IHY Options History — December 2013

In December 2013, IHY traded between $27.01 and $27.33. ATM implied volatility averaged 9.3%. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 4.4% (HV 20d: 5.0%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days.

Notable Days

  • 2013-12-26: Highest Volume — 1 contracts
  • 2013-12-18: Largest IV spike — 19.6% change
  • 2013-12-24: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.18$27.01$27.33$27.04$27.25
ATM IV9.3%7.9%11.1%9.6%8.1%
Expected Move2.6%2.3%3.0%2.8%2.3%
HV 20d5.0%4.7%5.3%5.0%4.7%
Term Structure-0.3%-2.4%0.9%-0.9%-0.9%
Skew 25d-2.1%-21.3%3.2%-17.1%0.2%
Skew 10d-4.6%-24.7%1.7%-19.4%0.3%
Call IV 25d13.6%8.1%32.6%27.8%8.6%
Put IV 25d11.6%8.4%19.2%10.7%8.8%
Bid-Ask Spread %82.8951.06125.4770.8251.06
Gamma HHI1.001.001.001.001.00
Net GEX-31-22700-227
Net DEX20401.4K01.4K
Net VEX-1-600-6
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume0.0480100
Total OI0.1430101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$27.04$0.009.6%2.8%0.0%0.0%0.0%-17.1%-0.9%0000.0070.820000
2013-12-03$27.01$0.009.4%2.7%0.0%0.0%0.0%-12.4%-0.6%0000.0069.400000
2013-12-04$27.06$0.009.1%2.6%0.0%0.0%0.0%-21.3%-0.5%0000.0066.510000
2013-12-05$27.10$0.009.9%2.8%0.0%0.0%0.0%-13.4%-0.9%0000.0066.130000
2013-12-06$27.05$0.0010.3%2.5%0.0%0.0%0.0%1.6%0.2%0000.00125.470000
2013-12-09$27.21$0.009.3%2.4%0.0%0.0%0.0%2.1%0.5%0000.0093.650000
2013-12-10$27.21$0.0011.1%2.4%0.0%0.0%0.0%1.9%0.1%0000.0095.310000
2013-12-11$27.11$0.0010.4%2.6%0.0%0.0%0.0%1.9%-0.0%0000.0094.590000
2013-12-12$27.21$0.008.7%2.5%5.0%0.0%0.0%3.2%0.7%0000.0090.040000
2013-12-13$27.20$0.008.8%2.5%4.8%0.0%0.0%2.9%0.5%0000.0088.200000
2013-12-16$27.18$0.009.2%2.6%4.7%0.0%0.0%2.9%0.1%0000.0089.520000
2013-12-17$27.08$0.008.6%2.5%4.8%0.0%0.0%3.1%0.4%0000.0084.440000
2013-12-18$27.26$0.0010.3%2.9%5.2%0.0%0.0%-7.8%-0.1%0000.0098.080000
2013-12-19$27.20$0.0010.1%2.9%5.2%0.0%0.0%2.1%-0.5%0000.0096.990000
2013-12-20$27.25$0.008.6%2.5%5.2%0.0%0.0%1.1%0.4%0000.0087.520000
2013-12-23$27.28$0.009.0%2.6%4.9%0.0%0.0%1.7%-0.6%0000.0070.210000
2013-12-24$27.32$0.0010.5%3.0%4.9%0.0%0.0%1.3%-2.4%0000.00102.220000
2013-12-26$27.33$0.008.6%2.5%4.9%0.0%0.0%-0.1%-1.1%0000.0053.100100
2013-12-27$27.20$0.007.9%2.3%5.2%0.0%0.0%1.4%0.9%-2121.4K-60.0078.410001
2013-12-30$27.26$0.008.8%2.5%5.3%0.0%0.0%1.0%-1.2%-2181.4K-60.0069.060001
2013-12-31$27.25$0.008.1%2.3%4.7%0.0%0.0%0.2%-0.9%-2271.4K-60.0051.060001