IHY Options History — July 2014 In July 2014, IHY traded between $27.51 and $28.03. ATM implied volatility averaged 7.2%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 2.1%. IV traded above realized volatility by 3.7% (HV 20d: 3.5%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-21 : Highest Volume — 71 contracts2014-07-25 : Largest IV spike — 48.3% change2014-07-31 : Highest IV Rank — 8.3%2014-07-31 : Largest Expected Move — 4.1%Monthly Statistics Metric Avg Min Max Open Close Price $27.83 $27.51 $28.03 $28.02 $27.51 Max Pain $28.00 $28.00 $28.00 $28.00 $28.00 ATM IV 7.2% 4.8% 14.4% 6.0% 14.4% Expected Move 2.1% 1.4% 4.1% 1.7% 4.1% HV 20d 3.5% 3.1% 3.9% 3.4% 3.6% HV 60d 3.3% 3.1% 3.5% 3.2% 3.5% IV Rank 2.1% 0.1% 8.3% 1.1% 8.3% IV Percentile 30.5% 1.8% 85.0% 14.5% 85.0% Term Structure 0.6% -2.8% 3.8% 0.2% -2.8% Skew 25d 4.1% -2.3% 22.7% 15.9% 1.2% Skew 10d 3.5% -5.9% 33.9% 25.9% 1.1% Call IV 25d 8.6% 4.4% 13.0% 9.9% 13.0% Put IV 25d 12.7% 6.4% 28.9% 25.8% 14.2% Bid-Ask Spread % 127.38 88.31 200.00 107.00 128.70 Gamma HHI 0.57 0.32 0.84 0.62 0.32 Net GEX 21.4K -10.2K 55.9K 20.3K -7.1K Net DEX -15.5K -117.4K 72.7K 5.5K 56.6K Net VEX -796 -972 -430 -462 -972 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 6.409 0 71 70 0 Total OI 248.227 159 284 214 210
Daily Data (22 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 2014-07-01 $28.02 $28.00 6.0% 1.7% 3.4% 1.1% 0.0% 15.9% 0.2% 20.3K 5.5K -462 0.00 107.00 70 0 35 179 2014-07-02 $28.02 $28.00 5.6% 1.6% 3.5% 0.8% 0.0% 17.0% 0.8% 48.1K -117.4K -519 0.00 104.03 0 0 105 179 2014-07-03 $27.99 $28.00 5.2% 1.5% 3.3% 0.4% 0.0% 22.7% 0.6% 46.0K -58.9K -882 0.00 99.68 0 0 105 179 2014-07-07 $28.01 $0.00 5.9% 1.8% 3.1% 1.0% 0.0% 1.0% 1.1% 49.0K -63.6K -852 0.00 140.21 0 0 105 179 2014-07-08 $28.01 $0.00 5.7% 1.8% 3.1% 0.8% 0.0% 1.0% 0.9% 49.8K -66.0K -850 0.00 140.21 0 0 105 179 2014-07-09 $28.03 $0.00 5.3% 2.0% 3.1% 0.5% 0.0% 0.9% 0.6% 55.9K -73.1K -842 0.00 153.70 0 0 105 179 2014-07-10 $27.91 $0.00 6.6% 1.9% 3.5% 1.7% 0.0% 1.0% 0.7% 49.3K -48.2K -821 0.00 133.97 0 0 105 179 2014-07-11 $27.94 $0.00 9.6% 2.7% 3.4% 4.2% 0.0% -2.3% -0.1% 21.5K -74.7K -824 0.00 200.00 0 0 105 179 2014-07-14 $27.95 $0.00 7.0% 2.0% 3.4% 2.0% 0.0% 1.0% 0.4% 49.4K -56.6K -791 0.00 155.03 0 0 105 179 2014-07-15 $27.90 $0.00 6.3% 1.8% 3.4% 1.4% 0.0% 1.8% 1.0% 41.4K -40.8K -771 0.00 140.95 0 0 105 179 2014-07-16 $27.80 $0.00 6.5% 1.9% 3.6% 1.5% 0.0% 2.2% 1.0% 34.6K -26.8K -753 0.00 144.18 0 0 105 179 2014-07-17 $27.66 $0.00 4.8% 1.4% 3.8% 0.1% 0.0% 3.3% 3.0% 23.8K -64.9K -439 0.00 147.41 0 0 105 179 2014-07-18 $27.67 $0.00 5.0% 1.4% 3.5% 0.3% 0.0% 2.4% 2.7% 24.1K -70.6K -430 0.00 153.13 0 0 105 179 2014-07-21 $27.78 $0.00 5.8% 1.7% 3.8% 1.0% 0.0% 3.1% -0.8% 6.6K -2.8K -698 0.00 88.31 0 71 70 89 2014-07-22 $27.74 $0.00 5.9% 1.7% 3.8% 1.1% 0.0% 4.8% 2.1% -5.2K 52.9K -938 0.00 89.71 0 0 70 140 2014-07-23 $27.78 $0.00 5.5% 1.6% 3.9% 0.7% 0.0% 4.2% 2.0% -4.7K 49.1K -949 0.00 88.59 0 0 70 140 2014-07-24 $27.79 $0.00 5.5% 1.6% 3.9% 0.7% 0.0% 1.9% 1.9% -3.9K 42.9K -938 0.00 88.59 0 0 70 140 2014-07-25 $27.77 $0.00 8.2% 2.4% 3.7% 3.0% 0.0% 5.0% 3.8% -10.2K 72.7K -898 0.00 110.65 0 0 70 140 2014-07-28 $27.71 $0.00 10.9% 3.1% 3.4% 5.3% 0.0% 0.3% -1.9% -6.0K 42.8K -952 0.00 128.45 0 0 70 140 2014-07-29 $27.59 $0.00 10.3% 3.0% 3.6% 4.8% 0.0% 1.2% -1.4% -6.5K 54.5K -961 0.00 125.88 0 0 70 140 2014-07-30 $27.59 $0.00 12.0% 3.4% 3.6% 6.3% 0.0% 1.1% -1.9% -6.5K 47.1K -962 0.00 134.00 0 0 70 140 2014-07-31 $27.51 $0.00 14.4% 4.1% 3.6% 8.3% 0.0% 1.2% -2.8% -7.1K 56.6K -972 0.00 128.70 0 0 70 140
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