IYE Options History — April 2012

In April 2012, IYE traded between $39.41 and $41.92. ATM implied volatility averaged 20.5%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.6% (HV 20d: 17.9%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.06.

Notable Days

2012-04-23: Highest Volume — 63 contracts
2012-04-04: Largest IV spike — 29.1% change
2012-04-10: Highest IV Rank — 16.6%
2012-04-10: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.34	$39.41	$41.92	$41.92	$41.04
Max Pain	$40.35	$40.00	$41.00	$41.00	$40.00
ATM IV	20.5%	14.8%	25.3%	18.3%	18.0%
Expected Move	5.9%	4.2%	7.1%	5.3%	5.2%
HV 20d	17.9%	16.5%	19.9%	17.3%	17.4%
HV 60d	15.6%	14.6%	16.3%	14.6%	15.8%
IV Rank	9.8%	1.6%	16.6%	6.7%	6.3%
IV Percentile	29.8%	0.8%	56.7%	15.1%	13.9%
Term Structure	1.8%	0.1%	7.8%	7.8%	1.5%
VWIV	20.6%	17.0%	24.1%	24.1%	17.0%
Skew 25d	5.6%	0.7%	9.4%	1.6%	3.9%
Skew 10d	4.7%	1.2%	10.2%	1.2%	2.6%
Call IV 25d	16.5%	10.9%	21.1%	13.6%	14.9%
Put IV 25d	22.1%	15.3%	26.4%	15.3%	18.8%
Bid-Ask Spread %	99.32	83.39	138.56	127.14	102.76
Gamma HHI	0.27	0.22	0.35	0.25	0.29
Net GEX	61.1K	38.9K	115.5K	115.5K	69.8K
Net DEX	-355.2K	-694.5K	-187.4K	-694.5K	-494.2K
Net VEX	-3.2K	-4.3K	-2.5K	-4.3K	-3.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.50	0.00	0.00
Total Volume	7.1	0	63	2	0
Total OI	688.25	461	769	765	529

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
2012-04-02	$41.92	$41.00	18.3%	5.3%	17.3%	6.7%	0.0%	1.6%	7.8%	115.5K	-694.5K	-4.3K	0.00	127.14	N/A	N/A	2	0	647	118
2012-04-03	$41.55	$41.00	14.8%	4.2%	16.5%	1.6%	0.0%	7.1%	3.7%	98.1K	-599.9K	-4.1K	0.00	101.12	N/A	N/A	0	0	648	118
2012-04-04	$40.98	$41.00	19.1%	5.5%	16.8%	7.7%	0.0%	2.1%	1.5%	82.3K	-475.2K	-3.9K	0.00	98.76	N/A	N/A	0	0	648	118
2012-04-05	$40.77	$41.00	18.9%	5.4%	16.6%	7.4%	0.0%	0.7%	1.2%	80.2K	-462.4K	-3.8K	0.00	101.81	N/A	N/A	0	0	648	118
2012-04-09	$40.24	$41.00	22.1%	6.5%	17.0%	12.0%	0.0%	5.5%	0.6%	62.3K	-314.4K	-3.3K	0.00	83.39	N/A	N/A	32	0	648	118
2012-04-10	$39.44	$41.00	25.3%	7.1%	18.1%	16.6%	0.0%	5.3%	0.6%	38.9K	-191.2K	-2.9K	0.00	85.97	N/A	N/A	0	0	621	118
2012-04-11	$39.42	$41.00	23.5%	7.1%	16.9%	14.1%	24.1%	8.9%	1.1%	39.5K	-187.4K	-2.8K	0.50	87.60	N/A	N/A	20	10	621	118
2012-04-12	$40.27	$40.00	23.2%	6.7%	19.1%	13.7%	0.0%	7.5%	0.4%	59.5K	-306.2K	-3.2K	0.00	87.73	N/A	N/A	0	0	641	128
2012-04-13	$39.65	$40.00	22.1%	6.3%	19.5%	12.1%	0.0%	9.4%	2.2%	46.3K	-222.1K	-2.9K	0.00	89.95	N/A	N/A	3	0	641	128
2012-04-16	$39.41	$40.00	24.6%	7.0%	18.4%	15.6%	0.0%	6.8%	0.5%	39.3K	-189.6K	-2.7K	0.00	89.56	N/A	N/A	0	0	639	128
2012-04-17	$40.13	$40.00	21.6%	6.2%	19.9%	11.4%	0.0%	4.9%	2.0%	52.2K	-280.7K	-3.0K	0.00	93.30	N/A	N/A	0	0	639	128
2012-04-18	$40.02	$40.00	22.0%	6.3%	19.4%	12.0%	0.0%	3.3%	2.5%	50.1K	-258.4K	-2.9K	0.00	86.98	N/A	N/A	0	0	639	128
2012-04-19	$39.92	$40.00	22.1%	6.3%	19.3%	12.1%	0.0%	7.6%	1.3%	48.3K	-234.8K	-2.8K	0.00	95.63	N/A	N/A	0	0	639	128
2012-04-20	$39.87	$40.00	21.1%	6.0%	18.0%	10.6%	0.0%	7.3%	1.6%	50.2K	-242.4K	-2.8K	0.00	126.54	N/A	N/A	1	0	639	128
2012-04-23	$39.84	$40.00	21.3%	6.1%	17.3%	10.9%	0.0%	6.9%	1.0%	41.3K	-235.3K	-2.5K	0.00	92.89	N/A	N/A	63	0	413	48
2012-04-24	$40.12	$40.00	20.8%	6.0%	17.5%	10.3%	0.0%	7.8%	0.1%	54.0K	-345.0K	-3.0K	0.00	94.92	N/A	N/A	1	0	470	48
2012-04-25	$40.54	$40.00	17.1%	4.9%	17.7%	4.9%	17.0%	6.4%	2.3%	58.8K	-391.8K	-3.1K	0.00	100.27	N/A	N/A	10	0	471	48
2012-04-26	$40.88	$40.00	18.0%	5.2%	17.5%	6.2%	0.0%	5.5%	0.4%	67.0K	-468.4K	-3.3K	0.00	101.53	N/A	N/A	0	0	481	48
2012-04-27	$40.88	$40.00	16.4%	4.7%	17.5%	4.0%	0.0%	3.2%	4.1%	67.6K	-510.7K	-3.4K	0.00	138.56	N/A	N/A	0	0	481	48
2012-04-30	$41.04	$40.00	18.0%	5.2%	17.4%	6.3%	0.0%	3.9%	1.5%	69.8K	-494.2K	-3.2K	0.00	102.76	N/A	N/A	0	0	481	48