IHY Options History — August 2014 In August 2014, IHY traded between $27.14 and $27.52. ATM implied volatility averaged 11.8%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 4.8% (HV 20d: 6.9%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days.
Notable Days 2014-08-13 : Largest IV spike — 87.2% change2014-08-13 : Highest IV Rank — 14.3%2014-08-22 : Largest Expected Move — 3.8%Monthly Statistics Metric Avg Min Max Open Close Price $27.41 $27.14 $27.52 $27.14 $27.40 ATM IV 11.8% 9.4% 21.5% 11.3% 10.8% Expected Move 3.3% 2.5% 3.8% 3.3% 3.6% HV 20d 6.9% 5.0% 7.4% 5.8% 5.0% HV 60d 5.0% 4.4% 5.2% 4.4% 4.9% IV Rank 6.0% 4.0% 14.3% 5.7% 5.2% IV Percentile 79.3% 70.0% 86.3% 83.3% 76.8% Term Structure 0.3% -1.7% 2.2% -1.5% 1.4% Skew 25d 2.0% 0.1% 2.8% 0.1% 2.3% Skew 10d 1.9% -3.0% 5.9% 0.4% 2.0% Call IV 25d 10.2% 6.1% 13.7% 13.7% 11.1% Put IV 25d 12.2% 8.4% 13.8% 13.8% 13.4% Bid-Ask Spread % 182.45 137.23 192.89 137.23 190.79 Gamma HHI 0.33 0.32 0.35 0.32 0.33 Net GEX -8.5K -10.8K -7.2K -10.7K -7.6K Net DEX 63.2K 35.4K 96.0K 96.0K 52.7K Net VEX -810 -917 -643 -917 -744 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 210 210 210 210 210
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 2014-08-01 $27.14 $0.00 11.3% 3.3% 5.8% 5.7% 0.0% 0.1% -1.5% -10.7K 96.0K -917 0.00 137.23 0 0 70 140 2014-08-04 $27.39 $0.00 12.0% 2.7% 6.9% 6.3% 0.0% 2.7% 1.5% -10.2K 56.2K -799 0.00 172.45 0 0 70 140 2014-08-05 $27.34 $0.00 11.4% 2.8% 6.9% 5.7% 0.0% 2.1% 0.8% -8.9K 71.3K -878 0.00 176.50 0 0 70 140 2014-08-06 $27.38 $0.00 10.9% 2.7% 6.9% 5.3% 0.0% 2.8% 1.0% -8.7K 66.7K -872 0.00 174.31 0 0 70 140 2014-08-07 $27.28 $0.00 12.0% 2.8% 6.9% 6.2% 0.0% 2.5% 0.8% -9.5K 78.3K -866 0.00 173.69 0 0 70 140 2014-08-08 $27.16 $0.00 13.9% 2.7% 6.9% 7.8% 0.0% 1.3% 1.2% -10.8K 92.1K -857 0.00 175.57 0 0 70 140 2014-08-11 $27.32 $0.00 17.0% 2.9% 7.4% 10.5% 0.0% 2.7% 0.6% -9.4K 73.3K -840 0.00 175.53 0 0 70 140 2014-08-12 $27.36 $0.00 11.5% 2.5% 7.4% 5.8% 0.0% 2.4% 0.4% -10.4K 72.4K -781 0.00 174.32 0 0 70 140 2014-08-13 $27.38 $0.00 21.5% 3.0% 7.4% 14.3% 0.0% 1.5% -0.3% -8.7K 66.1K -828 0.00 188.43 0 0 70 140 2014-08-14 $27.44 $0.00 10.3% 3.0% 7.3% 4.8% 0.0% 2.2% -0.8% -8.4K 59.1K -802 0.00 188.11 0 0 70 140 2014-08-15 $27.50 $0.00 11.1% 3.2% 7.3% 5.5% 0.0% 1.0% -0.5% -7.5K 56.7K -845 0.00 187.62 0 0 70 140 2014-08-18 $27.51 $0.00 9.4% 3.7% 7.1% 4.0% 0.0% 2.3% -0.1% -7.3K 56.1K -838 0.00 190.59 0 0 70 140 2014-08-19 $27.52 $0.00 10.0% 3.7% 7.1% 4.5% 0.0% 2.5% -0.2% -7.3K 54.7K -830 0.00 191.78 0 0 70 140 2014-08-20 $27.47 $0.00 10.0% 3.8% 7.1% 4.5% 0.0% 1.5% 1.4% -7.8K 59.3K -810 0.00 191.48 0 0 70 140 2014-08-21 $27.51 $0.00 10.7% 3.7% 7.2% 5.1% 0.0% 2.0% -1.0% -7.5K 55.4K -804 0.00 191.67 0 0 70 140 2014-08-22 $27.50 $0.00 9.9% 3.8% 7.2% 4.4% 0.0% 1.7% 2.2% -7.6K 56.4K -797 0.00 191.90 0 0 70 140 2014-08-25 $27.46 $0.00 9.6% 3.6% 7.1% 4.2% 0.0% 1.5% 1.2% -7.5K 57.3K -758 0.00 189.60 0 0 70 140 2014-08-26 $27.47 $0.00 11.6% 3.8% 7.0% 5.9% 0.0% 1.7% 1.2% -7.9K 58.9K -768 0.00 192.89 0 0 70 140 2014-08-27 $27.51 $0.00 11.1% 3.7% 7.0% 5.4% 0.0% 2.1% -1.2% -8.0K 35.4K -643 0.00 185.51 0 0 70 140 2014-08-28 $27.51 $0.00 11.3% 3.7% 6.9% 5.6% 0.0% 2.1% -1.7% -7.2K 52.0K -737 0.00 191.55 0 0 70 140 2014-08-29 $27.40 $0.00 10.8% 3.6% 5.0% 5.2% 0.0% 2.3% 1.4% -7.6K 52.7K -744 0.00 190.79 0 0 70 140
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