IHY Options History — June 2014 In June 2014, IHY traded between $27.69 and $28.11. ATM implied volatility averaged 5.9%, placing in the 1.0% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 2.3% (HV 20d: 3.6%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days.
Notable Days 2014-06-16 : Highest Volume — 9 contracts2014-06-10 : Largest IV drop — 22.8% change2014-06-13 : Highest IV Rank — 1.7%2014-06-11 : Largest Expected Move — 2.1%Monthly Statistics Metric Avg Min Max Open Close Price $27.96 $27.69 $28.11 $27.69 $28.10 Max Pain $28.00 $28.00 $28.00 $28.00 $28.00 ATM IV 5.9% 4.7% 6.7% 4.8% 5.5% Expected Move 1.7% 1.4% 2.1% 1.4% 1.6% HV 20d 3.6% 3.2% 4.2% 3.2% 3.3% HV 60d 3.1% 3.1% 3.2% 3.1% 3.2% IV Rank 1.0% 0.0% 1.7% 0.1% 0.7% IV Percentile 10.0% 0.0% 22.1% 0.8% 2.6% Term Structure 1.2% 0.2% 2.8% 0.9% 0.8% VWIV 9.6% 9.6% 9.6% 9.6% 9.6% Skew 25d 4.0% -18.0% 18.8% 1.7% 18.8% Skew 10d -0.3% -64.6% 25.9% -13.4% 25.9% Call IV 25d 10.7% 5.1% 40.5% 5.6% 8.9% Put IV 25d 14.7% 6.5% 27.7% 7.3% 27.7% Bid-Ask Spread % 135.52 96.33 176.19 122.37 106.90 Gamma HHI 0.51 0.33 0.93 0.33 0.93 Net GEX 7.3K -9.3K 33.0K -9.3K 33.0K Net DEX 38.1K -31.0K 86.5K 86.5K -27.4K Net VEX -585 -824 -152 -824 -152 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.429 0 9 0 0 Total OI 218.19 214 222 222 214
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 2014-06-02 $27.69 $0.00 4.8% 1.4% 3.2% 0.1% 0.0% 1.7% 0.9% -9.3K 86.5K -824 0.00 122.37 0 0 35 187 2014-06-03 $27.76 $0.00 5.3% 1.5% 3.3% 0.5% 0.0% 2.7% 0.9% -7.5K 81.5K -799 0.00 149.52 0 0 35 187 2014-06-04 $27.77 $0.00 5.8% 1.7% 3.2% 0.9% 0.0% -6.7% 1.0% -7.7K 79.6K -782 0.00 176.19 0 0 35 187 2014-06-05 $27.87 $0.00 5.5% 1.6% 3.3% 0.7% 0.0% -6.6% 2.8% -6.0K 72.0K -768 0.00 151.66 0 0 35 187 2014-06-06 $27.95 $28.00 6.3% 1.9% 3.4% 1.3% 0.0% -4.1% 1.3% -155 55.8K -719 0.00 150.36 0 0 35 187 2014-06-09 $27.94 $28.00 6.0% 2.0% 3.3% 1.2% 0.0% -4.4% 1.5% -223 57.2K -718 0.00 142.86 0 0 35 187 2014-06-10 $27.94 $28.00 4.7% 2.0% 3.3% 0.0% 0.0% 1.0% 1.1% 195 57.6K -702 0.00 146.59 0 0 35 187 2014-06-11 $27.89 $28.00 5.7% 2.1% 3.4% 0.9% 0.0% 1.2% 0.5% -3.4K 55.1K -699 0.00 143.13 0 0 35 187 2014-06-12 $27.95 $28.00 6.6% 1.9% 3.4% 1.7% 0.0% 0.6% 1.4% 2.1K 54.2K -692 0.00 149.26 0 0 35 187 2014-06-13 $27.95 $28.00 6.7% 1.9% 3.4% 1.7% 0.0% 1.3% 1.3% 2.0K 52.7K -687 0.00 146.47 0 0 35 187 2014-06-16 $27.96 $28.00 6.6% 1.9% 3.4% 1.6% 9.6% 0.6% 1.0% 1.4K 48.7K -617 0.00 156.11 0 9 35 187 2014-06-17 $27.89 $28.00 6.2% 1.8% 3.6% 1.3% 0.0% 2.1% 1.7% 3.9K 56.3K -633 0.00 149.45 0 0 35 179 2014-06-18 $27.96 $28.00 5.7% 1.6% 3.7% 0.9% 0.0% 17.4% 1.5% 13.3K 38.6K -564 0.00 153.41 0 0 35 179 2014-06-19 $28.07 $28.00 6.0% 1.7% 3.9% 1.2% 0.0% -18.0% 1.9% 14.8K 25.1K -554 0.00 156.11 0 0 35 179 2014-06-20 $28.08 $28.00 5.5% 1.6% 3.9% 0.7% 0.0% 13.6% 2.2% 16.9K 20.8K -553 0.00 156.16 0 0 35 179 2014-06-23 $28.08 $28.00 5.8% 1.7% 3.9% 1.0% 0.0% -2.0% 0.9% 22.6K -31.0K -174 0.00 96.33 0 0 35 179 2014-06-24 $28.09 $28.00 6.3% 1.8% 3.9% 1.3% 0.0% 15.3% 0.5% 22.9K -30.0K -170 0.00 98.77 0 0 35 179 2014-06-25 $28.10 $28.00 6.0% 1.7% 3.8% 1.1% 0.0% 15.2% 0.8% 17.4K 20.1K -525 0.00 97.99 0 0 35 179 2014-06-26 $28.00 $28.00 5.8% 1.7% 4.0% 0.9% 0.0% 18.7% 0.7% 17.1K 32.0K -523 0.00 98.49 0 0 35 179 2014-06-27 $28.11 $28.00 6.3% 1.8% 4.2% 1.4% 0.0% 15.8% 0.2% 19.4K -4.9K -424 0.00 97.70 0 0 35 179 2014-06-30 $28.10 $28.00 5.5% 1.6% 3.3% 0.7% 0.0% 18.8% 0.8% 33.0K -27.4K -152 0.00 106.90 0 0 35 179
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