IYE Options History — February 2011

In February 2011, IYE traded between $42.14 and $44.98. ATM implied volatility averaged 19.3%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.9% (HV 20d: 17.4%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.69.

Notable Days

2011-02-02: Highest Volume — 454 contracts
2011-02-22: Largest IV spike — 16.5% change
2011-02-23: Highest IV Rank — 19.8%
2011-02-23: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.35	$42.14	$44.98	$42.64	$44.98
Max Pain	$42.26	$39.00	$43.00	$39.00	$43.00
ATM IV	19.3%	17.4%	23.0%	18.3%	22.1%
Expected Move	5.7%	5.1%	6.6%	5.3%	6.3%
HV 20d	17.4%	16.5%	18.7%	17.1%	18.4%
HV 60d	15.1%	14.1%	15.7%	15.6%	14.1%
IV Rank	13.0%	9.6%	19.8%	11.4%	18.1%
IV Percentile	25.7%	11.9%	51.2%	18.3%	46.8%
Term Structure	0.1%	-2.5%	1.9%	1.9%	1.1%
VWIV	20.6%	17.6%	23.4%	18.3%	23.4%
Skew 25d	3.6%	1.9%	5.9%	3.2%	3.9%
Skew 10d	8.8%	2.2%	15.9%	9.6%	5.2%
Call IV 25d	18.5%	16.9%	22.0%	17.1%	20.4%
Put IV 25d	22.1%	19.7%	25.3%	20.3%	24.2%
Bid-Ask Spread %	86.31	71.27	109.82	99.51	109.82
Gamma HHI	0.40	0.19	0.50	0.29	0.34
Net GEX	66.2K	13.7K	90.8K	20.2K	90.8K
Net DEX	-1.5M	-2.2M	-959.2K	-1.0M	-2.2M
Net VEX	-5.8K	-6.7K	-3.0K	-3.0K	-6.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	5.03	0.17	1.43
Total Volume	70.316	0	454	139	17
Total OI	1,069.684	597	1,222	597	1,222

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
2011-02-01	$42.64	$39.00	18.3%	5.3%	17.1%	11.4%	0.0%	3.2%	1.9%	20.2K	-1.0M	-3.0K	0.17	99.51	N/A	N/A	119	20	363	234
2011-02-02	$42.64	$39.00	18.2%	5.2%	16.8%	11.1%	18.3%	3.7%	-2.5%	13.7K	-959.2K	-3.0K	0.06	94.10	N/A	N/A	429	25	348	254
2011-02-03	$42.67	$39.00	18.0%	5.2%	16.8%	10.7%	0.0%	3.1%	1.8%	78.6K	-1.4M	-5.9K	5.03	104.22	N/A	N/A	60	302	727	279
2011-02-04	$42.51	$43.00	17.4%	6.0%	16.5%	9.6%	0.0%	5.9%	-0.6%	63.5K	-1.2M	-6.3K	0.00	74.94	N/A	N/A	16	0	740	350
2011-02-07	$42.82	$43.00	18.3%	6.2%	16.6%	11.3%	0.0%	3.5%	-1.4%	65.9K	-1.4M	-6.2K	0.00	71.27	N/A	N/A	1	0	742	350
2011-02-08	$42.66	$43.00	17.5%	5.5%	16.6%	9.9%	0.0%	4.0%	-0.0%	61.1K	-1.3M	-5.9K	0.00	81.85	N/A	N/A	0	10	743	350
2011-02-09	$42.14	$43.00	17.8%	5.9%	17.0%	10.4%	19.3%	3.0%	0.1%	65.8K	-1.2M	-6.2K	1.44	87.11	N/A	N/A	9	13	743	360
2011-02-10	$42.52	$43.00	19.9%	5.7%	16.8%	14.1%	0.0%	5.2%	-0.7%	63.2K	-1.2M	-5.9K	0.00	73.23	N/A	N/A	3	0	752	363
2011-02-11	$42.56	$43.00	18.9%	5.4%	16.7%	12.3%	0.0%	4.8%	1.6%	63.8K	-1.3M	-6.0K	1.25	79.09	N/A	N/A	4	5	755	363
2011-02-14	$43.47	$43.00	19.4%	5.6%	17.6%	13.3%	0.0%	5.0%	0.6%	69.3K	-1.6M	-5.8K	0.00	85.08	N/A	N/A	21	0	759	368
2011-02-15	$43.05	$43.00	19.4%	5.6%	18.1%	13.3%	0.0%	3.3%	-0.4%	65.6K	-1.5M	-6.0K	0.00	80.33	N/A	N/A	24	0	764	368
2011-02-16	$43.55	$43.00	18.5%	5.3%	17.5%	11.7%	0.0%	2.1%	0.1%	74.7K	-1.7M	-6.1K	0.00	86.81	N/A	N/A	0	0	780	368
2011-02-17	$44.01	$43.00	18.1%	5.2%	17.2%	11.0%	17.6%	3.5%	-1.5%	77.3K	-1.9M	-5.9K	0.18	72.44	N/A	N/A	33	6	768	368
2011-02-18	$44.22	$42.00	17.7%	5.1%	17.2%	10.2%	0.0%	2.1%	0.0%	80.9K	-1.9M	-5.9K	0.00	108.43	N/A	N/A	10	0	776	374
2011-02-22	$43.85	$42.00	20.6%	5.9%	17.8%	15.5%	21.2%	3.1%	0.2%	71.0K	-1.7M	-5.8K	1.29	81.78	N/A	N/A	17	22	728	354
2011-02-23	$44.70	$43.00	23.0%	6.6%	18.3%	19.8%	22.0%	1.9%	1.1%	69.2K	-1.9M	-6.0K	0.00	80.07	N/A	N/A	88	0	738	366
2011-02-24	$44.05	$43.00	22.7%	6.5%	18.4%	19.2%	22.7%	4.1%	1.5%	76.8K	-1.7M	-6.7K	0.15	81.43	N/A	N/A	71	11	819	366
2011-02-25	$44.70	$43.00	19.9%	5.7%	18.7%	14.2%	0.0%	2.1%	-0.6%	87.1K	-2.0M	-6.6K	0.00	88.46	N/A	N/A	0	0	845	377
2011-02-28	$44.98	$43.00	22.1%	6.3%	18.4%	18.1%	23.4%	3.9%	1.1%	90.8K	-2.2M	-6.3K	1.43	109.82	N/A	N/A	7	10	845	377