IYE Options History — February 2017

In February 2017, IYE traded between $38.89 and $40.52. ATM implied volatility averaged 22.3%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 8.3% (HV 20d: 14.0%). Max pain ranged from $42.00 to $42.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.46.

Notable Days

2017-02-24: Highest Volume — 249 contracts
2017-02-28: Largest IV spike — 318.4% change
2017-02-28: Highest IV Rank — 100.0%
2017-02-28: Largest Expected Move — 20.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.79	$38.89	$40.52	$39.86	$39.13
Max Pain	$42.00	$42.00	$42.00	$42.00	$42.00
ATM IV	22.3%	11.2%	72.6%	15.8%	72.6%
Expected Move	6.5%	4.3%	20.8%	4.5%	20.8%
HV 20d	14.0%	12.3%	15.7%	12.3%	14.5%
HV 60d	17.8%	13.2%	18.8%	18.8%	13.2%
IV Rank	19.4%	0.0%	100.0%	4.8%	100.0%
IV Percentile	26.3%	0.0%	100.0%	4.8%	100.0%
Term Structure	-2.2%	-26.2%	4.4%	4.4%	-26.2%
VWIV	20.5%	12.6%	62.6%	24.9%	47.2%
Skew 25d	0.3%	-61.4%	11.2%	9.2%	7.4%
Skew 10d	2.9%	-48.1%	23.4%	6.1%	-48.1%
Call IV 25d	19.8%	13.3%	78.5%	17.7%	16.1%
Put IV 25d	20.1%	16.6%	29.8%	26.9%	23.5%
Bid-Ask Spread %	124.97	99.15	143.53	139.11	139.62
Gamma HHI	0.19	0.15	0.26	0.20	0.15
Net GEX	13.0K	2.4K	21.2K	6.5K	19.1K
Net DEX	-51.6K	-160.6K	77.8K	-5.6K	-160.6K
Net VEX	-1.3K	-1.7K	-1.1K	-1.3K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.30	0.58	0.48	0.30
Total Volume	228	202	249	215	249
Total OI	344.632	300	364	312	357

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
2017-02-01	$39.86	$42.00	15.8%	4.5%	12.3%	4.8%	24.9%	9.2%	4.4%	6.5K	-5.6K	-1.3K	0.48	139.11	N/A	N/A	145	70	220	92
2017-02-02	$40.03	$42.00	16.4%	4.9%	12.5%	6.0%	15.3%	3.6%	0.5%	7.8K	-11.3K	-1.3K	0.47	112.75	N/A	N/A	150	70	220	92
2017-02-03	$40.52	$42.00	11.2%	4.5%	13.5%	0.0%	13.7%	3.7%	1.1%	9.7K	-70.2K	-1.4K	0.47	123.43	N/A	N/A	150	70	240	92
2017-02-06	$40.10	$42.00	16.1%	4.8%	13.8%	9.0%	14.2%	2.9%	-0.0%	11.4K	-66.6K	-1.4K	0.53	117.92	N/A	N/A	132	70	240	92
2017-02-07	$39.53	$42.00	14.0%	5.0%	13.6%	5.2%	15.1%	0.1%	0.1%	10.9K	14.2K	-1.2K	0.55	122.20	N/A	N/A	142	78	242	92
2017-02-08	$39.56	$42.00	21.2%	6.1%	13.4%	18.4%	22.5%	2.4%	-0.4%	18.2K	15.0K	-1.4K	0.55	141.40	N/A	N/A	142	78	252	102
2017-02-09	$39.96	$42.00	16.8%	4.8%	13.5%	10.4%	14.2%	4.3%	0.3%	15.3K	-17.0K	-1.3K	0.55	102.25	N/A	N/A	142	78	252	102
2017-02-10	$40.29	$42.00	16.7%	4.8%	13.9%	10.1%	13.4%	3.3%	-0.2%	9.6K	-81.1K	-1.4K	0.55	99.15	N/A	N/A	142	78	252	102
2017-02-13	$40.35	$42.00	16.9%	4.8%	13.9%	10.5%	15.9%	2.6%	-0.1%	10.4K	-68.6K	-1.3K	0.55	119.00	N/A	N/A	142	78	252	102
2017-02-14	$40.47	$42.00	15.9%	4.5%	13.9%	8.6%	14.0%	1.7%	0.5%	2.4K	-77.1K	-1.3K	0.55	112.45	N/A	N/A	142	78	252	102
2017-02-15	$40.33	$42.00	21.0%	6.0%	13.9%	18.0%	19.2%	11.2%	-6.4%	4.9K	-94.1K	-1.3K	0.58	138.63	N/A	N/A	142	82	252	102
2017-02-16	$39.75	$42.00	15.2%	4.3%	14.6%	7.3%	12.6%	3.3%	1.1%	3.7K	-899	-1.2K	0.53	128.51	N/A	N/A	155	82	252	112
2017-02-17	$39.51	$42.00	16.5%	4.7%	14.6%	9.8%	14.9%	1.8%	0.1%	18.1K	77.8K	-1.1K	0.53	117.88	N/A	N/A	155	82	252	112
2017-02-21	$39.83	$42.00	17.4%	5.0%	14.7%	11.3%	15.8%	2.1%	-0.4%	19.7K	-82.5K	-1.1K	0.31	122.44	N/A	N/A	179	55	237	63
2017-02-22	$39.19	$42.00	15.8%	4.5%	14.8%	8.6%	17.3%	-0.0%	1.3%	21.1K	-75.0K	-1.2K	0.32	130.79	N/A	N/A	179	58	287	63
2017-02-23	$39.33	$42.00	24.7%	7.1%	14.7%	24.9%	21.2%	6.0%	-4.6%	21.2K	-72.8K	-1.2K	0.32	140.72	N/A	N/A	181	58	289	66
2017-02-24	$38.89	$42.00	62.0%	17.8%	15.0%	93.5%	62.6%	-61.4%	-14.3%	18.1K	-159.3K	-1.7K	0.30	143.53	N/A	N/A	191	58	289	66
2017-02-27	$39.39	$42.00	17.4%	5.0%	15.7%	11.4%	15.4%	2.2%	0.8%	19.3K	-44.7K	-1.1K	0.30	122.69	N/A	N/A	191	58	291	66
2017-02-28	$39.13	$42.00	72.6%	20.8%	14.5%	100.0%	47.2%	7.4%	-26.2%	19.1K	-160.6K	-1.6K	0.30	139.62	N/A	N/A	191	58	291	66