IYE Options History — January 2017

In January 2017, IYE traded between $40.09 and $42.03. ATM implied volatility averaged 16.3%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.4% (HV 20d: 11.9%). Max pain ranged from $40.00 to $42.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2017-01-20: Highest Volume — 305 contracts
2017-01-11: Largest IV spike — 42.5% change
2017-01-11: Highest IV Rank — 11.5%
2017-01-11: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.18	$40.09	$42.03	$42.03	$40.09
Max Pain	$41.25	$40.00	$42.00	$40.00	$42.00
ATM IV	16.3%	13.3%	19.9%	16.8%	16.2%
Expected Move	4.9%	3.8%	5.7%	4.8%	4.6%
HV 20d	11.9%	10.0%	13.7%	12.7%	13.4%
HV 60d	18.5%	18.2%	18.8%	18.6%	18.7%
IV Rank	4.5%	0.0%	11.5%	4.6%	5.5%
IV Percentile	7.8%	0.0%	26.2%	7.5%	7.5%
Term Structure	1.4%	-1.2%	3.5%	1.9%	1.7%
VWIV	17.0%	13.1%	20.1%	16.0%	15.2%
Skew 25d	1.8%	-12.8%	6.6%	0.9%	2.5%
Skew 10d	3.3%	-13.4%	9.6%	0.0%	7.9%
Call IV 25d	16.5%	11.2%	32.0%	17.0%	15.5%
Put IV 25d	18.3%	12.1%	20.8%	17.9%	17.9%
Bid-Ask Spread %	119.25	97.76	140.90	109.67	122.11
Gamma HHI	0.35	0.15	0.52	0.46	0.20
Net GEX	21.6K	-27.4K	45.8K	29.2K	8.5K
Net DEX	-462.2K	-741.4K	-37.4K	-730.7K	-37.4K
Net VEX	-1.3K	-1.5K	-1.0K	-1.4K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.44	1.64	1.61	0.48
Total Volume	213.95	123	305	214	215
Total OI	412.3	205	503	489	312

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
2017-01-03	$42.03	$40.00	16.8%	4.8%	12.7%	4.6%	16.0%	0.9%	1.9%	29.2K	-730.7K	-1.4K	1.61	109.67	N/A	N/A	82	132	307	182
2017-01-04	$42.03	$40.00	16.6%	4.8%	12.3%	4.3%	16.4%	2.6%	1.8%	20.2K	-741.4K	-1.4K	1.61	115.88	N/A	N/A	82	132	308	182
2017-01-05	$41.90	$41.00	16.1%	5.2%	12.4%	3.3%	19.3%	2.6%	1.5%	22.0K	-724.2K	-1.4K	1.57	99.87	N/A	N/A	84	132	309	182
2017-01-06	$41.97	$41.00	16.3%	5.3%	12.4%	3.7%	19.1%	3.0%	1.4%	24.9K	-737.7K	-1.4K	1.57	97.76	N/A	N/A	84	132	312	182
2017-01-09	$41.30	$41.00	15.7%	5.5%	13.3%	2.6%	18.9%	2.8%	1.0%	35.8K	-595.6K	-1.5K	1.55	113.85	N/A	N/A	85	132	312	182
2017-01-10	$40.94	$41.00	14.0%	5.6%	13.4%	0.0%	20.1%	2.4%	1.5%	36.9K	-585.7K	-1.3K	1.61	120.01	N/A	N/A	83	134	310	182
2017-01-11	$41.31	$41.00	19.9%	5.7%	13.7%	11.5%	19.7%	2.5%	-0.1%	45.8K	-614.1K	-1.3K	1.61	113.45	N/A	N/A	83	134	311	184
2017-01-12	$41.18	$41.00	18.8%	5.4%	12.3%	9.3%	18.6%	2.5%	1.8%	32.2K	-620.4K	-1.4K	1.64	117.63	N/A	N/A	83	136	311	184
2017-01-13	$41.12	$41.00	18.2%	5.2%	10.2%	8.2%	19.1%	3.1%	1.4%	41.5K	-604.5K	-1.2K	1.53	128.47	N/A	N/A	89	136	311	186
2017-01-17	$41.25	$41.00	18.4%	5.3%	10.3%	8.6%	17.9%	3.4%	1.6%	32.0K	-650.6K	-1.1K	1.64	100.13	N/A	N/A	89	146	317	186
2017-01-18	$41.14	$42.00	17.5%	5.0%	10.0%	6.9%	17.4%	2.4%	2.0%	23.7K	-534.4K	-1.2K	1.64	130.38	N/A	N/A	89	146	305	196
2017-01-19	$40.88	$42.00	16.2%	4.6%	10.1%	4.3%	17.4%	-12.8%	2.1%	36.2K	-482.9K	-1.1K	1.64	138.29	N/A	N/A	89	146	306	187
2017-01-20	$41.07	$42.00	15.9%	4.6%	10.3%	3.7%	13.9%	4.4%	3.3%	-27.4K	-610.2K	-1.0K	0.93	120.80	N/A	N/A	158	147	306	187
2017-01-23	$40.67	$42.00	16.4%	4.7%	10.8%	4.8%	16.0%	3.2%	1.2%	6.2K	-116.1K	-1.1K	0.76	107.88	N/A	N/A	70	53	145	60
2017-01-24	$41.14	$42.00	14.2%	4.1%	11.6%	0.4%	15.5%	6.6%	1.4%	4.8K	-131.5K	-1.0K	0.59	133.73	N/A	N/A	90	53	147	63
2017-01-25	$41.33	$41.00	18.1%	5.2%	11.8%	8.1%	17.6%	6.0%	-1.2%	13.2K	-198.2K	-1.2K	0.46	140.90	N/A	N/A	139	64	170	63
2017-01-26	$41.33	$41.00	14.4%	4.1%	11.7%	0.9%	13.1%	0.9%	1.1%	16.4K	-240.8K	-1.5K	0.48	133.46	N/A	N/A	132	64	208	74
2017-01-27	$40.85	$41.00	13.9%	4.0%	12.0%	0.0%	13.5%	0.8%	-0.7%	16.0K	-174.4K	-1.4K	0.44	122.29	N/A	N/A	146	64	208	74
2017-01-30	$40.11	$42.00	13.3%	3.8%	13.5%	0.0%	15.1%	-3.1%	3.5%	13.2K	-113.2K	-1.4K	0.53	118.46	N/A	N/A	146	78	221	74
2017-01-31	$40.09	$42.00	16.2%	4.6%	13.4%	5.5%	15.2%	2.5%	1.7%	8.5K	-37.4K	-1.4K	0.48	122.11	N/A	N/A	145	70	222	90