IYE Options History — September 2012

In September 2012, IYE traded between $40.59 and $43.91. ATM implied volatility averaged 17.6%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.9% (HV 20d: 14.7%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.07.

Notable Days

2012-09-24: Highest Volume — 35 contracts
2012-09-07: Largest IV drop — 11.8% change
2012-09-26: Highest IV Rank — 16.5%
2012-09-04: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.40	$40.59	$43.91	$40.73	$42.18
Max Pain	$41.84	$41.00	$42.00	$41.00	$42.00
ATM IV	17.6%	15.9%	19.3%	19.0%	16.9%
Expected Move	5.1%	4.7%	5.4%	5.4%	4.8%
HV 20d	14.7%	9.3%	17.6%	10.6%	17.2%
HV 60d	19.0%	16.5%	20.8%	20.8%	16.5%
IV Rank	11.5%	7.8%	16.5%	13.4%	13.0%
IV Percentile	16.7%	5.6%	31.3%	25.4%	11.1%
Term Structure	1.9%	0.6%	3.4%	1.9%	1.3%
VWIV	18.0%	16.3%	20.3%	18.3%	18.4%
Skew 25d	4.7%	2.1%	8.3%	4.9%	3.1%
Skew 10d	5.3%	-1.4%	11.6%	3.6%	-1.4%
Call IV 25d	15.4%	12.6%	17.9%	17.9%	15.7%
Put IV 25d	20.1%	18.0%	22.8%	22.8%	18.8%
Bid-Ask Spread %	93.51	87.04	101.67	96.71	100.63
Gamma HHI	0.46	0.37	0.52	0.47	0.43
Net GEX	40.7K	27.5K	48.6K	27.9K	43.7K
Net DEX	-645.2K	-982.7K	-273.1K	-293.7K	-581.3K
Net VEX	-3.8K	-4.1K	-3.5K	-4.1K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.40	0.00	0.00
Total Volume	5.263	0	35	0	0
Total OI	600.737	584	615	584	603

Daily Data (19 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
2012-09-04	$40.73	$41.00	19.0%	5.4%	10.6%	13.4%	0.0%	4.9%	1.9%	27.9K	-293.7K	-4.1K	0.00	96.71	N/A	N/A	0	0	392	192
2012-09-05	$40.59	$41.00	18.7%	5.4%	9.3%	12.9%	0.0%	4.9%	1.3%	27.5K	-273.1K	-4.0K	0.00	94.48	N/A	N/A	3	0	392	192
2012-09-06	$41.44	$41.00	18.0%	5.2%	12.0%	11.7%	0.0%	5.1%	2.4%	35.0K	-431.1K	-4.1K	0.00	101.67	N/A	N/A	11	0	395	192
2012-09-07	$42.13	$42.00	15.9%	5.3%	13.2%	7.8%	18.3%	8.3%	3.0%	41.4K	-565.6K	-4.1K	0.00	89.93	N/A	N/A	2	0	406	192
2012-09-10	$41.90	$42.00	16.2%	5.0%	13.4%	8.3%	16.3%	6.6%	3.4%	41.9K	-570.5K	-4.0K	0.00	87.47	N/A	N/A	3	0	406	192
2012-09-11	$42.30	$42.00	17.4%	5.3%	13.6%	10.6%	0.0%	5.5%	2.8%	43.4K	-627.0K	-4.0K	0.00	89.34	N/A	N/A	0	0	409	192
2012-09-12	$42.50	$42.00	19.3%	5.3%	13.6%	13.9%	20.3%	5.2%	2.5%	44.3K	-676.9K	-4.0K	0.00	89.49	N/A	N/A	0	10	409	192
2012-09-13	$43.26	$42.00	17.8%	5.1%	14.7%	11.2%	16.7%	5.1%	2.2%	39.8K	-823.5K	-3.9K	0.00	87.04	N/A	N/A	5	0	409	202
2012-09-14	$43.91	$42.00	18.0%	5.2%	15.2%	11.7%	18.2%	5.3%	1.0%	38.3K	-982.7K	-3.7K	0.00	89.90	N/A	N/A	13	0	413	202
2012-09-17	$43.54	$42.00	17.9%	5.1%	15.6%	11.5%	0.0%	2.1%	1.8%	39.1K	-885.4K	-3.7K	0.00	88.62	N/A	N/A	1	0	404	202
2012-09-18	$43.17	$42.00	18.4%	5.3%	15.9%	12.4%	18.4%	2.6%	1.8%	41.8K	-812.8K	-3.7K	0.40	91.16	N/A	N/A	5	2	405	202
2012-09-19	$42.79	$42.00	17.6%	5.0%	16.3%	10.8%	0.0%	4.4%	2.6%	48.6K	-751.0K	-3.7K	0.00	90.66	N/A	N/A	0	0	410	204
2012-09-20	$42.96	$42.00	17.2%	4.9%	16.3%	10.1%	0.0%	4.8%	2.5%	47.9K	-747.6K	-3.8K	0.00	92.67	N/A	N/A	0	0	410	204
2012-09-21	$43.05	$42.00	16.4%	4.7%	15.7%	8.7%	0.0%	3.7%	2.8%	47.4K	-820.8K	-3.6K	0.00	91.28	N/A	N/A	0	0	410	204
2012-09-24	$42.83	$42.00	16.6%	4.8%	15.8%	9.1%	0.0%	3.9%	1.0%	39.5K	-683.1K	-3.5K	0.00	100.35	N/A	N/A	35	0	386	199
2012-09-25	$42.23	$42.00	17.3%	5.0%	16.8%	10.3%	0.0%	5.3%	0.9%	42.8K	-623.6K	-3.6K	0.00	99.02	N/A	N/A	0	0	397	199
2012-09-26	$41.80	$42.00	18.3%	5.2%	17.2%	16.5%	0.0%	4.0%	0.6%	38.1K	-503.3K	-3.7K	0.40	98.93	N/A	N/A	5	2	397	199
2012-09-27	$42.38	$42.00	17.7%	5.1%	17.6%	15.1%	0.0%	4.7%	0.9%	44.3K	-606.5K	-3.7K	0.00	97.29	N/A	N/A	3	0	401	199
2012-09-28	$42.18	$42.00	16.9%	4.8%	17.2%	13.0%	0.0%	3.1%	1.3%	43.7K	-581.3K	-3.7K	0.00	100.63	N/A	N/A	0	0	404	199