IYE Options History — July 2011

In July 2011, IYE traded between $42.82 and $45.54. ATM implied volatility averaged 21.2%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.4% (HV 20d: 21.6%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2011-07-07: Highest Volume — 58 contracts
2011-07-14: Largest IV spike — 41.2% change
2011-07-29: Highest IV Rank — 26.2%
2011-07-29: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.06	$42.82	$45.54	$43.52	$43.60
Max Pain	$39.65	$38.00	$44.00	$41.00	$44.00
ATM IV	21.2%	16.5%	26.5%	17.1%	26.5%
Expected Move	6.3%	4.9%	7.6%	4.9%	7.6%
HV 20d	21.6%	19.6%	23.9%	23.9%	19.7%
HV 60d	21.8%	21.2%	22.2%	22.2%	21.2%
IV Rank	16.5%	8.0%	26.2%	9.1%	26.2%
IV Percentile	46.2%	5.2%	87.7%	7.5%	87.7%
Term Structure	0.7%	-2.1%	2.9%	0.0%	-2.1%
VWIV	20.7%	17.2%	22.9%	17.2%	22.9%
Skew 25d	4.7%	2.5%	5.9%	4.2%	5.2%
Skew 10d	13.2%	4.5%	19.0%	4.5%	19.0%
Call IV 25d	20.3%	14.5%	25.4%	14.5%	25.4%
Put IV 25d	25.0%	18.7%	30.6%	18.7%	30.6%
Bid-Ask Spread %	79.85	71.12	110.41	88.99	78.44
Gamma HHI	0.27	0.22	0.41	0.28	0.24
Net GEX	139.6K	113.3K	189.3K	140.1K	113.3K
Net DEX	-1.7M	-2.2M	-1.3M	-1.5M	-1.4M
Net VEX	-8.5K	-9.3K	-7.9K	-8.4K	-8.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	1.67	0.53	1.67
Total Volume	21.4	0	58	23	16
Total OI	1,274.85	1,107	1,422	1,343	1,215

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
2011-07-01	$43.52	$41.00	17.1%	4.9%	23.9%	9.1%	17.2%	4.2%	0.0%	140.1K	-1.5M	-8.4K	0.53	88.99	N/A	N/A	15	8	1,124	219
2011-07-05	$43.71	$38.00	18.0%	5.8%	22.4%	10.7%	20.2%	4.1%	1.8%	147.0K	-1.7M	-8.4K	0.00	71.48	N/A	N/A	22	0	1,139	221
2011-07-06	$43.61	$38.00	16.7%	5.7%	22.4%	8.3%	17.3%	5.4%	2.2%	146.5K	-1.6M	-8.3K	0.00	74.15	N/A	N/A	27	0	1,148	221
2011-07-07	$44.20	$38.00	16.5%	5.6%	22.7%	8.0%	0.0%	5.5%	2.6%	158.3K	-1.9M	-8.6K	0.00	74.12	N/A	N/A	58	0	1,160	221
2011-07-08	$43.89	$38.00	16.7%	5.6%	22.7%	8.4%	19.2%	2.5%	2.9%	150.6K	-1.7M	-8.1K	0.00	76.03	N/A	N/A	17	0	1,141	221
2011-07-11	$42.97	$38.00	21.6%	6.4%	23.0%	17.3%	0.0%	5.2%	2.1%	138.5K	-1.3M	-7.9K	0.43	71.12	N/A	N/A	14	6	1,147	221
2011-07-12	$42.82	$38.00	21.9%	6.8%	22.3%	17.7%	0.0%	5.3%	0.3%	142.9K	-1.4M	-8.1K	0.00	110.24	N/A	N/A	32	0	1,156	221
2011-07-13	$43.15	$38.00	17.3%	6.4%	21.4%	9.5%	21.7%	3.1%	1.4%	161.0K	-1.4M	-8.0K	1.60	74.96	N/A	N/A	5	8	1,166	221
2011-07-14	$42.87	$38.00	24.5%	7.0%	20.0%	22.5%	22.7%	4.3%	-0.5%	156.6K	-1.3M	-7.9K	0.03	74.50	N/A	N/A	35	1	1,171	221
2011-07-15	$44.07	$38.00	22.4%	6.4%	21.9%	18.7%	22.0%	5.7%	1.3%	189.3K	-2.0M	-8.8K	0.00	76.75	N/A	N/A	33	0	1,202	220
2011-07-18	$43.83	$38.00	22.7%	6.5%	22.0%	19.2%	22.1%	5.9%	2.3%	115.0K	-1.5M	-8.4K	0.38	71.32	N/A	N/A	13	5	989	118
2011-07-19	$44.59	$38.00	20.5%	5.9%	22.6%	15.2%	21.5%	4.0%	2.1%	124.6K	-1.8M	-8.7K	0.00	77.53	N/A	N/A	11	0	1,002	123
2011-07-20	$44.51	$38.00	21.5%	6.2%	21.9%	17.0%	0.0%	5.1%	0.7%	126.6K	-1.8M	-8.7K	0.00	77.16	N/A	N/A	17	0	1,013	123
2011-07-21	$45.33	$38.00	20.7%	5.9%	22.4%	15.6%	0.0%	3.0%	2.1%	136.4K	-2.1M	-9.1K	0.63	77.14	N/A	N/A	16	10	1,025	123
2011-07-22	$45.54	$38.00	21.1%	6.0%	21.7%	16.3%	22.9%	5.1%	-1.1%	135.4K	-2.2M	-9.1K	0.77	80.54	N/A	N/A	13	10	1,038	133
2011-07-25	$45.39	$44.00	23.6%	6.8%	19.6%	20.9%	0.0%	5.5%	-0.4%	134.4K	-2.1M	-9.1K	1.43	76.76	N/A	N/A	14	20	1,050	143
2011-07-26	$45.21	$44.00	23.9%	6.9%	19.8%	21.5%	0.0%	5.9%	-1.3%	128.6K	-2.0M	-9.3K	0.00	110.41	N/A	N/A	0	0	1,050	163
2011-07-27	$44.33	$44.00	24.9%	7.1%	20.0%	23.2%	0.0%	4.5%	-1.3%	124.5K	-1.7M	-8.9K	0.00	78.16	N/A	N/A	2	0	1,050	163
2011-07-28	$44.05	$44.00	25.2%	7.2%	19.8%	23.8%	0.0%	4.5%	-1.6%	121.8K	-1.6M	-8.6K	0.00	77.10	N/A	N/A	0	0	1,052	163
2011-07-29	$43.60	$44.00	26.5%	7.6%	19.7%	26.2%	0.0%	5.2%	-2.1%	113.3K	-1.4M	-8.5K	1.67	78.44	N/A	N/A	6	10	1,052	163