IYE Options History — March 2013

In March 2013, IYE traded between $44.10 and $45.55. ATM implied volatility averaged 14.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 1.0% (HV 20d: 15.3%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.27.

Notable Days

2013-03-20: Highest Volume — 31 contracts
2013-03-07: Largest IV drop — 17.1% change
2013-03-04: Highest IV Rank — 11.0%
2013-03-04: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.85	$44.10	$45.55	$44.28	$45.13
Max Pain	$42.20	$42.00	$43.00	$43.00	$43.00
ATM IV	14.3%	11.5%	16.8%	16.2%	14.3%
Expected Move	4.2%	3.6%	4.9%	4.6%	4.1%
HV 20d	15.3%	10.6%	17.1%	17.1%	10.6%
HV 60d	14.9%	13.7%	15.2%	15.2%	13.7%
IV Rank	5.9%	0.0%	11.0%	9.7%	6.0%
IV Percentile	9.0%	0.0%	23.8%	17.5%	8.3%
Term Structure	1.5%	0.3%	3.1%	1.2%	0.8%
VWIV	15.5%	12.3%	19.2%	19.2%	16.1%
Skew 25d	3.9%	2.6%	5.9%	4.0%	3.9%
Skew 10d	7.7%	1.6%	13.1%	4.1%	7.4%
Call IV 25d	13.0%	9.0%	15.4%	14.4%	11.8%
Put IV 25d	16.9%	14.7%	19.2%	18.5%	15.7%
Bid-Ask Spread %	42.44	22.02	78.00	45.31	22.02
Gamma HHI	0.38	0.36	0.41	0.40	0.37
Net GEX	172.7K	119.6K	217.3K	121.0K	217.3K
Net DEX	-3.8M	-4.8M	-2.4M	-2.5M	-4.7M
Net VEX	-10.5K	-14.7K	-6.8K	-14.7K	-6.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.00	1.38	0.60	0.00
Total Volume	5.9	0	31	0	0
Total OI	2,432.1	2,406	2,469	2,406	2,469

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
2013-03-01	$44.28	$43.00	16.2%	4.6%	17.1%	9.7%	0.0%	4.0%	1.2%	121.0K	-2.5M	-14.7K	0.00	45.31	N/A	N/A	0	0	1,371	1,035
2013-03-04	$44.10	$42.00	16.8%	4.9%	16.8%	11.0%	19.2%	4.0%	0.7%	119.6K	-2.4M	-14.4K	0.60	78.00	N/A	N/A	5	3	1,371	1,035
2013-03-05	$44.44	$42.00	16.0%	4.8%	16.7%	9.3%	0.0%	3.0%	0.3%	135.6K	-3.0M	-13.5K	0.00	59.76	N/A	N/A	0	0	1,376	1,035
2013-03-06	$44.48	$42.00	15.5%	4.7%	16.4%	8.3%	0.0%	3.3%	1.0%	142.7K	-3.1M	-13.1K	0.00	59.60	N/A	N/A	0	0	1,376	1,035
2013-03-07	$44.71	$42.00	12.9%	4.3%	16.5%	2.6%	0.0%	3.3%	2.6%	148.9K	-3.3M	-12.5K	0.00	57.04	N/A	N/A	0	0	1,376	1,035
2013-03-08	$44.88	$42.00	11.6%	4.0%	16.5%	0.0%	0.0%	3.5%	2.6%	159.7K	-3.6M	-12.0K	0.00	59.78	N/A	N/A	5	0	1,376	1,035
2013-03-11	$44.89	$42.00	13.4%	4.0%	16.3%	4.0%	0.0%	2.9%	2.4%	174.0K	-3.7M	-11.1K	0.00	59.30	N/A	N/A	0	0	1,381	1,035
2013-03-12	$44.95	$42.00	13.8%	4.1%	16.1%	4.8%	14.2%	4.2%	1.7%	173.4K	-3.8M	-10.9K	0.00	41.68	N/A	N/A	3	0	1,381	1,035
2013-03-13	$44.88	$42.00	11.5%	3.9%	16.1%	0.0%	0.0%	3.7%	2.3%	180.7K	-3.8M	-10.6K	0.00	40.57	N/A	N/A	0	0	1,384	1,035
2013-03-14	$45.55	$42.00	12.5%	3.6%	16.9%	2.1%	12.3%	5.7%	3.1%	172.4K	-4.5M	-9.1K	0.00	36.82	N/A	N/A	6	0	1,384	1,035
2013-03-15	$45.45	$42.00	14.0%	4.0%	16.8%	5.3%	0.0%	5.9%	2.3%	177.4K	-4.5M	-9.1K	0.00	39.73	N/A	N/A	2	0	1,387	1,035
2013-03-18	$45.08	$42.00	14.8%	4.2%	16.6%	7.0%	15.6%	4.7%	1.0%	170.0K	-4.0M	-9.7K	0.03	39.50	N/A	N/A	29	1	1,375	1,035
2013-03-19	$44.61	$42.00	15.4%	4.4%	16.5%	8.4%	14.3%	3.3%	1.1%	172.1K	-3.4M	-10.9K	1.38	26.52	N/A	N/A	8	11	1,404	1,036
2013-03-20	$44.91	$42.00	14.4%	4.1%	15.2%	6.3%	15.9%	3.4%	1.3%	185.6K	-4.0M	-9.9K	0.00	29.98	N/A	N/A	31	0	1,407	1,047
2013-03-21	$44.63	$42.00	15.1%	4.3%	15.2%	7.6%	0.0%	3.1%	1.3%	190.9K	-3.7M	-10.3K	0.00	41.43	N/A	N/A	0	0	1,418	1,047
2013-03-22	$44.98	$42.00	14.8%	4.3%	15.1%	7.1%	16.7%	2.6%	0.7%	199.5K	-4.5M	-7.7K	1.00	31.16	N/A	N/A	1	1	1,418	1,047
2013-03-25	$44.64	$42.00	14.9%	4.3%	11.6%	7.2%	16.1%	4.5%	0.7%	200.9K	-3.9M	-9.1K	0.00	26.10	N/A	N/A	0	9	1,410	1,047
2013-03-26	$45.15	$43.00	14.0%	4.0%	11.8%	5.3%	0.0%	4.8%	1.3%	204.9K	-4.6M	-7.5K	0.00	26.46	N/A	N/A	2	0	1,410	1,056
2013-03-27	$45.26	$43.00	14.4%	4.1%	10.6%	6.2%	0.0%	4.9%	1.1%	208.1K	-4.8M	-6.9K	0.00	27.98	N/A	N/A	1	0	1,412	1,056
2013-03-28	$45.13	$43.00	14.3%	4.1%	10.6%	6.0%	0.0%	3.9%	0.8%	217.3K	-4.7M	-6.8K	0.00	22.02	N/A	N/A	0	0	1,413	1,056