IHY Options History — January 2015

In January 2015, IHY traded between $24.09 and $24.66. ATM implied volatility averaged 24.1%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 10.7% (HV 20d: 13.5%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 2.49.

Notable Days

2015-01-08: Highest Volume — 352 contracts
2015-01-12: Largest IV spike — 54.0% change
2015-01-12: Highest IV Rank — 25.9%
2015-01-07: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.31	$24.09	$24.66	$24.66	$24.25
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	24.1%	17.7%	35.2%	22.3%	19.4%
Expected Move	6.6%	5.1%	8.2%	6.7%	5.6%
HV 20d	13.5%	8.0%	19.8%	19.7%	8.0%
HV 60d	12.4%	12.2%	12.6%	12.2%	12.6%
IV Rank	16.5%	11.1%	25.9%	15.0%	12.5%
IV Percentile	82.5%	72.6%	90.1%	86.1%	75.8%
Term Structure	-0.7%	-3.2%	5.7%	0.8%	2.4%
VWIV	22.0%	11.2%	28.7%	28.7%	11.2%
Skew 25d	8.0%	3.9%	11.5%	6.0%	11.5%
Skew 10d	8.2%	-65.2%	20.4%	8.0%	6.1%
Call IV 25d	19.4%	11.1%	23.7%	22.2%	11.1%
Put IV 25d	27.4%	19.8%	32.8%	28.2%	22.6%
Bid-Ask Spread %	64.73	25.60	101.69	55.73	87.23
Gamma HHI	0.54	0.45	0.65	0.65	0.48
Net GEX	38.7K	30.4K	45.5K	45.5K	32.9K
Net DEX	-231.7K	-444.0K	-48.8K	-444.0K	-66.5K
Net VEX	-2.9K	-4.1K	-1.9K	-4.1K	-2.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.49	0.00	37.00	0.60	0.38
Total Volume	201.8	0	352	336	314
Total OI	1,189.65	985	1,335	1,310	1,085

Daily Data (20 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
2015-01-02	$24.66	$0.00	22.3%	6.7%	19.7%	15.0%	0.0%	6.0%	0.8%	45.5K	-444.0K	-4.1K	0.60	55.73	210	126	1,025	285
2015-01-05	$24.53	$0.00	27.0%	7.2%	19.6%	19.0%	0.0%	9.6%	-2.4%	41.0K	-380.7K	-4.1K	0.00	62.89	32	0	1,025	285
2015-01-06	$24.26	$0.00	30.9%	8.0%	19.8%	22.2%	0.0%	9.5%	-2.1%	33.5K	-277.4K	-3.8K	0.00	65.69	28	0	993	285
2015-01-07	$24.35	$0.00	31.6%	8.2%	19.8%	22.8%	28.7%	10.1%	-3.2%	36.3K	-309.4K	-3.9K	0.00	52.98	27	0	1,013	285
2015-01-08	$24.47	$24.00	28.6%	7.6%	19.3%	20.3%	26.5%	8.1%	-2.3%	40.6K	-340.2K	-3.7K	0.56	36.92	226	126	1,040	285
2015-01-09	$24.54	$24.00	22.9%	6.7%	19.0%	15.4%	25.7%	7.5%	-1.4%	44.1K	-364.2K	-3.6K	0.56	60.45	226	126	1,050	285
2015-01-12	$24.50	$24.00	35.2%	8.2%	18.3%	25.9%	28.7%	9.5%	-3.2%	44.3K	-369.3K	-3.5K	0.56	25.60	226	126	1,050	285
2015-01-13	$24.44	$24.00	31.9%	8.1%	14.1%	23.1%	28.1%	9.2%	-2.8%	43.6K	-351.2K	-3.2K	0.56	44.80	226	126	1,050	285
2015-01-14	$24.44	$24.00	28.2%	8.1%	14.1%	20.0%	28.0%	8.8%	-2.6%	44.9K	-369.3K	-3.4K	0.56	31.29	226	126	1,050	285
2015-01-15	$24.18	$24.00	24.0%	6.9%	14.7%	16.4%	23.6%	7.8%	-1.3%	38.2K	-233.2K	-2.8K	0.58	55.69	218	126	1,050	285
2015-01-16	$24.10	$24.00	22.7%	6.5%	9.4%	15.3%	21.6%	6.0%	-0.8%	40.5K	-216.5K	-2.4K	0.00	53.05	20	0	1,048	285
2015-01-20	$24.15	$24.00	23.6%	6.8%	9.4%	16.1%	0.0%	8.3%	-1.0%	38.9K	-165.6K	-2.4K	0.00	52.87	0	0	907	78
2015-01-21	$24.25	$24.00	22.1%	6.3%	9.3%	14.8%	0.0%	7.6%	-0.8%	40.7K	-168.9K	-2.5K	0.00	82.76	0	0	907	78
2015-01-22	$24.12	$24.00	19.9%	5.7%	9.3%	12.9%	17.9%	7.3%	-0.2%	40.6K	-204.6K	-2.7K	0.08	90.97	206	17	907	78
2015-01-23	$24.10	$24.00	18.4%	5.3%	9.2%	11.6%	17.9%	4.5%	1.1%	36.7K	-115.4K	-2.1K	0.07	86.32	237	17	907	78
2015-01-26	$24.09	$24.00	17.9%	5.1%	9.1%	11.3%	18.3%	10.1%	0.6%	36.8K	-89.7K	-1.9K	37.00	88.32	1	37	938	78
2015-01-27	$24.27	$24.00	18.5%	5.3%	9.3%	11.7%	0.0%	3.9%	-0.6%	33.3K	-57.4K	-2.0K	0.00	101.69	0	32	938	115
2015-01-28	$24.20	$24.00	19.6%	5.6%	8.7%	12.7%	17.5%	5.5%	0.8%	30.4K	-48.8K	-2.1K	0.38	79.52	228	86	938	147
2015-01-29	$24.30	$24.00	17.7%	5.1%	8.8%	11.1%	14.3%	9.3%	5.7%	30.7K	-60.8K	-2.1K	0.38	79.80	228	86	938	147
2015-01-30	$24.25	$24.00	19.4%	5.6%	8.0%	12.5%	11.2%	11.5%	2.4%	32.9K	-66.5K	-2.1K	0.38	87.23	228	86	938	147