IYE Options History — February 2010

In February 2010, IYE traded between $31.33 and $33.22. ATM implied volatility averaged 25.6%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.9% (HV 20d: 24.7%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 7.24.

Notable Days

2010-02-05: Highest Volume — 266 contracts
2010-02-04: Largest IV spike — 92.4% change
2010-02-12: Highest IV Rank — 49.7%
2010-02-12: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.40	$31.33	$33.22	$32.72	$32.37
Max Pain	$31.05	$30.00	$35.00	$35.00	$30.00
ATM IV	25.6%	15.0%	35.6%	23.1%	20.0%
Expected Move	7.4%	4.3%	10.2%	6.6%	5.7%
HV 20d	24.7%	20.9%	27.1%	23.0%	24.8%
HV 60d	20.2%	19.2%	21.0%	19.2%	19.6%
IV Rank	27.6%	3.3%	49.7%	21.5%	15.5%
IV Percentile	35.6%	1.2%	75.8%	21.0%	11.9%
Term Structure	2.7%	-10.5%	17.0%	9.0%	3.8%
VWIV	23.7%	20.4%	27.0%	27.0%	22.6%
Skew 25d	7.9%	1.4%	16.9%	6.8%	2.9%
Skew 10d	8.7%	-1.4%	17.1%	0.8%	3.9%
Call IV 25d	19.8%	11.9%	26.0%	14.1%	14.9%
Put IV 25d	27.6%	17.9%	33.1%	20.9%	17.9%
Bid-Ask Spread %	47.78	11.18	128.46	35.67	37.01
Gamma HHI	0.77	0.47	0.93	0.86	0.88
Net GEX	51.1K	4.8K	80.7K	57.8K	64.8K
Net DEX	-599.5K	-978.9K	-150.1K	-719.3K	-636.2K
Net VEX	-5.4K	-6.4K	-4.3K	-6.0K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	7.24	0.00	57.50	0.00	0.00
Total Volume	43.316	0	266	60	5
Total OI	1,531.842	1,355	1,724	1,401	1,378

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
2010-02-01	$32.72	$35.00	23.1%	6.6%	23.0%	21.5%	0.0%	6.8%	9.0%	57.8K	-719.3K	-6.0K	0.00	35.67	N/A	N/A	60	0	1,014	387
2010-02-02	$33.22	$35.00	22.5%	6.4%	21.0%	20.1%	0.0%	10.7%	11.2%	66.7K	-978.9K	-6.4K	0.06	12.98	N/A	N/A	159	10	1,044	387
2010-02-03	$32.91	$35.00	15.0%	4.3%	20.9%	3.3%	0.0%	1.4%	10.1%	62.4K	-797.8K	-6.4K	0.00	11.18	N/A	N/A	0	0	1,019	397
2010-02-04	$31.61	$35.00	28.9%	8.3%	24.2%	34.7%	27.0%	6.3%	-1.7%	48.6K	-499.4K	-6.0K	57.50	34.45	N/A	N/A	2	115	1,019	397
2010-02-05	$31.59	$30.00	27.4%	8.8%	24.3%	31.2%	0.0%	12.5%	-10.5%	35.5K	-150.1K	-4.7K	43.33	72.40	N/A	N/A	6	260	1,021	412
2010-02-08	$31.33	$30.00	32.6%	8.3%	23.8%	43.0%	0.0%	3.4%	3.9%	4.8K	-191.9K	-5.7K	0.00	64.98	N/A	N/A	0	0	1,021	632
2010-02-09	$31.91	$30.00	33.1%	9.1%	25.2%	44.0%	20.4%	6.0%	0.4%	17.2K	-371.4K	-6.0K	0.00	28.68	N/A	N/A	0	10	1,021	632
2010-02-10	$31.79	$30.00	24.6%	9.2%	24.9%	24.9%	0.0%	14.8%	-0.9%	17.4K	-310.3K	-5.5K	0.00	106.07	N/A	N/A	9	0	1,021	642
2010-02-11	$32.29	$30.00	26.0%	7.4%	25.6%	27.9%	0.0%	6.0%	10.7%	36.4K	-439.2K	-5.2K	0.00	33.51	N/A	N/A	10	0	1,030	642
2010-02-12	$32.15	$30.00	35.6%	10.2%	25.5%	49.7%	0.0%	7.6%	-8.6%	20.8K	-333.2K	-5.5K	0.00	128.46	N/A	N/A	0	0	1,040	642
2010-02-16	$32.88	$30.00	23.8%	6.8%	27.1%	23.0%	24.4%	5.3%	0.8%	62.0K	-702.0K	-5.3K	0.00	36.59	N/A	N/A	11	0	1,040	642
2010-02-17	$32.88	$30.00	20.5%	5.9%	26.9%	15.5%	24.1%	4.1%	0.3%	57.9K	-774.0K	-5.8K	0.00	25.48	N/A	N/A	30	0	1,051	642
2010-02-18	$33.08	$30.00	21.5%	6.2%	26.6%	17.9%	0.0%	2.7%	-1.2%	64.9K	-814.6K	-5.6K	0.00	31.77	N/A	N/A	15	0	1,071	642
2010-02-19	$33.15	$30.00	22.5%	6.5%	25.9%	20.2%	22.6%	6.2%	0.4%	76.8K	-829.7K	-5.5K	0.00	25.00	N/A	N/A	80	0	1,082	642
2010-02-22	$32.72	$30.00	31.1%	8.9%	24.8%	41.7%	0.0%	8.7%	0.1%	80.7K	-901.2K	-4.9K	0.00	86.32	N/A	N/A	19	0	1,016	339
2010-02-23	$32.22	$30.00	28.5%	8.2%	25.2%	35.5%	0.0%	12.3%	0.3%	62.2K	-646.3K	-4.9K	0.50	16.20	N/A	N/A	10	5	1,031	339
2010-02-24	$32.40	$30.00	25.2%	7.2%	25.2%	28.4%	0.0%	14.6%	7.0%	64.7K	-605.8K	-4.8K	0.00	24.42	N/A	N/A	0	0	1,041	344
2010-02-25	$32.32	$30.00	24.3%	7.0%	25.2%	26.3%	0.0%	16.9%	17.0%	68.2K	-688.5K	-4.9K	0.00	96.56	N/A	N/A	7	0	1,041	344
2010-02-26	$32.37	$30.00	20.0%	5.7%	24.8%	15.5%	0.0%	2.9%	3.8%	64.8K	-636.2K	-4.3K	0.00	37.01	N/A	N/A	5	0	1,034	344