IHY Options History — June 2015

In June 2015, IHY traded between $24.59 and $24.97. ATM implied volatility averaged 15.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.4% (HV 20d: 8.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.31.

Notable Days

2015-06-30: Highest Volume — 323 contracts
2015-06-29: Largest IV spike — 27.8% change
2015-06-15: Highest IV Rank — 28.9%
2015-06-15: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.82	$24.59	$24.97	$24.66	$24.67
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	15.0%	12.5%	17.8%	14.7%	16.7%
Expected Move	4.3%	3.6%	5.1%	4.2%	4.8%
HV 20d	8.5%	5.6%	9.4%	8.3%	5.6%
HV 60d	7.8%	7.2%	8.5%	8.5%	7.3%
IV Rank	22.8%	17.2%	28.9%	22.4%	26.5%
IV Percentile	53.8%	40.5%	73.4%	54.0%	64.3%
Term Structure	1.0%	-1.3%	2.7%	0.9%	-0.9%
VWIV	15.8%	12.5%	19.2%	14.8%	18.2%
Skew 25d	4.9%	2.9%	6.9%	5.1%	5.9%
Skew 10d	8.6%	1.7%	13.0%	3.9%	11.6%
Call IV 25d	13.6%	11.2%	16.3%	13.5%	14.6%
Put IV 25d	18.5%	16.2%	21.9%	18.7%	20.5%
Bid-Ask Spread %	88.20	49.29	132.90	105.20	105.60
Gamma HHI	0.36	0.30	0.52	0.30	0.46
Net GEX	9.4K	-15.2K	14.0K	9.0K	-15.2K
Net DEX	-26.0K	-41.4K	67.4K	-31.3K	67.4K
Net VEX	-356	-638	-274	-319	-638
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.17	1.28	0.20	1.13
Total Volume	129.773	0	323	109	323
Total OI	155	132	311	132	311

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
2015-06-01	$24.66	$25.00	14.7%	4.2%	8.3%	22.4%	14.8%	5.1%	0.9%	9.0K	-31.3K	-319	0.20	105.20	91	18	114	18
2015-06-02	$24.93	$25.00	14.9%	4.3%	9.2%	22.9%	0.0%	5.1%	0.0%	10.1K	-39.9K	-336	0.00	49.51	0	0	114	18
2015-06-03	$24.97	$25.00	14.3%	4.1%	9.1%	21.5%	14.3%	5.7%	0.8%	10.5K	-41.4K	-329	0.20	49.29	91	18	114	18
2015-06-04	$24.95	$25.00	15.8%	4.5%	8.9%	24.9%	14.3%	4.5%	1.3%	10.1K	-40.1K	-325	0.20	52.06	91	18	114	18
2015-06-05	$24.74	$25.00	14.9%	4.4%	9.1%	22.7%	14.6%	4.5%	2.2%	9.1K	-30.1K	-298	0.20	49.76	89	18	114	18
2015-06-08	$24.89	$25.00	16.3%	4.5%	9.4%	26.0%	14.9%	4.6%	1.9%	10.1K	-37.9K	-314	0.20	52.58	89	18	114	18
2015-06-09	$24.89	$25.00	15.1%	4.6%	9.4%	23.3%	15.2%	4.5%	1.6%	10.4K	-37.1K	-310	0.20	52.25	89	18	114	18
2015-06-10	$24.95	$25.00	15.0%	4.3%	9.4%	23.1%	14.5%	3.2%	1.8%	10.8K	-38.4K	-289	0.20	97.06	89	18	114	18
2015-06-11	$24.93	$25.00	14.9%	4.3%	9.1%	22.6%	14.2%	3.4%	1.2%	11.2K	-35.9K	-281	0.20	90.60	89	18	114	18
2015-06-12	$24.84	$25.00	16.7%	4.8%	9.0%	26.6%	15.3%	4.6%	0.4%	11.0K	-39.1K	-290	0.20	83.88	89	18	114	18
2015-06-15	$24.79	$25.00	17.8%	5.1%	8.8%	28.9%	16.3%	5.5%	0.1%	10.4K	-33.7K	-274	0.26	65.95	89	23	114	18
2015-06-16	$24.78	$25.00	16.6%	4.8%	8.7%	26.2%	16.0%	3.5%	0.9%	9.8K	-19.7K	-346	0.26	72.55	89	23	114	30
2015-06-17	$24.82	$25.00	15.2%	4.4%	8.5%	23.2%	13.3%	6.9%	1.7%	9.2K	-18.1K	-326	0.31	86.75	89	28	114	30
2015-06-18	$24.93	$25.00	13.7%	3.9%	8.7%	19.8%	12.5%	6.5%	2.4%	10.7K	-17.9K	-313	0.27	115.50	102	28	114	35
2015-06-19	$24.85	$25.00	13.9%	4.0%	8.6%	20.2%	12.8%	6.5%	2.7%	8.2K	-24.5K	-383	0.27	107.07	102	28	129	35
2015-06-22	$24.81	$25.00	12.7%	3.6%	8.6%	17.5%	19.2%	5.4%	1.7%	8.5K	-18.9K	-357	0.19	131.59	118	23	123	30
2015-06-23	$24.77	$25.00	12.5%	3.6%	8.0%	17.2%	18.0%	4.8%	0.7%	14.0K	-32.3K	-392	0.17	132.90	118	20	143	30
2015-06-24	$24.86	$25.00	13.0%	3.7%	8.1%	18.3%	18.3%	4.3%	1.0%	14.0K	-33.9K	-445	0.17	104.74	118	20	143	37
2015-06-25	$24.80	$25.00	13.5%	3.9%	8.1%	19.3%	18.8%	3.9%	0.3%	13.2K	-29.7K	-430	0.17	112.22	118	20	143	37
2015-06-26	$24.68	$25.00	13.5%	3.9%	8.2%	19.4%	17.6%	2.9%	-0.3%	12.0K	-20.5K	-417	0.17	117.74	118	20	143	37
2015-06-29	$24.59	$25.00	17.3%	5.0%	6.8%	27.9%	19.2%	5.7%	-1.3%	10.7K	-19.7K	-415	1.28	105.68	118	151	143	37
2015-06-30	$24.67	$25.00	16.7%	4.8%	5.6%	26.5%	18.2%	5.9%	-0.9%	-15.2K	67.4K	-638	1.13	105.60	152	171	143	168