IHY Options History — May 2015

In May 2015, IHY traded between $24.90 and $25.41. ATM implied volatility averaged 14.9%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 8.0% (HV 20d: 6.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.21.

Notable Days

2015-05-12: Highest Volume — 148 contracts
2015-05-08: Largest IV drop — 18.4% change
2015-05-07: Highest IV Rank — 29.1%
2015-05-07: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.08	$24.90	$25.41	$24.96	$24.99
Max Pain	$24.90	$23.00	$25.00	$23.00	$25.00
ATM IV	14.9%	12.3%	18.1%	16.6%	14.7%
Expected Move	4.2%	3.5%	5.4%	4.8%	4.2%
HV 20d	6.9%	6.1%	7.9%	6.7%	7.1%
HV 60d	7.9%	7.7%	8.1%	8.0%	8.1%
IV Rank	20.3%	9.4%	29.1%	10.1%	22.4%
IV Percentile	57.2%	47.2%	74.6%	66.3%	54.0%
Term Structure	0.7%	-3.2%	1.6%	-0.8%	0.6%
VWIV	14.7%	12.2%	20.3%	16.7%	13.8%
Skew 25d	5.3%	2.5%	8.7%	6.2%	5.6%
Skew 10d	8.8%	6.4%	13.3%	10.3%	8.0%
Call IV 25d	12.1%	8.5%	16.0%	13.3%	11.2%
Put IV 25d	17.4%	14.0%	20.5%	19.5%	16.8%
Bid-Ask Spread %	46.87	31.61	58.45	50.67	58.45
Gamma HHI	0.31	0.28	0.41	0.28	0.29
Net GEX	11.1K	7.0K	16.6K	7.0K	9.7K
Net DEX	-60.8K	-120.5K	-35.9K	-40.2K	-38.9K
Net VEX	-404	-483	-311	-336	-336
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	0.32	0.14	0.20
Total Volume	94.45	0	148	125	109
Total OI	142.7	100	169	100	131

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
2015-05-01	$24.96	$23.00	16.6%	4.8%	6.7%	10.1%	16.7%	6.2%	-0.8%	7.0K	-40.2K	-336	0.14	50.67	110	15	85	15
2015-05-04	$24.90	$25.00	15.7%	4.5%	6.8%	9.4%	0.0%	5.4%	0.8%	15.7K	-70.3K	-462	0.00	46.37	0	0	129	15
2015-05-05	$24.98	$25.00	18.1%	4.9%	6.5%	11.4%	16.8%	4.8%	0.5%	15.6K	-77.5K	-476	0.14	47.86	110	15	130	15
2015-05-06	$25.11	$25.00	17.3%	4.7%	6.6%	28.1%	16.2%	2.5%	1.5%	16.6K	-87.8K	-480	0.32	54.95	110	35	130	15
2015-05-07	$24.96	$25.00	17.7%	5.4%	6.9%	29.1%	20.3%	5.6%	-3.2%	8.7K	-52.6K	-483	0.32	50.84	110	35	130	35
2015-05-08	$25.01	$25.00	14.5%	4.1%	6.9%	21.8%	0.0%	5.0%	1.2%	9.0K	-50.8K	-473	0.00	46.60	0	0	129	35
2015-05-11	$25.02	$25.00	16.7%	4.2%	6.5%	26.8%	14.8%	4.3%	1.3%	9.1K	-51.2K	-451	0.00	44.76	4	0	129	35
2015-05-12	$25.06	$25.00	17.4%	4.3%	6.1%	28.5%	15.0%	4.2%	1.3%	10.1K	-67.8K	-464	0.31	49.47	113	35	134	35
2015-05-13	$25.22	$25.00	15.6%	4.5%	6.4%	24.3%	15.4%	5.2%	0.9%	10.8K	-84.0K	-465	0.31	45.12	113	35	134	35
2015-05-14	$25.32	$25.00	14.4%	4.1%	6.4%	21.8%	14.4%	4.9%	1.6%	11.5K	-104.8K	-453	0.31	42.57	113	35	134	35
2015-05-15	$25.41	$25.00	14.4%	4.1%	6.4%	21.6%	14.5%	4.0%	0.6%	12.0K	-120.5K	-423	0.31	47.92	113	35	134	35
2015-05-18	$25.28	$25.00	14.5%	4.2%	6.7%	22.0%	0.0%	8.7%	0.1%	11.6K	-59.8K	-405	0.00	36.10	0	0	113	14
2015-05-19	$25.12	$25.00	13.3%	3.8%	7.3%	19.1%	0.0%	6.7%	1.2%	10.7K	-48.3K	-363	0.00	31.61	0	0	113	14
2015-05-20	$25.14	$25.00	12.4%	3.6%	7.3%	17.3%	12.3%	5.8%	1.6%	11.1K	-47.7K	-357	0.15	46.43	92	14	113	14
2015-05-21	$25.22	$25.00	12.3%	3.5%	7.0%	16.9%	12.2%	5.6%	1.3%	11.4K	-49.3K	-349	0.15	46.62	92	14	113	14
2015-05-22	$25.14	$25.00	12.5%	3.6%	7.0%	17.5%	12.3%	4.8%	1.2%	11.0K	-46.8K	-349	0.15	50.32	92	14	113	14
2015-05-26	$24.91	$25.00	14.8%	4.2%	7.9%	22.5%	14.6%	6.6%	0.9%	9.8K	-41.7K	-332	0.15	45.95	92	14	113	14
2015-05-27	$24.98	$25.00	12.8%	3.7%	7.9%	18.1%	12.8%	4.6%	1.0%	10.4K	-40.9K	-321	0.20	46.39	92	18	113	14
2015-05-28	$24.93	$25.00	12.8%	3.7%	7.9%	18.2%	12.8%	5.5%	1.1%	9.9K	-35.9K	-311	0.20	48.41	92	18	113	18
2015-05-29	$24.99	$25.00	14.7%	4.2%	7.1%	22.4%	13.8%	5.6%	0.6%	9.7K	-38.9K	-336	0.20	58.45	91	18	113	18