IYE Options History — April 2017

In April 2017, IYE traded between $37.15 and $39.10. ATM implied volatility averaged 17.3%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 4.2% (HV 20d: 13.2%). Max pain ranged from $36.00 to $40.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.32.

Notable Days

2017-04-20: Highest Volume — 309 contracts
2017-04-19: Largest IV spike — 58.2% change
2017-04-19: Highest IV Rank — 28.2%
2017-04-19: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.10	$37.15	$39.10	$38.53	$37.28
Max Pain	$38.00	$36.00	$40.00	$38.00	$36.00
ATM IV	17.3%	13.5%	28.5%	15.9%	14.9%
Expected Move	5.1%	3.9%	8.2%	4.6%	4.3%
HV 20d	13.2%	10.5%	15.7%	15.7%	13.1%
HV 60d	15.1%	14.6%	15.5%	15.0%	15.2%
IV Rank	10.0%	3.8%	28.2%	7.7%	6.1%
IV Percentile	24.7%	1.2%	92.9%	9.9%	6.0%
Term Structure	1.2%	-14.6%	9.1%	0.3%	2.4%
VWIV	16.6%	13.7%	21.2%	14.1%	14.7%
Skew 25d	2.0%	-9.1%	6.6%	-2.0%	3.9%
Skew 10d	3.6%	-4.0%	9.3%	3.0%	5.1%
Call IV 25d	16.3%	12.8%	26.7%	14.1%	13.3%
Put IV 25d	18.3%	12.1%	21.0%	12.1%	17.1%
Bid-Ask Spread %	109.50	90.39	134.36	112.86	108.96
Gamma HHI	0.29	0.19	0.36	0.27	0.27
Net GEX	26.5K	9.2K	42.8K	24.8K	24.1K
Net DEX	96.7K	-22.6K	206.2K	133.2K	63.3K
Net VEX	-837	-1.1K	-569	-779	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.32	0.30	0.43	0.34	0.30
Total Volume	268.737	167	309	266	215
Total OI	407.263	263	479	408	346

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
2017-04-03	$38.53	$38.00	15.9%	4.6%	15.7%	7.7%	14.1%	-2.0%	0.3%	24.8K	133.2K	-779	0.34	112.86	N/A	N/A	198	68	299	109
2017-04-04	$38.71	$38.00	13.5%	3.9%	15.5%	3.8%	14.8%	-1.2%	1.8%	28.1K	123.6K	-776	0.30	104.91	N/A	N/A	227	68	299	109
2017-04-05	$38.60	$38.00	18.3%	5.3%	12.5%	11.6%	19.8%	-9.1%	9.1%	34.1K	7.3K	-1.1K	0.31	134.36	N/A	N/A	221	68	327	109
2017-04-06	$38.86	$40.00	15.3%	4.4%	12.6%	6.8%	13.7%	4.9%	2.4%	38.5K	32.0K	-1.0K	0.31	90.39	N/A	N/A	220	68	327	109
2017-04-07	$38.69	$40.00	14.6%	4.6%	12.6%	5.6%	14.7%	2.9%	1.7%	37.9K	39.7K	-959	0.31	104.83	N/A	N/A	220	68	328	109
2017-04-10	$39.10	$40.00	15.0%	4.9%	13.1%	6.2%	17.8%	3.2%	1.4%	42.8K	10.2K	-933	0.31	92.44	N/A	N/A	220	69	328	109
2017-04-11	$38.99	$40.00	15.4%	5.5%	12.6%	6.9%	16.9%	2.3%	-0.5%	40.3K	23.4K	-946	0.31	94.03	N/A	N/A	224	69	328	110
2017-04-12	$38.79	$40.00	23.6%	6.8%	10.5%	20.2%	21.2%	3.5%	-3.1%	37.6K	-22.6K	-1.1K	0.31	126.95	N/A	N/A	221	69	333	110
2017-04-13	$38.12	$39.00	18.7%	5.4%	12.0%	12.2%	18.4%	0.2%	1.4%	35.3K	75.9K	-903	0.31	100.29	N/A	N/A	230	71	350	110
2017-04-17	$38.01	$39.00	17.7%	5.1%	12.0%	10.6%	17.6%	2.5%	2.9%	30.3K	116.2K	-802	0.31	98.79	N/A	N/A	230	71	350	112
2017-04-18	$37.87	$39.00	18.0%	5.2%	12.0%	11.1%	17.0%	3.5%	1.6%	25.2K	146.6K	-764	0.31	97.04	N/A	N/A	230	71	349	114
2017-04-19	$37.15	$39.00	28.5%	8.2%	13.5%	28.2%	16.0%	6.6%	-14.6%	20.4K	152.9K	-686	0.33	131.57	N/A	N/A	232	76	349	114
2017-04-20	$37.49	$36.00	17.4%	5.0%	14.0%	10.2%	16.9%	4.3%	3.2%	17.4K	200.0K	-660	0.33	106.62	N/A	N/A	233	76	351	119
2017-04-21	$37.32	$36.00	19.2%	5.5%	14.0%	13.1%	17.5%	2.1%	1.5%	10.2K	206.2K	-651	0.33	128.35	N/A	N/A	233	76	360	119
2017-04-24	$37.50	$36.00	16.5%	4.7%	13.7%	8.6%	17.2%	2.5%	1.6%	9.2K	150.7K	-569	0.41	90.55	N/A	N/A	122	50	185	78
2017-04-25	$37.82	$36.00	15.6%	4.5%	14.0%	7.2%	14.6%	3.0%	0.8%	14.2K	141.7K	-684	0.43	111.33	N/A	N/A	117	50	196	83
2017-04-26	$37.77	$36.00	16.4%	4.7%	13.4%	8.4%	16.8%	5.4%	4.5%	15.5K	123.7K	-771	0.32	127.50	N/A	N/A	157	50	203	83
2017-04-27	$37.22	$36.00	14.5%	4.2%	13.2%	5.5%	16.3%	-0.7%	4.1%	18.4K	112.7K	-826	0.30	118.78	N/A	N/A	168	50	243	81
2017-04-28	$37.28	$36.00	14.9%	4.3%	13.1%	6.1%	14.7%	3.9%	2.4%	24.1K	63.3K	-1.1K	0.30	108.96	N/A	N/A	165	50	265	81