009-02-11	$27.74	$25.00	45.4%	12.1%	45.3%	21.5%	0.0%	12.1%	0.7%	65.5K	-638.4K	-5.8K	0.00	51.20	N/A	N/A	5	0	1,340	344
2009-02-12	$27.75	$25.00	44.1%	12.6%	42.3%	20.3%	0.0%	10.8%	-1.0%	58.1K	-534.0K	-5.5K	0.20	44.66	N/A	N/A	10	2	1,341	344
2009-02-13	$27.77	$25.00	43.9%	12.6%	42.2%	20.2%	0.0%	13.5%	0.2%	59.1K	-624.7K	-5.6K	0.91	50.16	N/A	N/A	11	10	1,345	346
2009-02-17	$26.00	$25.00	57.5%	16.5%	48.1%	32.3%	57.1%	12.9%	-4.2%	28.0K	-249.4K	-4.6K	0.41	43.36	N/A	N/A	32	13	1,354	348
2009-02-18	$25.83	$25.00	57.8%	16.6%	44.5%	32.6%	58.7%	14.9%	-4.0%	24.8K	-169.6K	-4.5K	0.45	39.64	N/A	N/A	44	20	1,384	359
2009-02-19	$25.92	$25.00	57.8%	16.6%	38.7%	32.6%	0.0%	14.2%	-3.7%	24.7K	-212.8K	-4.5K	0.00	43.54	N/A	N/A	17	0	1,392	379
2009-02-20	$25.35	$25.00	54.6%	15.7%	38.6%	29.7%	54.6%	12.4%	-1.1%	20.5K	-74.8K	-4.2K	0.00	55.87	N/A	N/A	52	0	1,409	361
2009-02-23	$24.14	$25.00	55.5%	15.9%	40.1%	30.5%	55.7%	12.0%	-0.2%	17.4K	-62.2K	-3.8K	1.18	59.09	N/A	N/A	17	20	997	285
2009-02-24	$25.25	$25.00	53.7%	15.4%	43.3%	28.9%	53.9%	12.9%	-0.9%	19.1K	-72.5K	-3.9K	0.03	57.44	N/A	N/A	63	2	1,008	305
2009-02-25	$25.06	$25.00	51.6%	14.8%	43.3%	27.0%	51.6%	10.0%	-3.6%	21.3K	-143.5K	-4.1K	0.00	59.28	N/A	N/A	135	0	1,043	305
2009-02-26	$25.08	$25.00	47.5%	13.6%	41.7%	23.4%	44.9%	11.2%	-2.6%	28.8K	-266.4K	-4.5K	0.74	61.35	N/A	N/A	34	25	1,174	305
2009-02-27	$24.51	$25.00	47.5%	13.6%	41.0%	22.8%	48.0%	14.3%	3.3%	22.8K	-105.1K	-4.3K	0.00	40.32	N/A	N/A	21	0	1,189	330