IHY Options History — February 2014

In February 2014, IHY traded between $26.75 and $27.62. ATM implied volatility averaged 7.9%. The 30-day expected move averaged 2.2%. IV traded above realized volatility by 3.5% (HV 20d: 4.3%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 0 of 19 days.

Notable Days

  • 2014-02-13: Largest IV drop — 25.4% change
  • 2014-02-06: Largest Expected Move — 2.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.18$26.75$27.62$26.82$27.62
ATM IV7.9%7.2%9.7%7.5%7.6%
Expected Move2.2%1.9%2.5%2.2%2.2%
HV 20d4.3%3.5%4.9%3.8%4.4%
HV 60d4.4%4.3%4.5%4.4%4.3%
Term Structure-0.9%-2.8%-0.1%-0.5%-0.4%
Skew 25d1.6%0.8%3.1%1.9%3.1%
Skew 10d1.8%1.0%2.9%1.4%1.5%
Call IV 25d6.8%5.5%9.3%7.9%5.5%
Put IV 25d8.4%7.4%10.9%9.8%8.6%
Bid-Ask Spread %87.5965.70111.9492.4285.22
Gamma HHI1.001.001.001.001.00
Net GEX-315-356-258-274-284
Net DEX1.4K7731.8K1.8K773
Net VEX-4-5-3-4-3
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI11111

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$26.82$0.007.5%2.2%3.8%0.0%0.0%1.9%-0.5%-2741.8K-40.0092.420001
2014-02-04$26.80$0.008.8%2.5%3.5%0.0%0.0%1.4%-1.1%-2581.8K-40.00103.440001
2014-02-05$26.75$0.007.8%2.2%3.5%0.0%0.0%2.4%-0.5%-2661.8K-40.0092.370001
2014-02-06$26.90$0.008.8%2.5%4.1%0.0%0.0%1.5%-2.8%-2781.7K-50.00103.120001
2014-02-07$26.90$0.007.4%1.9%4.1%0.0%0.0%0.8%-0.4%-3011.7K-40.0094.430001
2014-02-10$26.96$0.008.3%2.1%4.1%0.0%0.0%1.1%-0.6%-3001.6K-40.00106.480001
2014-02-11$27.09$0.008.6%2.0%4.5%0.0%0.0%1.7%-0.6%-3151.5K-50.00104.380001
2014-02-12$27.09$0.009.7%2.2%4.5%0.0%0.0%2.0%-0.1%-2971.5K-50.00111.940001
2014-02-13$27.12$0.007.3%2.1%4.4%0.0%0.0%1.4%-0.6%-3271.5K-50.0099.860001
2014-02-14$27.20$0.007.3%2.1%4.5%0.0%0.0%1.8%-0.6%-3251.4K-50.00105.720001
2014-02-18$27.31$0.007.3%2.1%4.7%0.0%0.0%1.5%-0.8%-3341.3K-40.0077.640001
2014-02-19$27.32$0.007.4%2.1%4.7%0.0%0.0%1.6%-0.8%-3561.2K-40.0070.510001
2014-02-20$27.26$0.007.6%2.2%4.8%0.0%0.0%1.0%-1.1%-3381.3K-40.0078.900001
2014-02-21$27.36$0.007.2%2.1%4.9%0.0%0.0%1.4%-0.8%-3531.2K-40.0067.510001
2014-02-24$27.43$0.007.5%2.1%4.6%0.0%0.0%2.1%-0.8%-3541.1K-40.0066.180001
2014-02-25$27.47$0.007.5%2.2%4.5%0.0%0.0%1.4%-1.0%-3481.1K-40.0067.590001
2014-02-26$27.46$0.007.7%2.2%4.5%0.0%0.0%1.4%-1.2%-3381.1K-40.0070.740001
2014-02-27$27.50$0.008.2%2.4%4.5%0.0%0.0%1.6%-2.0%-3461.0K-40.0065.700001
2014-02-28$27.62$0.007.6%2.2%4.4%0.0%0.0%3.1%-0.4%-284773-30.0085.220001