IHY Options History — February 2015

In February 2015, IHY traded between $23.96 and $24.77. ATM implied volatility averaged 16.3%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.3% (HV 20d: 10.0%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.39.

Notable Days

2015-02-09: Highest Volume — 321 contracts
2015-02-19: Largest IV spike — 51.0% change
2015-02-09: Highest IV Rank — 15.1%
2015-02-09: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.46	$23.96	$24.77	$23.96	$24.72
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	16.3%	10.5%	22.5%	19.6%	11.6%
Expected Move	4.7%	3.0%	6.0%	5.6%	3.3%
HV 20d	10.0%	8.7%	10.6%	8.7%	9.6%
HV 60d	13.4%	12.7%	13.6%	12.7%	13.4%
IV Rank	9.9%	5.0%	15.1%	12.7%	5.9%
IV Percentile	66.6%	44.8%	81.7%	76.2%	54.8%
Term Structure	0.7%	-4.3%	2.2%	-4.3%	1.7%
VWIV	16.9%	9.5%	21.4%	9.5%	15.6%
Skew 25d	7.3%	2.7%	12.7%	11.2%	3.6%
Skew 10d	4.0%	-73.4%	17.8%	4.6%	-2.5%
Call IV 25d	13.3%	9.1%	16.2%	10.4%	12.4%
Put IV 25d	20.6%	14.5%	25.0%	21.7%	16.0%
Bid-Ask Spread %	65.35	38.06	105.60	96.78	69.67
Gamma HHI	0.43	0.27	0.59	0.59	0.28
Net GEX	30.1K	6.1K	42.8K	41.0K	12.2K
Net DEX	-67.1K	-174.4K	20.0K	-174.4K	13.0K
Net VEX	-1.8K	-2.7K	-1.1K	-2.7K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.00	0.47	0.38	0.43
Total Volume	235.105	0	321	0	221
Total OI	1,084.737	1,064	1,105	1,085	1,064

Daily Data (19 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
2015-02-02	$23.96	$24.00	19.6%	5.6%	8.7%	12.7%	0.0%	11.2%	-4.3%	41.0K	-174.4K	-2.7K	0.00	96.78	0	0	938	147
2015-02-03	$24.34	$24.00	18.2%	5.2%	10.5%	11.5%	9.5%	10.9%	1.1%	37.6K	-92.4K	-2.1K	0.38	80.02	228	86	938	147
2015-02-04	$24.21	$24.00	19.9%	5.7%	9.9%	13.0%	10.1%	12.7%	1.0%	37.6K	-96.5K	-2.2K	0.38	105.60	228	86	938	147
2015-02-05	$24.39	$24.00	18.3%	5.4%	10.2%	11.6%	19.6%	8.9%	0.7%	40.1K	-111.8K	-2.3K	0.38	42.43	228	86	938	147
2015-02-06	$24.20	$24.00	19.1%	5.7%	10.4%	12.3%	20.0%	8.7%	-0.3%	36.0K	-71.3K	-2.0K	0.38	48.05	228	86	938	147
2015-02-09	$24.21	$24.00	22.5%	6.0%	10.3%	15.1%	21.4%	8.7%	-0.4%	35.8K	-78.8K	-2.0K	0.41	40.27	228	93	938	147
2015-02-10	$24.28	$24.00	20.8%	5.6%	10.4%	13.7%	19.8%	8.4%	-0.3%	35.9K	-70.4K	-2.1K	0.41	39.30	228	93	938	154
2015-02-11	$24.28	$24.00	19.8%	5.7%	10.3%	12.9%	20.2%	7.7%	0.0%	36.2K	-60.8K	-1.9K	0.41	38.06	228	93	938	154
2015-02-12	$24.42	$24.00	18.6%	5.3%	10.6%	11.8%	18.7%	7.6%	0.7%	37.3K	-77.3K	-1.9K	0.45	52.42	209	93	938	154
2015-02-13	$24.53	$24.00	14.3%	4.1%	9.9%	8.2%	17.5%	8.2%	2.0%	39.3K	-93.2K	-1.9K	0.47	44.71	196	93	941	154
2015-02-17	$24.66	$24.00	15.3%	4.4%	9.9%	9.0%	19.0%	8.8%	1.9%	42.8K	-131.2K	-1.9K	0.47	50.82	196	93	941	154
2015-02-18	$24.60	$24.00	13.8%	4.0%	10.0%	7.8%	17.9%	6.7%	1.6%	37.2K	-88.7K	-1.7K	0.34	63.68	196	66	941	154
2015-02-19	$24.47	$24.00	20.9%	6.0%	10.1%	13.8%	0.0%	6.0%	-1.5%	30.1K	-46.8K	-1.5K	0.00	80.65	0	0	941	164
2015-02-20	$24.60	$24.00	12.2%	3.5%	10.0%	6.4%	13.8%	3.1%	1.3%	31.6K	-138.9K	-1.9K	0.00	85.44	1	0	941	164
2015-02-23	$24.62	$24.00	12.9%	3.7%	10.0%	7.0%	17.5%	6.7%	2.0%	17.4K	11.2K	-1.4K	0.43	74.94	155	66	903	164
2015-02-24	$24.69	$24.00	10.5%	3.0%	10.0%	5.0%	16.0%	3.7%	1.4%	8.9K	20.0K	-1.2K	0.43	82.62	155	66	903	164
2015-02-25	$24.77	$24.00	10.7%	3.1%	9.8%	5.2%	14.8%	2.7%	2.2%	9.5K	1.5K	-1.1K	0.43	75.00	155	66	903	164
2015-02-26	$24.72	$24.00	11.4%	3.3%	9.7%	5.7%	15.2%	3.9%	2.1%	6.1K	13.0K	-1.1K	0.43	71.13	155	66	900	164
2015-02-27	$24.72	$24.00	11.6%	3.3%	9.6%	5.9%	15.6%	3.6%	1.7%	12.2K	13.0K	-1.1K	0.43	69.67	155	66	900	164