IHY Options History — September 2014

In September 2014, IHY traded between $26.46 and $27.29. ATM implied volatility averaged 11.4%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 7.0% (HV 20d: 4.4%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 3.71.

Notable Days

2014-09-25: Highest Volume — 295 contracts
2014-09-30: Largest IV spike — 49.8% change
2014-09-30: Highest IV Rank — 11.8%
2014-09-25: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.93	$26.46	$27.29	$27.26	$26.46
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	11.4%	9.6%	18.6%	11.2%	18.6%
Expected Move	3.2%	2.2%	3.7%	3.5%	3.4%
HV 20d	4.4%	4.2%	5.0%	4.3%	4.4%
HV 60d	5.2%	5.0%	5.3%	5.0%	5.3%
IV Rank	5.7%	4.2%	11.8%	5.6%	11.8%
IV Percentile	78.3%	66.8%	87.9%	80.0%	87.9%
Term Structure	-0.5%	-2.6%	1.6%	-1.5%	-2.6%
VWIV	13.4%	13.2%	13.5%	13.5%	13.2%
Skew 25d	4.0%	0.5%	11.5%	1.0%	11.5%
Skew 10d	4.1%	-6.0%	12.4%	1.1%	-4.2%
Call IV 25d	11.0%	7.5%	12.8%	12.1%	8.9%
Put IV 25d	15.1%	11.8%	21.0%	13.1%	20.4%
Bid-Ask Spread %	129.93	62.65	189.69	187.85	84.09
Gamma HHI	0.37	0.32	0.51	0.33	0.45
Net GEX	-23.0K	-88.2K	51.1K	-10.5K	-86.9K
Net DEX	170.1K	50.8K	527.0K	67.1K	527.0K
Net VEX	-823	-1.9K	-481	-670	-1.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.71	0.00	7.43	0.00	7.43
Total Volume	23.762	0	295	0	0
Total OI	293.429	210	627	210	627

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
2014-09-02	$27.26	$0.00	11.2%	3.5%	4.3%	5.6%	0.0%	1.0%	-1.5%	-10.5K	67.1K	-670	0.00	187.85	0	0	70	140
2014-09-03	$27.29	$0.00	9.8%	3.5%	4.2%	4.4%	0.0%	1.8%	1.1%	-10.2K	63.0K	-645	0.00	187.35	0	0	70	140
2014-09-04	$27.09	$0.00	9.9%	3.6%	4.9%	4.5%	0.0%	0.5%	0.8%	-12.9K	90.2K	-640	0.00	186.92	0	0	70	140
2014-09-05	$27.16	$0.00	11.3%	3.5%	4.9%	5.6%	0.0%	4.0%	0.9%	-9.9K	79.0K	-692	0.00	187.17	0	0	70	140
2014-09-08	$27.02	$0.00	9.6%	3.2%	5.0%	4.2%	0.0%	4.8%	-0.1%	-19.4K	104.6K	-543	0.00	147.07	0	0	70	140
2014-09-09	$27.06	$0.00	11.3%	3.5%	4.5%	5.6%	0.0%	1.6%	1.2%	-17.4K	96.8K	-540	0.00	152.59	0	1	70	140
2014-09-10	$27.02	$0.00	11.2%	3.5%	4.4%	5.5%	0.0%	1.7%	0.6%	-12.3K	98.0K	-629	0.00	185.81	0	0	70	141
2014-09-11	$27.03	$0.00	9.8%	2.5%	4.4%	4.4%	0.0%	1.8%	0.9%	-12.5K	97.2K	-621	0.00	147.70	0	0	70	141
2014-09-12	$26.94	$0.00	10.3%	3.5%	4.4%	4.8%	0.0%	1.5%	0.5%	-12.6K	106.9K	-621	0.00	185.66	0	0	70	141
2014-09-15	$27.00	$0.00	11.2%	3.5%	4.4%	5.5%	0.0%	1.1%	-0.4%	-20.5K	108.4K	-486	0.00	138.12	0	0	70	141
2014-09-16	$26.96	$0.00	11.6%	2.8%	4.4%	5.9%	13.5%	7.0%	-2.3%	-21.2K	116.2K	-481	0.00	74.17	0	26	70	141
2014-09-17	$26.95	$25.00	10.8%	2.2%	4.3%	5.2%	0.0%	6.8%	1.6%	-25.5K	145.9K	-664	0.00	96.18	81	0	70	167
2014-09-18	$26.94	$25.00	11.1%	2.8%	4.3%	5.5%	0.0%	6.3%	-1.4%	50.8K	50.8K	-709	0.00	74.92	0	0	151	167
2014-09-19	$26.89	$25.00	11.2%	3.4%	4.2%	5.5%	0.0%	3.3%	-1.5%	51.1K	71.0K	-679	0.00	107.76	0	0	151	167
2014-09-22	$26.91	$25.00	11.5%	2.9%	4.3%	5.8%	13.2%	2.9%	-1.3%	-25.1K	140.2K	-609	0.00	79.04	0	25	70	167
2014-09-23	$26.82	$25.00	11.7%	2.8%	4.4%	5.9%	0.0%	8.4%	-1.8%	-30.5K	190.6K	-762	0.00	89.92	0	1	70	192
2014-09-24	$26.81	$25.00	11.9%	2.8%	4.3%	6.1%	0.0%	4.5%	-1.9%	-32.1K	193.5K	-731	0.00	89.92	0	70	70	192
2014-09-25	$26.70	$25.00	11.7%	3.7%	4.3%	5.9%	0.0%	1.1%	-1.4%	-50.2K	262.2K	-875	7.43	189.69	35	260	70	262
2014-09-26	$26.57	$25.00	11.2%	2.8%	4.5%	5.5%	0.0%	6.9%	-0.2%	-86.7K	474.6K	-1.9K	0.00	62.65	0	0	105	522
2014-09-29	$26.59	$25.00	12.4%	2.9%	4.5%	6.6%	0.0%	6.8%	-0.8%	-88.2K	488.6K	-1.9K	0.00	73.97	0	0	105	522
2014-09-30	$26.46	$25.00	18.6%	3.4%	4.4%	11.8%	0.0%	11.5%	-2.6%	-86.9K	527.0K	-1.9K	0.00	84.09	0	0	105	522