IHY Options History — December 2014

In December 2014, IHY traded between $23.74 and $25.84. ATM implied volatility averaged 17.9%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 4.2% (HV 20d: 13.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-12-12: Highest Volume — 648 contracts
  • 2014-12-05: Largest IV spike — 61.1% change
  • 2014-12-31: Highest IV Rank — 19.0%
  • 2014-12-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.89$23.74$25.84$25.84$24.53
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV17.9%7.8%27.1%9.0%27.1%
Expected Move5.0%3.1%6.7%3.3%6.7%
HV 20d13.7%5.7%19.7%6.0%19.7%
HV 60d9.3%5.6%12.2%5.6%12.1%
IV Rank11.3%2.6%19.0%3.7%19.0%
IV Percentile78.0%34.9%89.3%49.6%89.3%
Term Structure-0.4%-4.9%2.7%0.7%-4.9%
VWIV13.7%9.2%21.7%9.6%21.6%
Skew 25d6.3%1.2%13.3%3.2%13.3%
Skew 10d6.3%-54.7%19.8%4.2%19.8%
Call IV 25d15.6%6.1%21.8%9.4%21.8%
Put IV 25d22.0%12.5%35.1%12.6%35.1%
Bid-Ask Spread %70.2737.81103.5179.6556.71
Gamma HHI0.620.510.710.670.62
Net GEX39.6K19.4K56.6K56.6K40.7K
Net DEX-123.9K-427.6K145.4K-97.7K-347.5K
Net VEX-3.4K-4.7K-1.8K-3.4K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.141.660.330.60
Total Volume382.22706485830
Total OI1,152.6369301,4169701,310

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$25.84$25.009.0%3.3%6.0%3.7%9.6%3.2%0.7%56.6K-97.7K-3.4K0.3379.65440143798172
2014-12-02$25.70$25.009.4%3.2%5.7%4.0%10.4%2.8%-0.7%47.5K-46.5K-3.3K0.3380.11440143798172
2014-12-03$25.48$25.0011.1%3.7%6.3%5.4%10.3%1.2%2.5%38.0K84.8K-2.5K0.3388.12440143798172
2014-12-04$25.60$25.007.8%3.1%6.7%2.6%0.0%8.1%2.7%40.3K29.0K-2.8K0.0086.8200798172
2014-12-05$25.43$25.0012.5%3.6%6.9%6.7%10.3%3.7%0.2%40.7K59.7K-2.8K0.3391.23440143798172
2014-12-08$25.52$25.0010.7%3.4%7.0%5.1%10.7%4.0%1.0%38.5K52.3K-2.8K0.3379.54440143798172
2014-12-09$25.12$25.0014.8%3.9%8.7%8.6%11.7%4.3%0.3%33.0K138.5K-2.3K0.1886.2844078798172
2014-12-10$24.85$25.0015.2%3.9%9.2%9.0%12.7%6.1%1.3%29.5K107.0K-1.9K0.1860.7844078798132
2014-12-11$24.50$25.0015.8%4.4%10.0%9.5%9.2%5.1%0.0%23.0K145.4K-1.8K0.18103.5144078798132
2014-12-12$23.74$25.0021.9%5.7%14.1%14.6%11.8%2.3%-1.8%19.4K137.6K-1.8K0.1494.8157078798132
2014-12-15$23.80$25.0022.3%5.9%14.4%14.9%18.5%7.2%-1.5%37.4K-26.4K-2.5K1.6693.56172285928132
2014-12-16$23.90$25.0025.0%6.2%14.7%17.3%19.7%7.9%-3.4%20.8K111.1K-3.5K0.7995.912131691,015339
2014-12-17$24.65$25.0023.3%6.0%19.2%15.8%21.7%8.4%-2.2%39.4K-167.7K-4.7K0.7962.822151691,077339
2014-12-18$24.71$25.0022.3%6.0%19.1%14.9%21.6%6.8%-1.2%41.6K-194.0K-4.3K0.7961.942151691,079321
2014-12-19$24.84$25.0020.0%5.8%19.0%13.1%0.0%10.9%0.1%44.7K-255.4K-4.3K0.0065.32051,079321
2014-12-22$24.90$0.0019.4%6.1%19.0%12.5%0.0%5.8%2.0%45.6K-380.7K-4.2K0.6039.422101261,012276
2014-12-23$24.98$0.0019.8%5.9%19.1%12.9%0.0%7.3%0.9%48.9K-416.4K-4.2K0.6037.812101261,025285
2014-12-24$24.85$0.0021.2%6.0%19.1%14.0%0.0%7.2%-0.3%46.5K-414.7K-4.5K0.6040.652101261,025285
2014-12-26$25.00$0.0021.2%5.6%19.2%14.0%0.0%6.0%-1.5%48.2K-427.6K-4.3K0.6047.702101261,025285
2014-12-29$24.75$0.0021.8%6.1%19.4%14.6%0.0%7.4%-0.4%44.6K-408.5K-4.0K0.6043.152101261,025285
2014-12-30$24.80$0.0022.9%6.0%19.5%15.5%0.0%10.1%-2.0%46.0K-408.2K-4.3K0.0050.16001,025285
2014-12-31$24.53$0.0027.1%6.7%19.7%19.0%0.0%13.3%-4.9%40.7K-347.5K-4.0K0.0056.71001,025285