IYE Options History — January 2012

In January 2012, IYE traded between $40.01 and $41.83. ATM implied volatility averaged 20.9%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.7% (HV 20d: 21.6%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2012-01-20: Highest Volume — 239 contracts
2012-01-12: Largest IV spike — 47.0% change
2012-01-12: Highest IV Rank — 18.3%
2012-01-12: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.87	$40.01	$41.83	$40.86	$40.57
Max Pain	$39.05	$38.00	$40.00	$38.00	$40.00
ATM IV	20.9%	17.7%	26.0%	22.0%	20.5%
Expected Move	6.2%	5.3%	7.5%	6.3%	5.9%
HV 20d	21.6%	16.0%	28.6%	28.6%	16.3%
HV 60d	31.2%	27.1%	34.1%	34.1%	27.1%
IV Rank	9.2%	3.8%	18.3%	12.6%	6.9%
IV Percentile	28.1%	7.9%	58.7%	37.3%	23.4%
Term Structure	1.9%	-3.9%	4.0%	3.7%	1.8%
VWIV	21.1%	14.3%	26.6%	21.8%	14.3%
Skew 25d	4.8%	1.4%	10.0%	4.6%	2.2%
Skew 10d	4.8%	1.5%	14.4%	3.2%	3.7%
Call IV 25d	17.9%	11.5%	22.1%	19.9%	15.2%
Put IV 25d	22.7%	17.4%	27.9%	24.5%	17.4%
Bid-Ask Spread %	103.09	79.79	138.68	105.58	108.78
Gamma HHI	0.26	0.20	0.36	0.25	0.20
Net GEX	129.5K	84.6K	190.0K	157.5K	86.4K
Net DEX	-1.3M	-1.7M	-987.1K	-1.6M	-987.1K
Net VEX	-4.6K	-5.7K	-3.3K	-4.9K	-5.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.00	10.00	0.00	0.00
Total Volume	22.65	0	239	39	6
Total OI	1,149.95	713	1,387	1,318	753

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
2012-01-03	$40.86	$38.00	22.0%	6.3%	28.6%	12.6%	21.8%	4.6%	3.7%	157.5K	-1.6M	-4.9K	0.00	105.58	N/A	N/A	39	0	1,095	223
2012-01-04	$40.96	$38.00	22.1%	6.3%	28.2%	12.8%	0.0%	3.8%	3.8%	170.5K	-1.6M	-4.9K	0.00	106.64	N/A	N/A	10	0	1,132	223
2012-01-05	$40.73	$38.00	20.7%	5.9%	28.3%	10.8%	0.0%	2.9%	2.9%	161.5K	-1.5M	-4.6K	0.00	108.59	N/A	N/A	0	0	1,142	223
2012-01-06	$40.54	$39.00	19.7%	6.8%	28.2%	9.4%	0.0%	5.8%	2.6%	157.5K	-1.5M	-4.6K	0.00	79.79	N/A	N/A	0	0	1,142	223
2012-01-09	$40.75	$39.00	19.2%	6.6%	26.5%	8.6%	26.6%	5.2%	2.9%	162.2K	-1.5M	-4.2K	0.00	79.94	N/A	N/A	7	0	1,142	223
2012-01-10	$41.10	$39.00	20.1%	6.7%	25.5%	9.9%	23.4%	4.5%	1.5%	190.0K	-1.7M	-4.3K	0.00	84.15	N/A	N/A	15	0	1,137	223
2012-01-11	$40.56	$39.00	17.7%	6.4%	24.3%	6.5%	21.0%	8.9%	1.0%	155.0K	-1.4M	-3.9K	0.00	125.20	N/A	N/A	10	0	1,150	223
2012-01-12	$40.16	$39.00	26.0%	7.5%	24.4%	18.3%	0.0%	2.8%	-3.9%	129.7K	-1.2M	-3.8K	0.00	138.68	N/A	N/A	19	0	1,157	223
2012-01-13	$40.01	$39.00	24.1%	6.9%	21.9%	14.5%	24.0%	5.0%	2.5%	110.0K	-1.1M	-3.5K	10.00	95.87	N/A	N/A	1	10	1,160	223
2012-01-17	$40.29	$39.00	23.7%	6.8%	21.8%	14.0%	0.0%	4.2%	1.9%	131.9K	-1.2M	-3.4K	0.00	97.38	N/A	N/A	1	0	1,161	219
2012-01-18	$40.96	$39.00	22.3%	6.4%	22.2%	9.6%	0.0%	10.0%	2.5%	175.4K	-1.5M	-3.5K	0.00	98.11	N/A	N/A	10	0	1,162	219
2012-01-19	$41.15	$39.00	21.2%	6.1%	20.8%	8.0%	21.2%	3.9%	2.2%	159.9K	-1.6M	-3.4K	0.00	105.83	N/A	N/A	17	0	1,168	219
2012-01-20	$41.09	$39.00	20.2%	5.8%	16.5%	6.4%	21.2%	2.2%	4.0%	92.9K	-1.6M	-3.3K	0.00	102.19	N/A	N/A	239	0	1,168	216
2012-01-23	$41.40	$39.00	18.4%	5.3%	16.3%	3.8%	17.9%	5.5%	2.1%	84.6K	-1.2M	-5.7K	0.00	107.20	N/A	N/A	18	0	646	67
2012-01-24	$41.29	$39.00	19.9%	5.7%	16.2%	6.0%	19.5%	5.7%	1.2%	89.3K	-1.1M	-5.7K	0.00	103.21	N/A	N/A	12	0	664	67
2012-01-25	$41.83	$39.00	18.7%	5.4%	16.6%	4.3%	21.6%	9.5%	0.8%	100.1K	-1.3M	-5.7K	0.80	104.28	N/A	N/A	5	4	676	67
2012-01-26	$41.17	$40.00	21.1%	6.0%	17.8%	7.8%	0.0%	5.0%	-0.2%	90.7K	-1.2M	-5.7K	0.00	103.56	N/A	N/A	3	0	681	71
2012-01-27	$41.08	$40.00	20.4%	5.9%	16.1%	6.9%	0.0%	3.3%	1.2%	93.4K	-1.1M	-5.6K	0.00	103.13	N/A	N/A	11	0	684	71
2012-01-30	$40.89	$40.00	20.2%	5.8%	16.0%	6.5%	14.3%	1.4%	2.9%	91.5K	-1.0M	-5.5K	0.00	103.74	N/A	N/A	16	0	685	71
2012-01-31	$40.57	$40.00	20.5%	5.9%	16.3%	6.9%	0.0%	2.2%	1.8%	86.4K	-987.1K	-5.3K	0.00	108.78	N/A	N/A	6	0	682	71