IHY Options History — November 2015

Name: IHY Options Analytics - November 2015
Creator: Options Analysis Suite

In November 2015, IHY traded between $23.19 and $23.69. ATM implied volatility averaged 82.4%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 76.6% (HV 20d: 5.8%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.01.

Notable Days

2015-11-25: Highest Volume — 128 contracts
2015-11-30: Largest IV spike — 333.3% change
2015-11-10: Highest IV Rank — 67.5%
2015-11-04: Largest Expected Move — 36.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.42	$23.19	$23.69	$23.69	$23.19
ATM IV	82.4%	15.6%	132.9%	71.2%	90.3%
Expected Move	21.0%	4.5%	36.4%	20.4%	6.0%
HV 20d	5.8%	4.7%	6.3%	6.2%	4.7%
HV 60d	6.5%	6.2%	6.6%	6.6%	6.2%
IV Rank	40.3%	4.3%	67.5%	34.2%	44.5%
IV Percentile	84.2%	36.5%	97.6%	85.3%	84.9%
Term Structure	-21.2%	-111.1%	137.1%	-62.4%	137.1%
Skew 25d	-0.2%	-79.9%	80.6%	12.3%	80.6%
Skew 10d	18.8%	-83.8%	103.5%	-1.7%	16.7%
Call IV 25d	102.6%	22.6%	170.0%	150.4%	96.7%
Put IV 25d	102.4%	22.0%	184.4%	162.7%	177.3%
Bid-Ask Spread %	170.09	150.91	196.69	165.37	196.69
Gamma HHI	0.73	0.52	0.82	0.73	0.69
Net GEX	-9.4K	-23.6K	-3.6K	-7.9K	-15.3K
Net DEX	100.7K	55.4K	196.5K	98.1K	196.5K
Net VEX	-590	-1.2K	-454	-585	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.33	5.10	0.33	5.10
Total Volume	34.6	0	128	28	0
Total OI	158	143	243	143	243

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
2015-11-02	$23.69	$0.00	71.2%	20.4%	6.2%	34.2%	0.0%	12.3%	-62.4%	-7.9K	98.1K	-585	0.33	165.37	21	7	21	122
2015-11-03	$23.65	$0.00	123.0%	35.3%	6.2%	62.2%	0.0%	14.0%	-109.2%	-4.3K	77.5K	-570	0.33	168.78	21	7	21	122
2015-11-04	$23.68	$0.00	126.9%	36.4%	5.9%	64.2%	0.0%	14.4%	-111.1%	-4.1K	74.7K	-564	0.33	162.86	21	7	21	122
2015-11-05	$23.65	$0.00	131.1%	13.8%	5.9%	66.5%	0.0%	-5.5%	25.3%	-6.6K	59.3K	-534	0.33	163.47	21	7	21	122
2015-11-06	$23.46	$0.00	76.0%	23.0%	6.3%	36.9%	0.0%	-73.2%	-17.4%	-10.0K	99.4K	-576	0.00	177.45	0	0	21	122
2015-11-09	$23.46	$0.00	126.7%	23.9%	6.1%	64.1%	0.0%	9.3%	-19.0%	-3.6K	96.8K	-566	0.00	177.07	0	0	21	122
2015-11-10	$23.45	$0.00	132.9%	24.7%	6.0%	67.5%	0.0%	9.7%	-18.4%	-5.1K	102.9K	-563	0.33	164.53	21	7	21	122
2015-11-11	$23.36	$0.00	15.6%	4.5%	6.0%	4.3%	0.0%	-0.7%	-5.8%	-14.8K	99.7K	-542	0.33	150.91	21	7	21	122
2015-11-12	$23.46	$0.00	28.9%	8.3%	6.1%	11.5%	0.0%	3.3%	-5.9%	-10.5K	108.4K	-543	0.33	168.68	21	7	21	122
2015-11-13	$23.34	$0.00	89.5%	25.7%	6.3%	44.1%	0.0%	10.1%	-21.9%	-10.8K	105.8K	-542	0.33	170.43	21	7	21	122
2015-11-16	$23.30	$0.00	39.8%	11.4%	6.1%	17.4%	0.0%	-16.3%	-28.5%	-10.1K	74.0K	-501	0.00	176.74	0	0	21	122
2015-11-17	$23.30	$0.00	97.7%	28.0%	6.1%	48.5%	0.0%	11.1%	-20.9%	-5.6K	116.0K	-521	0.33	168.44	21	7	21	122
2015-11-18	$23.35	$0.00	95.5%	27.4%	6.2%	47.3%	0.0%	11.0%	-32.2%	-6.9K	55.4K	-468	0.33	167.84	21	7	21	122
2015-11-19	$23.45	$0.00	96.8%	27.8%	5.4%	48.1%	0.0%	22.6%	-28.0%	-10.4K	85.5K	-506	0.33	162.76	21	7	21	122
2015-11-20	$23.38	$0.00	35.6%	10.2%	5.3%	15.1%	0.0%	-79.9%	-18.2%	-8.5K	72.8K	-484	0.33	172.87	21	7	21	122
2015-11-23	$23.35	$0.00	104.6%	30.0%	5.3%	52.3%	0.0%	12.1%	-31.9%	-12.2K	105.2K	-495	0.00	175.91	0	0	21	122
2015-11-24	$23.38	$0.00	36.9%	10.6%	5.3%	15.8%	0.0%	-29.7%	-10.1%	-7.0K	104.3K	-498	0.00	171.99	0	100	21	122
2015-11-25	$23.32	$0.00	109.2%	31.3%	5.3%	54.7%	0.0%	12.8%	-40.0%	-10.5K	158.7K	-1.2K	5.10	170.25	21	107	21	222
2015-11-27	$23.26	$0.00	20.8%	6.0%	5.3%	7.2%	0.0%	-21.9%	-4.8%	-23.6K	122.9K	-454	5.10	168.83	21	107	21	222
2015-11-30	$23.19	$0.00	90.3%	0.0%	4.7%	44.5%	0.0%	80.6%	137.1%	-15.3K	196.5K	-1.1K	0.00	196.69	0	0	21	222