IYE Options History — February 2013

In February 2013, IYE traded between $43.25 and $45.14. ATM implied volatility averaged 16.2%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.5% (HV 20d: 12.6%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.01.

Notable Days

2013-02-26: Highest Volume — 63 contracts
2013-02-15: Largest IV spike — 100.5% change
2013-02-15: Highest IV Rank — 39.2%
2013-02-15: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.45	$43.25	$45.14	$44.67	$44.33
Max Pain	$45.16	$43.00	$46.00	$46.00	$43.00
ATM IV	16.2%	12.3%	29.8%	12.7%	16.6%
Expected Move	4.7%	4.0%	8.6%	4.2%	4.8%
HV 20d	12.6%	10.1%	17.3%	10.1%	17.2%
HV 60d	14.4%	13.4%	15.8%	15.8%	15.3%
IV Rank	9.7%	1.4%	39.2%	2.2%	10.6%
IV Percentile	18.8%	0.4%	93.7%	0.4%	21.8%
Term Structure	2.2%	-2.0%	21.4%	0.7%	0.2%
VWIV	17.1%	14.8%	19.4%	14.8%	19.4%
Skew 25d	4.9%	2.8%	17.2%	4.3%	5.2%
Skew 10d	4.9%	-7.1%	11.3%	4.4%	3.4%
Call IV 25d	14.0%	8.3%	25.5%	12.6%	12.1%
Put IV 25d	18.9%	14.2%	42.6%	17.0%	17.3%
Bid-Ask Spread %	59.42	33.79	149.25	49.91	37.14
Gamma HHI	0.40	0.39	0.42	0.40	0.39
Net GEX	103.7K	84.6K	126.3K	92.3K	126.3K
Net DEX	-2.6M	-3.5M	-1.5M	-2.7M	-2.9M
Net VEX	-16.1K	-18.1K	-13.9K	-17.9K	-14.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.03	0.00	0.00
Total Volume	8.211	0	63	0	60
Total OI	2,395.789	2,373	2,421	2,398	2,416

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
2013-02-01	$44.67	$46.00	12.7%	4.2%	10.1%	2.2%	0.0%	4.3%	0.7%	92.3K	-2.7M	-17.9K	0.00	49.91	N/A	N/A	0	0	1,358	1,040
2013-02-04	$44.21	$46.00	15.7%	4.7%	10.8%	8.7%	0.0%	3.5%	0.1%	92.4K	-2.4M	-18.1K	0.00	52.08	N/A	N/A	0	0	1,358	1,040
2013-02-05	$44.56	$46.00	13.4%	4.3%	10.4%	3.7%	0.0%	3.7%	0.7%	97.4K	-2.7M	-17.2K	0.00	52.56	N/A	N/A	0	0	1,358	1,040
2013-02-06	$44.55	$46.00	12.3%	4.4%	10.3%	1.4%	0.0%	2.8%	0.7%	98.3K	-2.7M	-17.4K	0.00	47.67	N/A	N/A	0	0	1,358	1,040
2013-02-07	$44.45	$46.00	15.7%	4.5%	10.4%	8.7%	0.0%	3.6%	0.3%	96.0K	-2.6M	-17.3K	0.00	51.69	N/A	N/A	0	0	1,358	1,040
2013-02-08	$44.82	$46.00	14.0%	4.0%	10.4%	5.0%	0.0%	3.5%	1.4%	102.2K	-3.0M	-16.5K	0.00	43.27	N/A	N/A	0	0	1,358	1,040
2013-02-11	$44.55	$46.00	14.8%	4.2%	10.9%	6.7%	14.8%	3.0%	0.5%	101.7K	-2.8M	-16.3K	0.00	33.79	N/A	N/A	13	0	1,358	1,040
2013-02-12	$44.65	$45.00	14.4%	4.1%	10.8%	5.8%	0.0%	3.0%	0.8%	107.9K	-2.9M	-16.0K	0.00	49.16	N/A	N/A	0	0	1,363	1,040
2013-02-13	$44.82	$45.00	14.0%	4.0%	10.8%	5.0%	0.0%	3.0%	1.1%	111.0K	-3.1M	-15.7K	0.00	51.34	N/A	N/A	0	0	1,363	1,040
2013-02-14	$45.14	$45.00	14.9%	4.3%	10.9%	6.9%	0.0%	4.0%	-0.3%	109.1K	-3.5M	-14.5K	0.00	114.40	N/A	N/A	0	0	1,363	1,040
2013-02-15	$44.66	$45.00	29.8%	8.6%	11.7%	39.2%	0.0%	17.2%	21.4%	94.0K	-2.0M	-17.2K	0.00	149.25	N/A	N/A	0	0	1,360	1,040
2013-02-19	$45.14	$45.00	14.3%	4.1%	11.9%	5.6%	0.0%	5.9%	15.5%	119.8K	-3.5M	-13.9K	0.00	116.36	N/A	N/A	0	0	1,348	1,040
2013-02-20	$44.29	$45.00	16.4%	4.7%	13.8%	10.1%	0.0%	4.9%	-0.7%	107.5K	-2.7M	-15.5K	0.00	49.43	N/A	N/A	0	5	1,348	1,040
2013-02-21	$44.01	$45.00	16.2%	4.6%	13.9%	9.7%	0.0%	4.4%	0.1%	106.0K	-2.2M	-16.0K	0.00	43.66	N/A	N/A	5	0	1,348	1,035
2013-02-22	$44.43	$45.00	16.0%	4.6%	14.3%	9.4%	0.0%	7.1%	0.4%	111.7K	-2.5M	-15.3K	0.00	60.66	N/A	N/A	0	0	1,343	1,035
2013-02-25	$43.25	$45.00	21.1%	6.0%	17.0%	20.2%	0.0%	3.1%	-2.0%	84.6K	-1.5M	-15.9K	0.00	41.98	N/A	N/A	5	0	1,343	1,035
2013-02-26	$43.65	$45.00	18.0%	5.2%	17.3%	13.6%	19.4%	4.7%	0.2%	90.8K	-1.7M	-15.6K	0.03	43.01	N/A	N/A	61	2	1,338	1,035
2013-02-27	$44.34	$43.00	17.0%	4.9%	17.3%	11.5%	0.0%	6.2%	0.7%	122.2K	-2.7M	-15.0K	0.00	41.65	N/A	N/A	5	0	1,386	1,035
2013-02-28	$44.33	$43.00	16.6%	4.8%	17.2%	10.6%	0.0%	5.2%	0.2%	126.3K	-2.9M	-14.3K	0.00	37.14	N/A	N/A	60	0	1,381	1,035