IHY Options History — May 2014 In May 2014, IHY traded between $27.68 and $27.88. ATM implied volatility averaged 14.6%, placing in the 0.6% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded above realized volatility by 11.8% (HV 20d: 2.8%). Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-05-07 : Highest Volume — 71 contracts2014-05-05 : Largest IV spike — 1886.7% change2014-05-30 : Highest IV Rank — 1.3%2014-05-05 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $27.80 $27.68 $27.88 $27.68 $27.88 ATM IV 14.6% 4.7% 122.4% 7.0% 6.2% Expected Move 2.6% 1.3% 17.5% 2.0% 1.8% HV 20d 2.8% 1.9% 3.1% 3.1% 1.9% HV 60d 3.7% 2.7% 4.1% 4.1% 2.7% IV Rank 0.6% 0.0% 1.3% 0.2% 1.3% IV Percentile 3.4% 0.0% 9.2% 5.6% 9.2% Term Structure 0.5% -12.8% 3.8% 0.3% 2.1% Skew 25d -4.1% -42.6% 5.3% 5.3% -7.1% Skew 10d -20.6% -95.8% 2.8% -63.4% -17.0% Call IV 25d 16.2% 5.2% 74.8% 6.6% 15.7% Put IV 25d 12.0% 6.6% 73.2% 11.9% 8.6% Bid-Ask Spread % 142.85 103.77 200.00 132.03 149.80 Gamma HHI 0.35 0.33 0.42 0.36 0.37 Net GEX 6.4K -4.3K 20.9K 20 20.9K Net DEX -20.6K -157.9K 51.5K 3.6K -157.9K Net VEX -1.0K -1.4K -311 -357 -452 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 9.381 0 71 0 0 Total OI 253.333 96 293 96 293
Daily Data (21 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 Vol Put Vol Call OI Put OI 2014-05-01 $27.68 $0.00 7.0% 2.0% 3.1% 0.0% 0.0% 5.3% 0.3% 20 3.6K -357 0.00 132.03 0 0 35 61 2014-05-02 $27.72 $0.00 6.2% 1.8% 3.1% 0.0% 0.0% -42.6% 1.0% 1.9K -5.4K -311 0.00 152.71 0 35 35 61 2014-05-05 $27.74 $0.00 122.4% 17.5% 3.0% 0.0% 0.0% -1.6% -12.8% -2.9K 51.5K -750 0.00 200.00 0 35 35 96 2014-05-06 $27.80 $0.00 7.1% 2.3% 3.1% 0.0% 0.0% 3.0% 0.2% -3.5K 24.7K -578 0.00 135.95 0 20 35 131 2014-05-07 $27.88 $0.00 5.9% 2.2% 3.0% 0.0% 0.0% 3.8% 0.4% -4.3K 10.9K -415 0.00 130.89 71 0 35 151 2014-05-08 $27.86 $0.00 6.2% 2.2% 2.9% 0.0% 0.0% 0.3% 0.5% 6.8K -46.1K -1.2K 0.00 141.43 0 35 106 151 2014-05-09 $27.79 $0.00 6.3% 2.1% 3.0% 0.0% 0.0% -15.1% 1.1% 4.1K -3.5K -1.4K 0.00 123.45 0 0 106 186 2014-05-12 $27.79 $0.00 9.0% 2.1% 3.0% 0.0% 0.0% -13.9% 0.6% 1.8K -20.6K -1.4K 0.00 136.09 0 0 106 186 2014-05-13 $27.78 $0.00 36.0% 2.1% 2.8% 0.0% 0.0% -1.3% 0.5% 4.6K -3.3K -1.4K 0.00 145.00 0 0 106 186 2014-05-14 $27.80 $0.00 34.2% 2.1% 2.8% 0.0% 0.0% -1.8% 0.5% 5.0K -6.5K -1.4K 0.00 143.31 0 0 106 186 2014-05-15 $27.79 $0.00 5.9% 1.7% 2.7% 0.0% 0.0% 1.7% 3.8% 4.9K -722 -1.4K 0.00 141.59 0 0 106 186 2014-05-16 $27.79 $0.00 7.0% 2.0% 2.6% 0.0% 0.0% 0.5% 1.0% 5.2K -4.8K -1.4K 0.00 141.84 0 0 106 186 2014-05-19 $27.80 $0.00 6.6% 1.9% 2.6% 0.0% 0.0% -2.3% 0.4% 6.2K -10.6K -1.3K 0.00 132.54 0 1 106 186 2014-05-20 $27.79 $0.00 6.4% 1.8% 2.6% 0.0% 0.0% -0.5% 2.3% 12.8K -46.3K -1.1K 0.00 103.77 0 0 106 187 2014-05-21 $27.82 $0.00 5.9% 1.7% 2.6% 0.0% 0.0% -3.1% 2.3% 6.1K -13.8K -1.3K 0.00 138.93 0 0 106 187 2014-05-22 $27.81 $0.00 5.9% 1.7% 2.6% 0.0% 0.0% -2.4% 2.3% 13.8K -52.0K -1.1K 0.00 152.69 0 0 106 187 2014-05-23 $27.81 $0.00 6.0% 1.7% 2.6% 0.2% 0.0% -2.4% 2.5% 7.2K -10.8K -1.3K 0.00 151.30 0 0 106 187 2014-05-27 $27.81 $0.00 4.7% 1.3% 2.6% 0.0% 0.0% -9.3% 1.6% 16.9K -53.9K -1.0K 0.00 150.37 0 0 106 187 2014-05-28 $27.79 $0.00 5.8% 1.7% 2.6% 0.9% 0.0% 1.8% -1.1% 14.2K -54.9K -1.0K 0.00 147.11 0 0 106 187 2014-05-29 $27.85 $0.00 5.6% 1.6% 2.5% 0.8% 0.0% -0.3% 1.6% 12.3K -33.1K -1.1K 0.00 149.06 0 0 106 187 2014-05-30 $27.88 $0.00 6.2% 1.8% 1.9% 1.3% 0.0% -7.1% 2.1% 20.9K -157.9K -452 0.00 149.80 0 0 106 187
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