IHY Options History — September 2015

In September 2015, IHY traded between $23.07 and $23.89. ATM implied volatility averaged 90.1%, placing in the 65.3% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 83.3% (HV 20d: 6.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.16.

Notable Days

  • 2015-09-01: Highest Volume — 165 contracts
  • 2015-09-24: Largest IV spike — 268.5% change
  • 2015-09-01: Highest IV Rank — 100.0%
  • 2015-09-29: Largest Expected Move — 37.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.58$23.07$23.89$23.78$23.15
Max Pain$24.00$24.00$24.00$24.00$24.00
ATM IV90.1%30.5%135.8%122.9%112.5%
Expected Move24.5%6.6%37.7%35.2%32.3%
HV 20d6.8%5.9%7.7%6.0%7.0%
HV 60d5.9%5.5%6.2%5.5%6.2%
IV Rank65.3%17.9%100.0%100.0%81.9%
IV Percentile97.1%90.1%100.0%100.0%97.6%
Term Structure-35.9%-56.4%13.3%-47.6%-46.8%
VWIV108.9%52.8%151.5%129.3%151.5%
Skew 25d-24.8%-107.6%31.1%7.7%-6.3%
Skew 10d-27.8%-107.6%15.2%7.7%-6.3%
Call IV 25d115.8%23.7%161.6%143.2%161.6%
Put IV 25d91.0%14.9%155.3%150.9%155.3%
Bid-Ask Spread %171.71137.98191.82180.10174.44
Gamma HHI0.460.280.780.470.44
Net GEX-10.0K-48.0K-1.3K-7.1K-1.3K
Net DEX126.7K46.9K207.7K134.0K76.4K
Net VEX-920-1.1K-768-1.1K-793
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.241.801.800.31
Total Volume111.381016516559
Total OI250.381194286285194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$23.78$24.00122.9%35.2%6.0%100.0%129.3%7.7%-47.6%-7.1K134.0K-1.1K1.80180.105910662223
2015-09-02$23.70$24.00126.8%36.4%6.1%100.0%132.5%6.1%-47.8%-4.6K143.1K-1.1K1.80169.715910662223
2015-09-03$23.58$24.0037.4%6.6%6.2%25.0%52.8%31.1%13.3%-8.1K152.1K-1.1K1.80159.195910662223
2015-09-04$23.63$24.00135.8%23.0%6.2%100.0%91.9%-13.9%-41.6%-6.6K122.3K-1.0K1.80180.565910662223
2015-09-08$23.76$24.0057.0%9.3%6.0%38.6%0.0%16.4%-7.3%-17.1K207.7K-9880.00137.980062223
2015-09-09$23.69$24.0088.6%25.4%5.9%63.2%97.8%-7.4%-48.2%-4.8K143.8K-1.0K1.80166.785910662223
2015-09-10$23.83$24.0087.4%25.0%6.3%62.3%100.6%-19.8%-46.5%-4.6K148.4K-1.0K1.80172.115910662223
2015-09-11$23.88$24.0088.7%25.4%6.3%63.3%99.1%-9.3%-45.8%-4.5K140.3K-1.0K1.80166.825910662223
2015-09-14$23.74$24.0056.3%16.1%6.6%38.0%85.1%-53.6%-29.3%-26.1K163.8K-9391.80150.265910662223
2015-09-15$23.69$24.0065.4%18.8%6.6%45.1%0.0%-15.2%-45.6%-32.6K192.9K-9420.00191.820062223
2015-09-16$23.78$24.0069.1%19.8%6.8%48.0%85.5%-73.0%-31.1%-11.1K180.5K-9161.80168.915910662223
2015-09-17$23.89$24.0095.9%27.5%6.9%68.9%107.0%-10.3%-52.3%-48.0K136.8K-8811.80177.095910662223
2015-09-18$23.73$24.0055.9%16.0%7.1%37.7%60.6%-103.0%-56.4%-3.0K179.6K-7681.80162.095910663223
2015-09-21$23.60$24.00102.7%29.4%7.3%74.2%118.1%-18.6%-31.2%-3.1K46.9K-8360.24174.97581463131
2015-09-22$23.43$24.00107.3%30.7%7.7%77.8%123.7%-27.1%-38.1%-3.5K70.8K-8430.24183.49581463131
2015-09-23$23.39$24.0030.5%8.8%7.5%17.9%89.0%-40.0%-2.6%-7.1K118.6K-7830.24181.57581463131
2015-09-24$23.36$24.00112.5%32.2%7.5%81.8%127.9%-107.6%-32.7%-5.4K93.1K-8350.24182.77581463131
2015-09-25$23.30$24.0080.3%23.0%7.5%56.7%124.3%-43.7%-12.2%-4.1K67.0K-8290.31172.85451463131
2015-09-28$23.14$24.00127.0%36.4%7.6%93.2%144.0%-16.9%-52.2%-3.2K70.2K-8020.31175.15451463131
2015-09-29$23.07$24.00131.6%37.7%6.9%96.8%149.1%-16.8%-52.1%-3.0K71.3K-8010.31177.26451463131
2015-09-30$23.15$24.00112.5%32.3%7.0%81.9%151.5%-6.3%-46.8%-1.3K76.4K-7930.31174.44451463131