IYE Options History — January 2010

In January 2010, IYE traded between $31.78 and $35.03. ATM implied volatility averaged 20.0%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.6% (HV 20d: 16.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.65.

Notable Days

2010-01-15: Highest Volume — 189 contracts
2010-01-27: Largest IV spike — 201.3% change
2010-01-27: Highest IV Rank — 71.5%
2010-01-27: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.89	$31.78	$35.03	$34.23	$31.78
Max Pain	$35.00	$35.00	$35.00	$35.00	$35.00
ATM IV	20.0%	14.5%	45.2%	16.5%	28.2%
Expected Move	6.2%	4.3%	13.0%	6.0%	8.1%
HV 20d	16.4%	13.2%	20.3%	14.9%	20.3%
HV 60d	20.9%	18.3%	21.8%	21.8%	18.5%
IV Rank	12.5%	1.1%	71.5%	3.6%	33.0%
IV Percentile	12.4%	0.4%	86.9%	1.2%	50.8%
Term Structure	0.5%	-24.5%	8.8%	2.0%	-0.5%
VWIV	20.8%	14.4%	28.9%	20.9%	28.9%
Skew 25d	6.6%	-3.6%	26.7%	6.8%	13.0%
Skew 10d	11.9%	-3.7%	69.9%	11.3%	15.0%
Call IV 25d	19.8%	15.6%	46.5%	18.7%	15.8%
Put IV 25d	26.3%	16.4%	73.2%	25.5%	28.9%
Bid-Ask Spread %	63.75	14.13	123.52	40.50	51.25
Gamma HHI	0.74	0.62	0.87	0.65	0.83
Net GEX	46.8K	22.6K	93.1K	25.6K	46.2K
Net DEX	-203.0K	-1.0M	631.7K	630.7K	-314.5K
Net VEX	-5.0K	-6.0K	-4.2K	-4.7K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.00	5.00	0.55	0.62
Total Volume	63.053	2	189	17	162
Total OI	1,383.368	915	1,683	1,577	1,284

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
2010-01-04	$34.23	$35.00	16.5%	6.0%	14.9%	3.6%	20.9%	6.8%	2.0%	25.6K	630.7K	-4.7K	0.55	40.50	N/A	N/A	11	6	810	767
2010-01-05	$34.52	$35.00	16.2%	6.2%	14.8%	3.2%	21.7%	6.9%	1.1%	24.9K	366.6K	-5.0K	0.00	41.86	N/A	N/A	35	0	813	761
2010-01-06	$34.89	$35.00	18.6%	6.0%	15.0%	6.2%	20.8%	1.9%	1.1%	36.3K	-89.6K	-5.2K	0.00	47.81	N/A	N/A	12	0	843	761
2010-01-07	$34.75	$35.00	17.6%	6.1%	13.3%	5.0%	21.1%	1.6%	1.7%	35.6K	4.2K	-5.2K	0.00	48.42	N/A	N/A	2	0	851	761
2010-01-08	$35.03	$35.00	16.3%	5.7%	13.3%	3.4%	20.5%	13.5%	3.7%	37.1K	-167.1K	-5.0K	5.00	37.19	N/A	N/A	2	10	852	761
2010-01-11	$35.02	$35.00	19.6%	5.9%	13.2%	7.5%	0.0%	1.9%	2.3%	33.5K	-254.2K	-4.8K	0.00	14.13	N/A	N/A	3	0	850	771
2010-01-12	$34.46	$35.00	14.5%	6.0%	14.9%	1.1%	0.0%	0.8%	1.7%	32.4K	631.7K	-4.3K	0.00	50.85	N/A	N/A	4	0	853	771
2010-01-13	$34.66	$35.00	16.9%	5.9%	14.9%	4.1%	0.0%	17.9%	2.3%	32.5K	400.2K	-4.3K	0.19	97.88	N/A	N/A	16	3	853	771
2010-01-14	$34.72	$35.00	21.1%	6.1%	14.8%	9.3%	0.0%	17.6%	1.5%	22.6K	336.3K	-4.2K	0.00	98.00	N/A	N/A	117	0	844	769
2010-01-15	$34.41	$35.00	20.0%	5.7%	15.4%	13.6%	0.0%	-0.6%	1.1%	33.1K	614.5K	-4.4K	0.00	36.87	N/A	N/A	189	0	914	769
2010-01-19	$34.67	$35.00	19.5%	5.6%	15.0%	12.6%	19.5%	20.2%	1.4%	70.0K	-992.9K	-5.1K	0.45	87.67	N/A	N/A	22	10	739	176
2010-01-20	$34.13	$35.00	18.3%	5.2%	16.4%	10.0%	18.3%	0.5%	2.6%	69.5K	-897.0K	-5.3K	0.00	53.91	N/A	N/A	73	0	761	186
2010-01-21	$33.52	$35.00	15.4%	4.4%	17.5%	4.0%	0.0%	-1.2%	2.6%	93.1K	-1.0M	-4.9K	0.35	60.61	N/A	N/A	115	40	828	186
2010-01-22	$32.71	$35.00	18.2%	5.2%	19.5%	10.4%	19.8%	-2.2%	1.9%	62.7K	-626.4K	-5.2K	1.43	59.04	N/A	N/A	35	50	893	224
2010-01-25	$32.95	$35.00	19.9%	5.7%	19.7%	14.2%	22.9%	-3.6%	-0.4%	64.6K	-681.3K	-5.5K	0.00	94.86	N/A	N/A	125	0	893	254
2010-01-26	$32.75	$35.00	15.0%	4.3%	19.7%	3.2%	14.4%	2.5%	8.8%	68.5K	-671.0K	-5.6K	2.40	72.51	N/A	N/A	25	60	944	254
2010-01-27	$32.58	$35.00	45.2%	13.0%	19.6%	71.5%	0.0%	26.7%	-24.5%	49.6K	-682.8K	-6.0K	0.00	123.52	N/A	N/A	0	51	949	284
2010-01-28	$32.22	$35.00	23.3%	6.7%	19.8%	21.9%	0.0%	0.3%	-0.8%	52.2K	-428.9K	-5.6K	0.00	94.31	N/A	N/A	0	20	949	335
2010-01-29	$31.78	$35.00	28.2%	8.1%	20.3%	33.0%	28.9%	13.0%	-0.5%	46.2K	-314.5K	-5.1K	0.62	51.25	N/A	N/A	100	62	949	335