IHY Options History — November 2014

In November 2014, IHY traded between $25.75 and $26.17. ATM implied volatility averaged 9.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 4.1% (HV 20d: 5.2%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 2.48.

Notable Days

  • 2014-11-26: Highest Volume — 404 contracts
  • 2014-11-14: Largest IV drop — 14.6% change
  • 2014-11-04: Highest IV Rank — 5.9%
  • 2014-11-24: Largest Expected Move — 3.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.99$25.75$26.17$26.17$25.87
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV9.3%7.5%11.6%11.3%8.6%
Expected Move2.9%2.6%3.2%2.8%3.1%
HV 20d5.2%4.0%6.0%5.6%6.0%
HV 60d5.4%5.2%5.8%5.4%5.6%
IV Rank4.0%2.4%5.9%5.6%3.3%
IV Percentile52.3%31.3%74.2%70.7%42.5%
Term Structure-0.2%-3.8%4.7%-1.3%4.7%
VWIV10.5%7.1%11.6%11.2%9.9%
Skew 25d2.0%-14.6%8.5%1.5%8.5%
Skew 10d1.3%-22.7%10.4%1.8%5.3%
Call IV 25d9.6%6.6%25.1%9.2%6.6%
Put IV 25d11.7%6.8%15.1%10.7%15.1%
Bid-Ask Spread %79.3645.42113.2566.3881.28
Gamma HHI0.650.490.890.570.62
Net GEX-66.1K-167.8K47.6K-72.0K47.6K
Net DEX191.9K-72.4K416.9K193.0K-72.4K
Net VEX-1.8K-3.2K-1.2K-1.8K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.004.004.000.00
Total Volume191.31604042000
Total OI648.263500970576970

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$26.17$25.0011.3%2.8%5.6%5.6%11.2%1.5%-1.3%-72.0K193.0K-1.8K4.0066.3840160138438
2014-11-04$26.15$25.0011.6%2.9%5.6%5.9%11.6%1.5%-1.3%-70.2K199.6K-1.8K4.0066.7340160138438
2014-11-05$26.10$25.0011.0%2.8%5.5%5.4%11.3%1.0%-0.9%-75.2K225.1K-1.8K4.0066.7740160138438
2014-11-06$26.01$25.0010.9%2.8%5.3%5.3%11.1%-14.6%-0.7%-79.3K270.3K-1.8K4.0081.3840160138438
2014-11-07$26.08$25.009.4%2.8%5.4%4.0%11.2%5.5%-0.5%-79.7K221.3K-1.7K4.0079.0940160138438
2014-11-10$26.11$25.009.0%2.7%5.1%3.7%10.7%3.6%-0.4%-90.9K215.9K-1.6K4.00100.6140160138438
2014-11-11$26.11$25.007.9%2.6%5.1%2.8%10.4%3.5%0.3%-73.4K116.5K-1.2K4.0094.0940160138362
2014-11-12$26.14$25.008.8%2.7%5.1%3.5%8.9%4.3%-0.6%-91.4K115.4K-1.2K2.3564.1268160138438
2014-11-13$26.05$25.009.6%2.7%4.9%4.2%9.6%3.5%-0.7%-96.4K230.1K-1.6K1.2286.36127155166438
2014-11-14$25.98$25.008.2%2.6%4.1%3.0%0.0%3.6%0.2%-108.2K272.5K-1.8K0.00113.2500237438
2014-11-17$25.89$25.009.3%2.7%4.0%3.9%7.1%3.7%-0.9%-99.8K237.3K-1.8K1.22108.45127155253438
2014-11-18$25.88$25.009.8%3.0%4.0%4.3%10.3%3.3%-0.3%-167.8K191.3K-1.8K1.1371.80137155253438
2014-11-19$26.02$25.008.7%2.8%4.6%3.4%9.8%2.9%0.1%-77.0K256.7K-1.8K0.0083.59210334438
2014-11-20$25.75$25.008.6%2.9%5.7%3.4%11.6%4.5%-0.4%-78.5K416.9K-1.9K2.5474.7161155355438
2014-11-21$25.84$25.009.6%3.2%5.9%4.2%11.2%4.0%-0.2%-95.5K379.6K-2.0K1.0570.48147155355438
2014-11-24$25.84$25.009.1%3.2%5.7%3.7%0.0%3.3%-3.8%17.6K43.4K-2.2K0.0078.0400417172
2014-11-25$25.87$25.008.8%3.1%5.7%3.5%11.6%-3.0%1.1%15.5K69.9K-2.1K2.2075.2165143417172
2014-11-26$25.96$25.007.5%3.0%5.9%2.4%9.9%-1.7%0.6%17.9K63.0K-2.1K0.0045.424040446172
2014-11-28$25.87$25.008.6%3.1%6.0%3.3%0.0%8.5%4.7%47.6K-72.4K-3.2K0.0081.2800798172