IHY Options History — July 2015

In July 2015, IHY traded between $24.18 and $24.55. ATM implied volatility averaged 14.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 9.4% (HV 20d: 5.0%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 2.21.

Notable Days

  • 2015-07-07: Highest Volume — 332 contracts
  • 2015-07-02: Largest IV spike — 41.0% change
  • 2015-07-08: Highest IV Rank — 38.0%
  • 2015-07-08: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.35$24.18$24.55$24.55$24.32
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV14.4%8.5%21.8%11.5%8.5%
Expected Move4.0%2.4%5.4%3.3%2.4%
HV 20d5.0%4.6%5.8%5.7%5.1%
HV 60d7.1%6.6%7.4%7.3%6.7%
IV Rank19.8%2.3%38.0%14.9%2.3%
IV Percentile45.1%2.0%88.9%31.0%2.0%
Term Structure0.6%-0.8%3.5%-0.3%3.5%
VWIV25.6%8.4%97.0%15.7%97.0%
Skew 25d5.1%1.9%11.0%3.3%11.0%
Skew 10d-1.1%-47.6%11.8%9.3%0.9%
Call IV 25d10.6%6.5%15.4%13.7%8.4%
Put IV 25d15.7%10.5%21.2%16.9%19.4%
Bid-Ask Spread %105.1251.22157.63122.60157.63
Gamma HHI0.630.460.780.500.65
Net GEX-40.7K-103.9K-11.9K-39.0K-11.9K
Net DEX199.4K135.3K319.8K165.5K135.3K
Net VEX-1.2K-1.5K-898-1.1K-898
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.210.643.711.113.71
Total Volume244.545179332321179
Total OI436.091246626493275

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$24.55$25.0011.5%3.3%5.7%14.9%15.7%3.3%-0.3%-39.0K165.5K-1.1K1.11122.60152169177316
2015-07-02$24.46$25.0016.2%4.7%5.8%25.5%16.4%3.8%0.3%-41.4K231.4K-1.5K1.11130.77152169177376
2015-07-06$24.41$0.0018.3%5.0%5.1%30.2%0.0%6.2%-0.1%-53.1K241.9K-1.5K1.1161.48152169177376
2015-07-07$24.26$0.0016.0%4.8%4.8%25.0%14.7%4.4%-0.1%-51.7K319.0K-1.4K1.1885.60152180177376
2015-07-08$24.31$25.0021.8%5.4%4.9%38.0%16.4%5.8%-0.4%-60.2K315.2K-1.5K1.1865.16152180177391
2015-07-09$24.31$25.0021.3%5.2%4.8%36.7%16.1%5.5%0.1%-74.9K319.8K-1.4K0.6551.2215299177391
2015-07-10$24.42$25.0020.9%5.0%5.2%36.0%15.9%6.4%-0.8%-55.8K251.9K-1.4K0.6558.6615299177392
2015-07-13$24.43$25.0016.7%4.3%5.1%26.5%13.6%3.3%0.3%-64.0K243.5K-1.2K0.6479.3615298177392
2015-07-14$24.41$25.0015.8%4.0%5.1%24.6%15.1%3.5%0.8%-83.6K217.5K-1.1K1.0292.59152155177392
2015-07-15$24.36$25.0014.3%4.1%5.1%21.1%14.7%3.9%0.6%-103.9K245.4K-1.2K1.02100.93152155177449
2015-07-16$24.42$25.0012.6%3.6%5.2%17.3%14.3%2.8%1.1%-88.6K240.8K-1.1K1.02116.71152155177449
2015-07-17$24.34$25.0012.6%3.6%4.9%17.3%15.4%9.2%0.7%-17.1K167.2K-1.1K0.9189.68152138177449
2015-07-20$24.35$25.0011.7%3.3%4.8%15.0%8.6%3.7%0.6%-16.2K139.2K-1.0K3.71109.863814141205
2015-07-21$24.41$25.0012.2%3.5%5.0%15.1%8.4%4.4%0.7%-18.3K140.6K-1.0K3.71113.773814141234
2015-07-22$24.32$25.0011.7%3.3%5.1%14.0%9.1%3.3%1.2%-18.2K151.6K-1.1K3.71120.603814141234
2015-07-23$24.35$25.0011.6%3.3%4.9%13.8%9.3%3.9%1.3%-15.7K135.6K-9923.71126.523814141234
2015-07-24$24.30$25.0012.3%3.5%4.9%15.4%14.1%6.1%0.4%-19.0K151.9K-1.1K3.71128.633814141234
2015-07-27$24.24$25.0014.4%4.1%4.7%16.4%17.9%9.5%0.1%-18.2K150.7K-1.1K3.71109.933814141234
2015-07-28$24.23$25.0012.6%3.6%4.6%12.1%16.5%7.3%1.0%-17.8K147.6K-1.0K3.71110.223814141234
2015-07-29$24.32$25.0011.3%3.2%4.6%9.0%93.6%2.3%1.2%-12.7K135.7K-9343.71145.193814141234
2015-07-30$24.18$25.0011.8%3.4%4.7%10.2%95.3%1.9%0.8%-13.2K139.6K-9353.71135.483814141234
2015-07-31$24.32$25.008.5%2.4%5.1%2.3%97.0%11.0%3.5%-11.9K135.3K-8983.71157.633814141234