IHY Options History — March 2015

In March 2015, IHY traded between $23.80 and $24.65. ATM implied volatility averaged 16.9%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 8.3% (HV 20d: 8.6%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.31.

Notable Days

2015-03-02: Highest Volume — 221 contracts
2015-03-04: Largest IV spike — 66.7% change
2015-03-10: Highest IV Rank — 12.5%
2015-03-10: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.16	$23.80	$24.65	$24.65	$24.07
Max Pain	$24.86	$24.00	$25.00	$24.00	$25.00
ATM IV	16.9%	10.7%	19.4%	11.6%	16.7%
Expected Move	4.9%	3.1%	6.4%	3.3%	4.8%
HV 20d	8.6%	6.6%	10.2%	9.7%	10.1%
HV 60d	11.0%	8.9%	13.4%	13.4%	9.2%
IV Rank	10.4%	5.1%	12.5%	5.9%	10.2%
IV Percentile	65.6%	43.3%	73.8%	54.8%	63.9%
Term Structure	0.2%	-4.6%	1.6%	1.3%	0.6%
VWIV	16.6%	9.4%	19.4%	17.0%	17.2%
Skew 25d	7.6%	2.5%	11.5%	4.1%	5.6%
Skew 10d	8.1%	-4.4%	13.6%	-1.9%	8.0%
Call IV 25d	13.0%	9.1%	17.0%	13.1%	13.1%
Put IV 25d	20.6%	17.0%	23.9%	17.2%	18.7%
Bid-Ask Spread %	51.69	29.49	72.38	72.38	63.84
Gamma HHI	0.34	0.20	0.66	0.27	0.23
Net GEX	-3.7K	-35.4K	11.8K	11.8K	4.6K
Net DEX	90.6K	8.3K	190.0K	8.3K	84.6K
Net VEX	-738	-1.1K	-450	-1.1K	-450
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	0.47	0.43	0.29
Total Volume	72.182	0	221	221	172
Total OI	1,030.091	956	1,065	1,064	957

Daily Data (22 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
2015-03-02	$24.65	$24.00	11.6%	3.3%	9.7%	5.9%	17.0%	4.1%	1.3%	11.8K	8.3K	-1.1K	0.43	72.38	155	66	900	164
2015-03-03	$24.56	$24.00	10.7%	3.1%	8.6%	5.1%	16.6%	2.5%	1.5%	8.5K	17.8K	-1.1K	0.47	70.05	141	66	899	164
2015-03-04	$24.46	$24.00	17.8%	5.1%	6.9%	11.1%	18.0%	5.3%	0.3%	8.1K	37.5K	-1.1K	0.47	69.85	141	66	900	164
2015-03-05	$24.50	$25.00	18.1%	5.1%	6.6%	11.4%	18.8%	9.0%	0.7%	6.7K	27.7K	-1.1K	0.47	33.55	141	66	900	164
2015-03-06	$24.23	$25.00	17.7%	5.5%	7.3%	11.1%	19.4%	8.1%	-0.0%	5.8K	57.8K	-1.1K	0.47	29.49	141	66	900	164
2015-03-09	$24.33	$25.00	15.9%	5.2%	6.9%	9.5%	11.9%	7.5%	0.8%	-1.9K	78.5K	-876	0.00	49.49	0	15	900	164
2015-03-10	$24.13	$25.00	19.4%	6.4%	7.5%	12.5%	0.0%	8.2%	-4.6%	1.6K	78.3K	-1.0K	0.00	36.19	0	0	900	165
2015-03-11	$24.02	$25.00	18.6%	5.3%	7.6%	11.9%	0.0%	6.3%	-0.4%	-8.6K	123.7K	-803	0.00	52.92	0	0	900	165
2015-03-12	$23.99	$25.00	17.8%	5.1%	7.6%	11.2%	0.0%	5.8%	0.8%	-7.3K	116.8K	-790	0.00	51.38	0	0	900	165
2015-03-13	$23.82	$25.00	17.7%	5.1%	7.5%	11.0%	0.0%	8.7%	1.0%	-15.7K	167.2K	-649	0.00	43.83	0	0	900	165
2015-03-16	$23.88	$25.00	18.0%	5.2%	7.3%	11.3%	0.0%	9.0%	0.1%	-19.4K	169.7K	-594	0.00	44.77	0	0	900	165
2015-03-17	$23.80	$25.00	17.3%	5.0%	6.9%	10.7%	0.0%	8.0%	0.8%	-24.9K	182.1K	-564	0.00	47.48	0	0	900	165
2015-03-18	$24.10	$25.00	16.2%	4.6%	8.6%	9.8%	9.4%	8.6%	0.9%	-26.5K	112.9K	-671	0.00	56.42	2	0	900	165
2015-03-19	$23.83	$25.00	16.3%	4.7%	9.2%	9.9%	0.0%	8.3%	1.2%	-35.4K	190.0K	-537	0.00	51.31	0	0	900	165
2015-03-20	$24.12	$25.00	15.0%	4.3%	10.1%	8.8%	0.0%	8.4%	1.6%	-6.6K	91.6K	-517	0.00	50.61	0	0	900	165
2015-03-23	$24.21	$25.00	19.3%	5.5%	10.2%	12.4%	0.0%	11.5%	-1.4%	9.1K	50.8K	-702	0.00	52.12	0	0	870	86
2015-03-24	$24.15	$25.00	16.7%	4.8%	10.2%	10.2%	0.0%	9.4%	0.0%	800	91.8K	-498	0.00	51.21	0	0	870	86
2015-03-25	$24.18	$25.00	17.0%	4.9%	10.1%	10.5%	0.0%	9.8%	0.6%	847	89.0K	-514	0.00	49.15	0	0	870	86
2015-03-26	$24.19	$25.00	19.0%	5.5%	10.1%	12.2%	18.7%	4.6%	-0.6%	4.2K	65.8K	-618	0.27	51.90	141	38	870	86
2015-03-27	$24.20	$25.00	18.3%	5.2%	10.1%	11.6%	18.0%	8.9%	-0.2%	1.2K	75.9K	-536	0.00	59.19	1	0	870	86
2015-03-30	$24.18	$25.00	17.4%	5.0%	10.1%	10.8%	18.1%	9.1%	0.3%	2.5K	74.8K	-510	0.29	49.98	132	38	871	86
2015-03-31	$24.07	$25.00	16.7%	4.8%	10.1%	10.2%	17.2%	5.6%	0.6%	4.6K	84.6K	-450	0.29	63.84	133	39	871	86