IHY Options History — December 2015

In December 2015, IHY traded between $22.61 and $23.28. ATM implied volatility averaged 50.0%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 43.1% (HV 20d: 6.8%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 5.10.

Notable Days

  • 2015-12-02: Highest Volume — 128 contracts
  • 2015-12-11: Largest IV spike — 412.5% change
  • 2015-12-04: Highest IV Rank — 60.0%
  • 2015-12-14: Largest Expected Move — 33.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.92$22.61$23.28$23.17$22.72
Max Pain$23.00$23.00$23.00$23.00$23.00
ATM IV50.0%12.2%119.0%91.3%29.3%
Expected Move11.9%3.5%33.9%9.2%8.4%
HV 20d6.8%4.7%8.7%4.7%8.7%
HV 60d6.5%6.2%6.9%6.2%6.8%
IV Rank22.5%2.0%60.0%45.0%11.2%
IV Percentile68.5%8.3%93.7%85.3%69.8%
Term Structure-19.9%-94.9%139.2%93.6%-83.6%
VWIV34.1%12.2%147.0%37.3%29.3%
Skew 25d22.7%-77.7%131.3%59.7%1.3%
Skew 10d10.2%-146.6%115.3%17.6%1.3%
Call IV 25d86.7%13.9%175.1%119.5%175.1%
Put IV 25d109.4%18.8%179.1%179.1%176.4%
Bid-Ask Spread %177.25137.23197.30197.30169.54
Gamma HHI0.620.470.780.680.73
Net GEX-18.3K-31.3K-9.6K-14.1K-17.4K
Net DEX219.7K173.2K258.0K189.3K234.3K
Net VEX-1.0K-1.1K-833-1.1K-860
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.105.105.105.105.10
Total Volume116.36401280128
Total OI243243243243243

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$23.17$0.0091.3%0.0%4.7%45.0%0.0%59.7%93.6%-14.1K189.3K-1.1K0.00197.300021222
2015-12-02$23.04$0.0032.2%9.2%5.0%13.2%0.0%-77.7%-15.9%-19.0K203.0K-1.1K5.10182.472110721222
2015-12-03$23.22$23.0094.0%27.0%5.9%46.5%37.3%7.2%-63.5%-12.2K173.2K-1.1K5.10182.342110721222
2015-12-04$23.26$23.00119.0%5.3%6.0%60.0%30.3%131.3%-2.8%-21.3K221.2K-1.1K5.10159.142110721222
2015-12-07$23.15$23.0016.3%4.3%5.5%4.2%0.0%100.0%3.9%-27.9K218.6K-1.1K0.00186.790021222
2015-12-08$23.17$23.0072.2%9.7%5.5%34.5%34.5%-49.1%-8.3%-13.0K186.7K-1.1K5.10188.212110721222
2015-12-09$23.28$23.0016.4%4.7%5.9%4.3%18.9%0.9%2.9%-27.5K213.2K-1.1K5.10137.232110721222
2015-12-10$23.11$23.0020.7%5.9%6.2%6.6%18.5%3.1%-0.0%-20.2K214.4K-1.1K5.10165.442110721222
2015-12-11$22.96$23.00106.0%30.4%6.3%52.7%147.0%113.5%-75.9%-12.8K188.3K-1.1K5.10168.552110721222
2015-12-14$22.79$23.00118.2%33.9%6.6%59.4%41.9%13.5%-78.5%-9.6K190.2K-1.0K5.10191.412110721222
2015-12-15$22.86$23.00114.8%32.9%6.7%57.5%30.0%22.7%-84.5%-11.3K211.3K-1.0K5.10187.522110721222
2015-12-16$22.69$23.0024.2%6.9%7.1%8.5%24.2%23.9%-94.9%-15.0K227.0K-9975.10185.082110721222
2015-12-17$22.78$23.0023.0%6.6%7.2%7.8%23.0%10.3%1.2%-18.3K244.6K-1.0K5.10180.992110721222
2015-12-18$22.68$23.0028.5%8.2%7.0%10.8%34.7%109.3%-10.8%-14.4K241.1K-1.0K5.10181.842110721222
2015-12-21$22.85$23.0018.2%5.2%7.7%5.2%21.5%1.3%139.2%-23.9K250.9K-9825.10182.642110721222
2015-12-22$22.76$23.0030.8%8.8%7.8%12.1%30.8%7.9%-42.6%-13.1K220.4K-9515.10174.402110721222
2015-12-23$22.77$23.0022.9%6.6%7.7%7.8%22.9%10.9%-51.4%-18.3K232.0K-9375.10164.972110721222
2015-12-24$22.82$23.0024.9%7.1%7.8%8.9%31.8%-1.3%-6.6%-22.1K242.5K-9545.10161.062110721222
2015-12-28$22.86$23.0058.3%16.7%7.9%27.0%33.6%-2.6%-83.6%-31.3K258.0K-9175.10178.582110721222
2015-12-29$22.61$23.0012.2%3.5%8.6%2.0%12.2%3.3%0.0%-20.1K240.2K-8425.10185.762110721222
2015-12-30$22.63$23.0025.6%7.3%8.7%9.3%25.6%9.2%0.0%-18.9K232.6K-8335.10188.262110721222
2015-12-31$22.72$23.0029.3%8.4%8.7%11.2%29.3%1.3%0.0%-17.4K234.3K-8605.10169.542110721222