IYE Options History — February 2012

In February 2012, IYE traded between $40.79 and $43.85. ATM implied volatility averaged 19.2%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 5.6% (HV 20d: 13.5%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.64.

Notable Days

2012-02-23: Highest Volume — 55 contracts
2012-02-03: Largest IV drop — 19.9% change
2012-02-15: Highest IV Rank — 10.5%
2012-02-15: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.61	$40.79	$43.85	$40.79	$43.15
Max Pain	$40.45	$40.00	$42.00	$40.00	$42.00
ATM IV	19.2%	15.1%	22.3%	20.4%	18.1%
Expected Move	5.7%	4.6%	6.4%	5.9%	5.2%
HV 20d	13.5%	11.1%	15.2%	13.6%	11.6%
HV 60d	24.0%	19.1%	26.9%	26.7%	19.2%
IV Rank	5.8%	0.0%	10.5%	6.8%	4.3%
IV Percentile	15.5%	0.0%	37.3%	22.2%	7.5%
Term Structure	1.4%	-0.9%	3.3%	1.8%	1.6%
VWIV	20.0%	17.6%	22.7%	20.3%	19.2%
Skew 25d	4.4%	-0.9%	7.8%	5.1%	3.6%
Skew 10d	5.6%	1.6%	15.0%	6.9%	2.2%
Call IV 25d	16.1%	11.5%	20.1%	13.4%	15.8%
Put IV 25d	20.6%	14.3%	26.0%	18.6%	19.4%
Bid-Ask Spread %	102.39	85.49	130.47	106.37	102.50
Gamma HHI	0.22	0.20	0.27	0.21	0.21
Net GEX	108.4K	89.6K	131.5K	93.0K	90.5K
Net DEX	-1.5M	-1.7M	-1.0M	-1.0M	-1.4M
Net VEX	-5.6K	-5.9K	-5.3K	-5.4K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.00	10.00	0.00	10.00
Total Volume	14.85	0	55	10	11
Total OI	768	723	803	751	759

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
2012-02-01	$40.79	$40.00	20.4%	5.9%	13.6%	6.8%	20.3%	5.1%	1.8%	93.0K	-1.0M	-5.4K	0.00	106.37	N/A	N/A	10	0	680	71
2012-02-02	$40.97	$40.00	18.9%	5.4%	13.7%	4.5%	0.0%	0.6%	1.6%	101.0K	-1.1M	-5.4K	0.00	105.55	N/A	N/A	0	0	690	71
2012-02-03	$41.73	$42.00	15.1%	5.6%	14.9%	0.0%	21.3%	5.2%	2.2%	123.7K	-1.3M	-5.5K	0.00	93.51	N/A	N/A	5	0	690	71
2012-02-06	$42.19	$41.00	17.0%	5.5%	15.2%	2.8%	18.9%	4.7%	2.9%	129.5K	-1.4M	-5.4K	0.00	118.20	N/A	N/A	9	0	695	71
2012-02-07	$42.42	$41.00	18.7%	6.1%	15.2%	5.2%	0.0%	5.0%	0.7%	123.5K	-1.5M	-5.5K	0.00	95.55	N/A	N/A	14	0	698	71
2012-02-08	$42.33	$41.00	19.1%	6.1%	15.0%	5.8%	22.7%	5.1%	0.2%	122.6K	-1.5M	-5.6K	0.56	92.26	N/A	N/A	9	5	712	71
2012-02-09	$42.32	$40.00	21.1%	6.1%	14.0%	8.8%	0.0%	5.6%	0.7%	124.3K	-1.6M	-5.7K	0.00	96.86	N/A	N/A	19	0	719	76
2012-02-10	$41.86	$40.00	22.3%	6.4%	14.1%	10.5%	0.0%	6.6%	-0.0%	123.9K	-1.4M	-5.7K	0.00	92.38	N/A	N/A	7	0	727	76
2012-02-13	$42.23	$40.00	21.7%	6.2%	14.1%	9.6%	0.0%	5.8%	1.0%	128.5K	-1.5M	-5.6K	0.00	97.53	N/A	N/A	7	0	722	76
2012-02-14	$42.35	$40.00	21.9%	6.3%	14.1%	9.9%	0.0%	5.0%	-0.9%	125.4K	-1.6M	-5.5K	0.00	121.32	N/A	N/A	10	0	722	76
2012-02-15	$42.27	$40.00	22.3%	6.4%	13.1%	10.5%	0.0%	4.5%	0.8%	131.5K	-1.6M	-5.4K	0.00	91.52	N/A	N/A	14	0	718	76
2012-02-16	$42.89	$40.00	20.2%	5.8%	13.9%	7.4%	22.5%	7.8%	1.7%	104.4K	-1.7M	-5.3K	0.00	93.55	N/A	N/A	38	0	711	76
2012-02-17	$43.06	$40.00	19.8%	5.7%	13.8%	6.9%	19.0%	6.7%	-0.1%	93.1K	-1.7M	-5.4K	0.00	85.49	N/A	N/A	54	0	693	76
2012-02-21	$43.28	$40.00	18.4%	5.3%	13.7%	4.8%	0.0%	7.0%	2.1%	89.6K	-1.5M	-5.6K	0.00	93.10	N/A	N/A	0	0	651	72
2012-02-22	$43.39	$40.00	19.0%	5.4%	13.6%	5.7%	0.0%	0.9%	2.4%	89.8K	-1.5M	-5.6K	0.00	125.48	N/A	N/A	13	0	651	72
2012-02-23	$43.66	$40.00	17.6%	5.0%	13.1%	3.6%	17.6%	6.0%	1.9%	94.2K	-1.6M	-5.6K	0.38	100.66	N/A	N/A	40	15	653	72
2012-02-24	$43.85	$40.00	15.9%	4.6%	11.3%	1.1%	0.0%	2.9%	3.3%	94.6K	-1.6M	-5.9K	0.00	130.47	N/A	N/A	4	0	675	87
2012-02-27	$43.75	$40.00	18.6%	5.3%	11.3%	5.1%	18.2%	-0.9%	1.5%	91.9K	-1.6M	-5.9K	0.00	100.28	N/A	N/A	0	5	677	87
2012-02-28	$43.63	$42.00	17.0%	4.9%	11.1%	2.7%	0.0%	1.5%	2.6%	92.8K	-1.5M	-5.9K	0.00	105.19	N/A	N/A	8	0	677	92
2012-02-29	$43.15	$42.00	18.1%	5.2%	11.6%	4.3%	19.2%	3.6%	1.6%	90.5K	-1.4M	-5.8K	10.00	102.50	N/A	N/A	1	10	667	92