IYE Options History — June 2012

In June 2012, IYE traded between $35.75 and $38.34. ATM implied volatility averaged 23.9%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 0.6% (HV 20d: 24.5%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.

Notable Days

2012-06-25: Highest Volume — 20 contracts
2012-06-14: Largest IV spike — 28.3% change
2012-06-01: Highest IV Rank — 24.0%
2012-06-01: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.00	$35.75	$38.34	$35.81	$38.34
Max Pain	$37.05	$37.00	$38.00	$38.00	$37.00
ATM IV	23.9%	20.3%	30.4%	30.4%	21.1%
Expected Move	7.2%	5.8%	8.7%	8.7%	6.0%
HV 20d	24.5%	18.6%	29.1%	19.6%	28.2%
HV 60d	20.2%	18.3%	22.9%	18.4%	22.9%
IV Rank	14.6%	9.5%	24.0%	24.0%	10.7%
IV Percentile	45.2%	24.6%	66.7%	66.7%	30.6%
Term Structure	0.8%	-1.1%	1.9%	-1.1%	1.1%
VWIV	23.7%	17.7%	27.3%	17.7%	22.5%
Skew 25d	7.2%	1.0%	11.9%	7.6%	8.2%
Skew 10d	11.1%	2.2%	22.0%	4.9%	3.8%
Call IV 25d	20.3%	15.0%	25.6%	24.6%	15.0%
Put IV 25d	27.5%	21.5%	33.8%	32.2%	23.2%
Bid-Ask Spread %	88.74	70.66	122.85	95.28	122.85
Gamma HHI	0.19	0.14	0.23	0.22	0.14
Net GEX	11.3K	3.8K	18.3K	8.8K	15.6K
Net DEX	61.8K	4.4K	121.2K	72.4K	33.5K
Net VEX	-664	-871	-475	-583	-821
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	5.381	0	20	0	10
Total OI	509.81	489	559	489	559

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-06-01	$35.81	$38.00	30.4%	8.7%	19.6%	24.0%	0.0%	7.6%	-1.1%	8.8K	72.4K	-583	95.28	N/A	N/A	0	0	449	40
2012-06-04	$35.75	$37.00	29.4%	8.4%	18.6%	22.5%	17.7%	8.2%	0.0%	8.7K	74.0K	-575	70.66	N/A	N/A	3	0	449	40
2012-06-05	$36.03	$37.00	27.0%	8.1%	19.1%	19.1%	0.0%	9.3%	0.6%	8.3K	75.0K	-563	75.44	N/A	N/A	0	0	449	40
2012-06-06	$37.18	$37.00	24.7%	7.7%	22.9%	15.8%	0.0%	7.8%	-0.2%	13.7K	45.7K	-726	75.37	N/A	N/A	0	0	449	40
2012-06-07	$37.23	$37.00	23.1%	7.2%	22.9%	13.5%	0.0%	4.0%	1.2%	15.3K	33.4K	-780	83.21	N/A	N/A	0	0	449	40
2012-06-08	$37.26	$37.00	21.1%	7.1%	22.8%	10.7%	23.7%	7.8%	1.2%	12.2K	57.0K	-649	76.74	N/A	N/A	1	0	449	40
2012-06-11	$36.73	$37.00	23.2%	7.5%	23.1%	13.6%	0.0%	11.3%	1.9%	10.7K	57.1K	-631	108.87	N/A	N/A	3	0	450	40
2012-06-12	$37.28	$37.00	21.6%	7.8%	23.3%	11.4%	27.3%	6.2%	0.7%	12.2K	47.7K	-673	77.12	N/A	N/A	7	0	453	40
2012-06-13	$36.81	$37.00	21.6%	7.7%	23.1%	11.4%	0.0%	5.2%	1.6%	11.8K	49.5K	-674	78.03	N/A	N/A	0	0	460	40
2012-06-14	$37.40	$37.00	27.7%	7.9%	23.8%	20.1%	27.1%	11.9%	-0.2%	16.9K	12.7K	-871	107.25	N/A	N/A	18	0	460	40
2012-06-15	$38.10	$37.00	24.3%	7.0%	24.6%	15.2%	0.0%	7.8%	1.3%	17.5K	4.4K	-811	85.17	N/A	N/A	0	10	462	40
2012-06-18	$37.77	$37.00	22.3%	6.4%	24.7%	12.3%	0.0%	5.7%	0.8%	15.5K	46.1K	-708	86.09	N/A	N/A	1	0	461	46
2012-06-19	$38.13	$37.00	21.1%	6.0%	23.5%	10.6%	0.0%	6.1%	1.4%	18.3K	32.7K	-738	91.29	N/A	N/A	5	0	462	46
2012-06-20	$37.99	$37.00	20.3%	5.8%	23.6%	9.5%	0.0%	5.7%	1.8%	15.2K	49.1K	-653	94.57	N/A	N/A	0	0	463	46
2012-06-21	$36.40	$37.00	24.2%	6.9%	28.1%	15.1%	0.0%	1.0%	0.7%	8.2K	82.1K	-529	86.76	N/A	N/A	0	10	463	46
2012-06-22	$36.64	$37.00	22.6%	6.5%	28.2%	12.8%	22.5%	5.9%	1.4%	5.8K	104.6K	-555	83.05	N/A	N/A	15	0	463	56
2012-06-25	$35.85	$37.00	25.0%	7.2%	29.1%	16.2%	0.0%	8.7%	0.7%	5.0K	112.3K	-475	88.53	N/A	N/A	0	20	473	56
2012-06-26	$36.25	$37.00	24.3%	7.0%	28.9%	15.2%	0.0%	6.4%	0.7%	3.8K	121.2K	-600	93.31	N/A	N/A	0	0	473	76
2012-06-27	$36.95	$37.00	22.7%	6.5%	27.9%	12.9%	0.0%	7.8%	1.5%	7.0K	95.8K	-662	91.23	N/A	N/A	0	0	473	76
2012-06-28	$37.20	$37.00	23.4%	6.7%	27.8%	14.0%	0.0%	9.0%	-0.0%	7.4K	90.9K	-670	92.65	N/A	N/A	0	10	473	76
2012-06-29	$38.34	$37.00	21.1%	6.0%	28.2%	10.7%	0.0%	8.2%	1.1%	15.6K	33.5K	-821	122.85	N/A	N/A	0	10	473	86