IHY Options History — August 2015

In August 2015, IHY traded between $23.65 and $24.11. ATM implied volatility averaged 32.0%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 26.0% (HV 20d: 6.0%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.53.

Notable Days

2015-08-20: Highest Volume — 268 contracts
2015-08-24: Largest IV spike — 524.3% change
2015-08-24: Highest IV Rank — 100.0%
2015-08-31: Largest Expected Move — 34.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.94	$23.65	$24.11	$24.10	$23.93
Max Pain	$23.86	$22.00	$25.00	$25.00	$24.00
ATM IV	32.0%	10.2%	119.3%	10.8%	119.3%
Expected Move	9.2%	3.0%	34.2%	3.1%	34.2%
HV 20d	6.0%	5.4%	6.4%	6.0%	5.6%
HV 60d	6.4%	5.4%	6.9%	6.9%	5.5%
IV Rank	29.3%	6.2%	100.0%	7.8%	100.0%
IV Percentile	50.1%	11.5%	100.0%	14.3%	100.0%
Term Structure	-6.2%	-43.5%	4.5%	0.8%	-37.5%
VWIV	49.0%	10.4%	125.8%	107.6%	125.8%
Skew 25d	5.3%	-2.8%	20.9%	1.3%	8.1%
Skew 10d	0.0%	-90.4%	15.7%	1.9%	8.1%
Call IV 25d	38.7%	8.0%	138.7%	9.6%	138.7%
Put IV 25d	43.9%	10.7%	146.8%	10.9%	146.8%
Bid-Ask Spread %	119.14	56.88	187.46	166.37	173.13
Gamma HHI	0.44	0.31	0.63	0.62	0.35
Net GEX	-17.7K	-31.4K	-4.5K	-15.9K	-5.3K
Net DEX	187.0K	129.7K	244.1K	145.2K	141.0K
Net VEX	-1.1K	-1.2K	-885	-938	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.53	1.80	5.37	3.71	1.80
Total Volume	173.524	0	268	0	165
Total OI	306.048	275	359	275	285

Daily Data (21 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
2015-08-03	$24.10	$25.00	10.8%	3.1%	6.0%	7.8%	0.0%	1.3%	0.8%	-15.9K	145.2K	-938	0.00	166.37	0	0	41	234
2015-08-04	$24.11	$25.00	10.6%	3.0%	5.6%	7.3%	107.6%	0.6%	1.3%	-12.1K	144.3K	-903	3.71	162.08	38	141	41	234
2015-08-05	$24.11	$25.00	10.3%	3.0%	5.6%	6.6%	111.2%	0.7%	1.2%	-13.1K	144.0K	-902	3.71	151.24	38	141	41	234
2015-08-06	$24.05	$22.00	10.2%	3.3%	5.6%	6.2%	10.6%	5.0%	1.4%	-12.5K	147.1K	-903	3.71	100.43	38	141	41	234
2015-08-07	$23.95	$22.00	11.3%	3.3%	5.4%	8.8%	10.4%	4.1%	1.6%	-16.8K	153.4K	-921	3.71	102.75	38	141	41	234
2015-08-10	$24.11	$22.00	11.7%	3.4%	6.0%	9.8%	11.8%	7.2%	0.7%	-13.1K	148.2K	-885	5.37	96.56	38	204	41	234
2015-08-11	$23.99	$24.00	14.9%	3.8%	6.2%	17.5%	0.0%	6.1%	0.8%	-31.4K	230.0K	-1.1K	0.00	83.81	0	0	41	297
2015-08-12	$24.04	$24.00	14.7%	4.2%	6.3%	17.0%	15.1%	1.9%	-0.3%	-28.3K	226.5K	-1.1K	5.37	83.54	38	204	41	297
2015-08-13	$23.98	$24.00	14.0%	4.0%	6.2%	15.3%	13.8%	6.6%	0.4%	-28.0K	226.9K	-1.1K	5.37	56.88	38	204	41	297
2015-08-14	$23.97	$24.00	13.8%	3.9%	6.2%	14.8%	13.7%	6.5%	0.4%	-28.2K	228.5K	-1.1K	5.23	65.77	39	204	41	297
2015-08-17	$23.98	$24.00	13.5%	3.9%	6.2%	14.2%	13.4%	5.9%	0.3%	-26.9K	235.4K	-1.1K	5.23	89.63	39	204	42	297
2015-08-18	$23.97	$24.00	12.7%	3.6%	6.1%	12.3%	12.6%	6.7%	1.9%	-28.3K	242.0K	-1.1K	5.23	87.07	39	204	42	297
2015-08-19	$23.87	$24.00	13.3%	3.8%	6.1%	13.6%	0.0%	5.5%	1.3%	-28.7K	243.1K	-1.0K	0.00	121.60	0	0	42	297
2015-08-20	$23.95	$24.00	16.4%	4.7%	6.2%	21.1%	16.0%	7.2%	-0.1%	-25.4K	244.1K	-1.0K	3.54	62.14	59	209	42	297
2015-08-21	$23.91	$24.00	17.2%	4.9%	6.2%	23.0%	18.6%	9.1%	0.7%	-21.8K	218.6K	-1.2K	2.64	67.27	59	156	62	297
2015-08-24	$23.84	$24.00	107.4%	30.8%	6.2%	100.0%	104.8%	5.3%	-43.5%	-4.5K	132.0K	-1.2K	1.80	164.16	59	106	62	223
2015-08-25	$23.72	$24.00	103.6%	29.7%	6.4%	96.1%	107.1%	3.0%	-30.5%	-4.7K	149.3K	-1.2K	1.80	168.62	59	106	62	223
2015-08-26	$23.65	$24.00	108.1%	31.0%	6.2%	100.0%	109.0%	1.7%	-33.8%	-5.0K	129.7K	-1.1K	1.80	187.46	59	106	62	223
2015-08-27	$23.68	$24.00	15.8%	4.5%	6.0%	8.2%	47.0%	-2.8%	-1.4%	-7.7K	201.2K	-1.1K	1.80	154.79	59	106	62	223
2015-08-28	$23.76	$24.00	23.3%	6.7%	5.7%	15.7%	33.0%	20.9%	4.5%	-14.1K	196.5K	-1.1K	1.80	156.59	59	106	62	223
2015-08-31	$23.93	$24.00	119.3%	34.2%	5.6%	100.0%	125.8%	8.1%	-37.5%	-5.3K	141.0K	-1.1K	1.80	173.13	59	106	62	223