IYE Options History — February 2014

In February 2014, IYE traded between $46.40 and $49.94. ATM implied volatility averaged 15.1%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 1.4% (HV 20d: 16.5%). Max pain ranged from $44.00 to $47.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.09.

Notable Days

2014-02-06: Highest Volume — 191 contracts
2014-02-13: Largest IV spike — 23.2% change
2014-02-03: Highest IV Rank — 53.9%
2014-02-03: Largest Expected Move — 5.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.47	$46.40	$49.94	$46.46	$49.92
Max Pain	$44.63	$44.00	$47.00	$47.00	$44.00
ATM IV	15.1%	12.2%	20.2%	20.2%	13.7%
Expected Move	4.4%	3.9%	5.8%	5.8%	3.9%
HV 20d	16.5%	15.3%	17.5%	15.3%	15.7%
HV 60d	13.9%	13.5%	14.2%	13.6%	14.0%
IV Rank	37.1%	15.1%	53.9%	53.9%	40.0%
IV Percentile	48.2%	2.8%	96.4%	96.4%	27.8%
Term Structure	0.1%	-1.4%	1.0%	-1.4%	1.0%
VWIV	15.0%	13.4%	18.1%	17.7%	13.4%
Skew 25d	3.7%	1.9%	6.3%	4.3%	3.4%
Skew 10d	5.7%	1.1%	10.1%	7.4%	4.7%
Call IV 25d	13.4%	10.7%	17.9%	17.3%	12.8%
Put IV 25d	17.2%	14.6%	21.6%	21.6%	16.1%
Bid-Ask Spread %	43.02	24.73	83.67	31.00	29.72
Gamma HHI	0.41	0.38	0.45	0.40	0.42
Net GEX	235.2K	149.9K	282.0K	149.9K	252.0K
Net DEX	-3.4M	-5.3M	-468.1K	-468.1K	-5.0M
Net VEX	-16.7K	-21.0K	-12.9K	-20.5K	-13.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.09	0.00	0.83	0.00	0.00
Total Volume	29.684	0	191	140	12
Total OI	3,431.632	3,319	3,480	3,319	3,429

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
2014-02-03	$46.46	$47.00	20.2%	5.8%	15.3%	53.9%	17.7%	4.3%	-1.4%	149.9K	-468.1K	-20.5K	0.00	31.00	N/A	N/A	140	0	1,670	1,649
2014-02-04	$46.85	$47.00	17.3%	5.0%	15.8%	39.8%	0.0%	6.3%	0.4%	185.0K	-1.0M	-21.0K	0.00	38.21	N/A	N/A	0	0	1,740	1,649
2014-02-05	$46.40	$47.00	20.0%	5.7%	15.4%	52.5%	0.0%	1.9%	-0.1%	159.0K	-679.9K	-20.6K	0.00	24.73	N/A	N/A	20	0	1,740	1,649
2014-02-06	$47.11	$47.00	17.1%	4.9%	16.8%	38.9%	0.0%	4.2%	0.5%	209.4K	-1.4M	-20.6K	0.00	25.80	N/A	N/A	191	0	1,740	1,649
2014-02-07	$47.62	$44.00	14.6%	4.5%	17.5%	26.9%	18.1%	3.6%	0.3%	236.7K	-2.3M	-19.6K	0.00	37.20	N/A	N/A	55	0	1,793	1,649
2014-02-10	$47.31	$44.00	16.1%	4.8%	17.5%	34.0%	0.0%	3.2%	-0.4%	249.7K	-2.1M	-19.2K	0.25	42.74	N/A	N/A	8	2	1,818	1,649
2014-02-11	$48.00	$44.00	13.1%	4.3%	17.0%	19.7%	0.0%	3.9%	-0.3%	266.4K	-3.0M	-17.9K	0.00	53.02	N/A	N/A	0	0	1,818	1,651
2014-02-12	$47.98	$44.00	12.2%	4.3%	16.3%	15.1%	0.0%	2.7%	-0.0%	282.0K	-3.1M	-17.7K	0.00	40.20	N/A	N/A	0	0	1,818	1,651
2014-02-13	$48.25	$44.00	15.0%	4.3%	16.5%	28.6%	13.7%	3.5%	0.4%	270.6K	-3.4M	-17.2K	0.00	47.70	N/A	N/A	0	1	1,818	1,651
2014-02-14	$48.95	$44.00	14.2%	4.1%	17.3%	25.0%	0.0%	4.5%	0.6%	237.8K	-4.2M	-15.9K	0.00	45.36	N/A	N/A	24	0	1,818	1,652
2014-02-18	$49.14	$44.00	14.6%	4.2%	17.4%	26.9%	0.0%	5.5%	0.3%	243.2K	-4.5M	-15.3K	0.00	41.69	N/A	N/A	0	0	1,828	1,652
2014-02-19	$49.09	$44.00	15.1%	4.3%	17.3%	50.3%	14.6%	2.7%	-0.9%	254.2K	-4.6M	-15.0K	0.03	45.28	N/A	N/A	34	1	1,828	1,652
2014-02-20	$49.48	$44.00	14.8%	4.3%	17.5%	48.5%	0.0%	3.7%	0.3%	231.4K	-4.6M	-14.9K	0.00	40.66	N/A	N/A	19	0	1,801	1,652
2014-02-21	$49.17	$44.00	13.9%	4.0%	17.2%	40.5%	0.0%	4.5%	0.9%	249.3K	-4.5M	-14.5K	0.00	38.51	N/A	N/A	3	0	1,804	1,652
2014-02-24	$49.93	$44.00	14.0%	4.0%	16.0%	41.4%	14.0%	2.8%	0.2%	243.7K	-5.3M	-13.0K	0.00	83.67	N/A	N/A	25	0	1,733	1,651
2014-02-25	$49.94	$44.00	13.8%	4.0%	15.8%	40.1%	13.7%	3.2%	0.2%	235.9K	-5.0M	-13.5K	0.83	43.84	N/A	N/A	12	10	1,750	1,651
2014-02-26	$49.62	$44.00	14.0%	4.0%	15.9%	42.7%	0.0%	3.3%	0.4%	248.9K	-4.7M	-14.0K	0.00	58.19	N/A	N/A	0	0	1,762	1,661
2014-02-27	$49.67	$44.00	13.8%	4.0%	15.7%	40.5%	0.0%	3.9%	0.5%	262.9K	-4.8M	-12.9K	0.00	49.90	N/A	N/A	7	0	1,762	1,661
2014-02-28	$49.92	$44.00	13.7%	3.9%	15.7%	40.0%	13.4%	3.4%	1.0%	252.0K	-5.0M	-13.3K	0.00	29.72	N/A	N/A	12	0	1,768	1,661