IYE Options History — January 2016

In January 2016, IYE traded between $29.09 and $33.96. ATM implied volatility averaged 37.4%, placing in the 65.8% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 2.1% (HV 20d: 35.3%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.18.

Notable Days

2016-01-14: Highest Volume — 1,207 contracts
2016-01-12: Largest IV spike — 43.5% change
2016-01-12: Highest IV Rank — 96.4%
2016-01-20: Largest Expected Move — 12.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.24	$29.09	$33.96	$33.81	$31.88
Max Pain	$32.26	$30.00	$34.00	$34.00	$30.00
ATM IV	37.4%	30.8%	48.8%	34.3%	35.7%
Expected Move	10.2%	7.9%	12.6%	8.4%	10.2%
HV 20d	35.3%	30.5%	42.9%	31.7%	42.8%
HV 60d	31.1%	27.8%	35.1%	28.2%	34.8%
IV Rank	65.8%	48.0%	96.4%	57.3%	61.3%
IV Percentile	93.8%	80.6%	99.6%	92.9%	90.5%
Term Structure	-0.9%	-5.1%	4.2%	-0.5%	-2.2%
VWIV	34.3%	26.2%	44.9%	28.6%	34.0%
Skew 25d	6.6%	3.9%	11.2%	5.4%	3.9%
Skew 10d	14.5%	-3.3%	32.9%	19.1%	20.0%
Call IV 25d	32.8%	26.5%	41.5%	27.7%	32.7%
Put IV 25d	39.4%	30.5%	47.2%	33.0%	36.5%
Bid-Ask Spread %	93.90	75.48	117.70	83.77	102.82
Gamma HHI	0.17	0.14	0.21	0.16	0.21
Net GEX	13.7K	622	31.0K	2.5K	31.0K
Net DEX	1.5M	-68.3K	2.8M	2.5M	-68.3K
Net VEX	-2.9K	-4.1K	-1.9K	-2.8K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.18	0.69	3.72	3.22	0.74
Total Volume	860.053	478	1,207	1,170	520
Total OI	1,335.105	647	1,850	1,704	968

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
2016-01-04	$33.81	$34.00	34.3%	8.4%	31.7%	57.3%	28.6%	5.4%	-0.5%	2.5K	2.5M	-2.8K	3.22	83.77	N/A	N/A	277	893	715	989
2016-01-05	$33.96	$34.00	31.7%	7.9%	31.8%	50.5%	27.4%	4.0%	-0.1%	5.3K	2.7M	-3.0K	3.36	75.48	N/A	N/A	259	870	704	989
2016-01-06	$32.63	$34.00	36.2%	8.5%	32.1%	62.6%	26.2%	5.7%	2.1%	6.3K	2.7M	-2.7K	3.06	93.62	N/A	N/A	284	869	705	992
2016-01-07	$31.96	$34.00	34.5%	10.1%	32.5%	58.0%	30.0%	6.9%	-1.6%	622	2.6M	-2.6K	3.13	83.09	N/A	N/A	284	890	702	992
2016-01-08	$31.43	$34.00	39.7%	10.0%	32.3%	71.9%	26.5%	6.8%	-0.7%	8.8K	2.8M	-2.2K	3.68	96.72	N/A	N/A	242	890	704	1,015
2016-01-11	$30.82	$34.00	34.0%	9.9%	32.3%	56.6%	33.6%	8.5%	-1.4%	5.7K	2.8M	-1.9K	3.72	93.71	N/A	N/A	239	890	704	1,015
2016-01-12	$30.85	$34.00	48.8%	10.0%	30.5%	96.4%	32.1%	6.0%	-3.2%	6.6K	2.8M	-1.9K	3.57	89.04	N/A	N/A	249	890	711	1,015
2016-01-13	$30.27	$34.00	36.5%	10.5%	30.7%	63.4%	34.0%	6.1%	2.3%	8.5K	2.6M	-2.2K	3.27	108.55	N/A	N/A	274	897	744	1,015
2016-01-14	$31.55	$33.00	30.8%	8.8%	32.7%	48.0%	33.1%	6.0%	0.1%	15.2K	2.7M	-2.4K	3.68	84.60	N/A	N/A	258	949	774	1,022
2016-01-15	$30.66	$33.00	37.9%	10.9%	33.7%	67.2%	39.4%	7.2%	-1.4%	11.4K	2.7M	-2.5K	3.72	92.45	N/A	N/A	255	949	777	1,073
2016-01-19	$29.99	$33.00	39.1%	11.2%	33.6%	70.4%	37.6%	9.3%	-5.1%	11.0K	303.4K	-2.5K	0.85	99.19	N/A	N/A	319	270	395	252
2016-01-20	$29.09	$31.00	44.0%	12.6%	34.5%	83.5%	44.9%	5.7%	1.2%	11.2K	406.7K	-2.7K	0.69	98.17	N/A	N/A	346	237	522	315
2016-01-21	$30.08	$31.00	41.0%	11.7%	37.3%	75.4%	38.3%	11.2%	-2.7%	17.9K	306.9K	-3.1K	0.85	88.25	N/A	N/A	286	243	572	317
2016-01-22	$31.22	$30.00	38.4%	11.0%	39.8%	68.6%	35.8%	7.3%	-2.6%	23.5K	124.5K	-3.6K	0.85	90.96	N/A	N/A	259	219	572	323
2016-01-25	$29.84	$30.00	37.1%	10.6%	38.3%	65.1%	39.9%	10.8%	1.2%	19.8K	224.0K	-3.5K	0.81	90.92	N/A	N/A	275	222	583	338
2016-01-26	$30.92	$30.00	41.3%	11.9%	41.2%	76.4%	37.6%	4.2%	-3.6%	21.7K	202.3K	-3.5K	0.79	98.00	N/A	N/A	282	222	600	341
2016-01-27	$30.75	$30.00	33.1%	9.5%	40.9%	54.2%	37.5%	5.3%	4.2%	24.9K	92.9K	-3.9K	0.76	117.70	N/A	N/A	291	222	609	341
2016-01-28	$31.76	$30.00	36.6%	10.5%	42.9%	63.7%	35.3%	5.6%	-2.4%	28.6K	-9.0K	-4.0K	0.74	97.00	N/A	N/A	298	222	621	341
2016-01-29	$31.88	$30.00	35.7%	10.2%	42.8%	61.3%	34.0%	3.9%	-2.2%	31.0K	-68.3K	-4.1K	0.74	102.82	N/A	N/A	298	222	627	341