IYE Options History — January 2011

In January 2011, IYE traded between $38.85 and $41.88. ATM implied volatility averaged 17.3%, placing in the 9.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 6.5% (HV 20d: 10.8%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2011-01-06: Highest Volume — 177 contracts
2011-01-13: Largest IV spike — 35.0% change
2011-01-21: Highest IV Rank — 14.4%
2011-01-21: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.08	$38.85	$41.88	$39.26	$41.88
Max Pain	$37.40	$35.00	$39.00	$35.00	$39.00
ATM IV	17.3%	13.1%	20.0%	17.4%	18.2%
Expected Move	5.1%	4.0%	5.7%	5.0%	5.2%
HV 20d	10.8%	7.4%	16.4%	7.4%	16.4%
HV 60d	15.3%	14.6%	16.2%	15.5%	16.2%
IV Rank	9.4%	1.9%	14.4%	9.7%	11.2%
IV Percentile	12.6%	0.4%	27.0%	11.5%	17.5%
Term Structure	2.2%	-2.3%	5.5%	3.1%	-2.3%
VWIV	18.1%	16.1%	21.1%	17.3%	18.7%
Skew 25d	3.4%	-1.5%	8.3%	2.4%	3.2%
Skew 10d	7.2%	-1.2%	35.5%	3.2%	7.5%
Call IV 25d	16.9%	13.4%	21.8%	17.3%	18.2%
Put IV 25d	20.3%	16.2%	24.4%	19.7%	21.4%
Bid-Ask Spread %	86.46	45.81	119.83	119.83	102.09
Gamma HHI	0.31	0.20	0.52	0.50	0.30
Net GEX	23.7K	14.5K	33.7K	30.4K	23.1K
Net DEX	-537.4K	-874.1K	-233.0K	-551.8K	-874.1K
Net VEX	-3.2K	-3.6K	-2.1K	-2.1K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	3.78	0.00	0.00
Total Volume	18.85	0	177	4	4
Total OI	535.25	370	601	370	593

Daily Data (20 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
2011-01-03	$39.26	$35.00	17.4%	5.0%	7.4%	9.7%	0.0%	2.4%	3.1%	30.4K	-551.8K	-2.1K	0.00	119.83	N/A	N/A	4	0	259	111
2011-01-04	$39.02	$35.00	18.1%	5.2%	7.9%	10.9%	0.0%	-1.5%	3.3%	31.0K	-519.9K	-2.1K	0.00	108.82	N/A	N/A	4	0	260	111
2011-01-05	$39.13	$35.00	17.0%	4.9%	7.7%	8.9%	0.0%	2.2%	1.7%	33.7K	-534.9K	-2.1K	0.63	98.78	N/A	N/A	16	10	264	111
2011-01-06	$38.85	$35.00	17.2%	4.9%	8.2%	9.3%	17.3%	1.8%	3.7%	32.4K	-534.7K	-2.3K	3.78	118.69	N/A	N/A	37	140	280	121
2011-01-07	$39.10	$37.00	15.7%	5.6%	8.3%	6.6%	0.0%	3.8%	3.5%	17.4K	-297.6K	-3.6K	0.00	49.39	N/A	N/A	2	0	302	261
2011-01-10	$38.97	$37.00	18.0%	5.6%	8.5%	10.7%	0.0%	6.4%	1.5%	15.7K	-233.0K	-3.4K	0.00	45.81	N/A	N/A	0	0	302	261
2011-01-11	$39.60	$37.00	15.8%	5.3%	9.7%	6.7%	19.1%	1.0%	1.8%	20.1K	-362.4K	-3.4K	0.00	71.29	N/A	N/A	17	0	302	261
2011-01-12	$40.10	$37.00	13.1%	5.0%	10.2%	1.9%	0.0%	3.0%	3.6%	25.5K	-484.5K	-3.5K	0.00	61.73	N/A	N/A	0	0	313	261
2011-01-13	$40.00	$37.00	17.7%	5.1%	9.7%	10.2%	16.1%	4.4%	0.9%	24.0K	-479.3K	-3.5K	0.00	68.83	N/A	N/A	17	0	313	261
2011-01-14	$40.51	$37.00	14.0%	4.0%	10.3%	3.4%	0.0%	3.8%	5.5%	29.0K	-585.0K	-3.4K	0.00	112.13	N/A	N/A	0	0	320	261
2011-01-18	$40.83	$37.00	17.1%	4.9%	10.3%	9.1%	0.0%	2.3%	2.0%	22.4K	-645.9K	-3.3K	0.00	79.15	N/A	N/A	14	0	320	261
2011-01-19	$40.36	$37.00	19.9%	5.7%	11.6%	14.2%	21.1%	8.3%	2.1%	28.3K	-590.7K	-3.4K	0.67	77.51	N/A	N/A	15	10	328	261
2011-01-20	$40.08	$39.00	17.9%	5.1%	11.9%	10.6%	0.0%	3.2%	2.2%	31.6K	-485.6K	-3.5K	0.00	75.98	N/A	N/A	0	0	330	271
2011-01-21	$40.30	$39.00	20.0%	5.7%	11.9%	14.4%	0.0%	2.9%	3.5%	30.9K	-561.0K	-3.5K	0.77	101.72	N/A	N/A	13	10	330	271
2011-01-24	$40.37	$39.00	17.8%	5.1%	11.9%	10.3%	0.0%	0.8%	3.0%	15.4K	-532.4K	-3.5K	0.00	91.25	N/A	N/A	0	2	323	232
2011-01-25	$40.21	$39.00	18.4%	5.3%	11.9%	11.4%	0.0%	7.8%	0.8%	14.5K	-478.4K	-3.5K	0.00	103.74	N/A	N/A	6	0	323	234
2011-01-26	$41.12	$39.00	16.6%	4.8%	13.9%	8.2%	16.2%	4.3%	2.0%	15.4K	-667.9K	-3.3K	0.00	74.86	N/A	N/A	6	0	323	234
2011-01-27	$41.01	$39.00	18.3%	5.2%	13.9%	11.2%	0.0%	2.6%	0.0%	15.5K	-684.4K	-3.3K	0.00	80.42	N/A	N/A	10	0	329	234
2011-01-28	$40.81	$39.00	17.3%	5.0%	14.1%	9.5%	18.7%	4.7%	1.1%	17.7K	-644.3K	-3.5K	0.00	87.26	N/A	N/A	40	0	339	234
2011-01-31	$41.88	$39.00	18.2%	5.2%	16.4%	11.2%	0.0%	3.2%	-2.3%	23.1K	-874.1K	-3.2K	0.00	102.09	N/A	N/A	4	0	359	234