IHY Options History — January 2016

Name: IHY Options Analytics - January 2016
Creator: Options Analysis Suite

In January 2016, IHY traded between $21.85 and $22.55. ATM implied volatility averaged 60.3%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 51.9% (HV 20d: 8.3%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 50.08.

Notable Days

2016-01-12: Highest Volume — 131 contracts
2016-01-28: Largest IV spike — 2333.6% change
2016-01-15: Highest IV Rank — 100.0%
2016-01-15: Largest Expected Move — 56.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.25	$21.85	$22.55	$22.49	$22.26
ATM IV	60.3%	1.1%	196.7%	170.0%	3.9%
Expected Move	17.2%	0.3%	56.4%	48.7%	1.1%
HV 20d	8.3%	7.2%	9.1%	8.7%	8.3%
HV 60d	7.0%	6.8%	7.3%	7.0%	7.3%
IV Rank	29.0%	0.0%	100.0%	87.4%	1.4%
IV Percentile	64.2%	0.0%	100.0%	99.2%	0.4%
Term Structure	17.0%	-66.8%	169.7%	-54.3%	157.1%
Skew 25d	12.8%	-10.4%	112.5%	-0.1%	22.4%
Skew 10d	0.7%	-112.0%	112.5%	-0.1%	22.4%
Call IV 25d	79.4%	11.7%	183.8%	183.8%	171.9%
Put IV 25d	92.2%	16.0%	194.2%	183.7%	194.2%
Bid-Ask Spread %	175.74	136.76	199.22	185.00	191.24
Gamma HHI	0.84	0.51	0.99	0.85	0.98
Net GEX	-11.0K	-26.9K	-1.1K	-24.1K	-1.1K
Net DEX	200.1K	78.2K	362.1K	274.9K	79.0K
Net VEX	-655	-812	-563	-775	-563
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	50.08	5.10	100.00	5.10	100.00
Total Volume	115.842	101	131	128	101
Total OI	174.158	101	243	243	101

Daily Data (19 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
2016-01-04	$22.49	$0.00	170.0%	48.7%	8.7%	87.4%	0.0%	-0.1%	-54.3%	-24.1K	274.9K	-775	5.10	185.00	21	107	21	222
2016-01-05	$22.40	$0.00	23.2%	5.2%	8.6%	8.0%	0.0%	3.1%	-0.1%	-24.7K	299.1K	-812	5.10	137.61	21	107	21	222
2016-01-06	$22.55	$0.00	26.4%	49.5%	9.1%	9.7%	0.0%	8.2%	-59.3%	-26.9K	272.2K	-762	5.10	183.27	21	107	21	222
2016-01-07	$22.52	$0.00	26.9%	6.6%	9.0%	10.0%	0.0%	-1.0%	3.3%	-19.7K	274.2K	-804	5.10	163.28	21	107	21	222
2016-01-08	$22.44	$0.00	78.1%	17.7%	8.8%	37.6%	0.0%	8.6%	-19.2%	-14.1K	240.1K	-780	5.10	193.29	21	107	21	222
2016-01-11	$22.52	$0.00	56.8%	9.6%	8.7%	26.1%	0.0%	7.0%	-5.1%	-18.9K	271.8K	-748	5.10	190.92	21	107	21	222
2016-01-12	$22.43	$0.00	190.3%	54.6%	8.6%	98.4%	0.0%	112.5%	-66.8%	-16.3K	254.1K	-690	5.24	190.72	21	110	21	222
2016-01-13	$22.34	$0.00	20.0%	5.7%	8.3%	6.2%	0.0%	11.3%	-1.5%	-25.8K	343.8K	-650	5.24	174.01	21	110	21	212
2016-01-14	$22.21	$0.00	33.1%	9.5%	8.3%	13.3%	0.0%	8.7%	-21.5%	-5.1K	362.1K	-617	5.24	178.51	21	110	21	212
2016-01-15	$22.10	$0.00	196.7%	56.4%	8.1%	100.0%	0.0%	6.0%	-51.8%	-1.1K	325.1K	-577	5.24	197.46	21	110	21	212
2016-01-19	$22.06	$0.00	3.9%	1.1%	7.9%	0.0%	0.0%	12.6%	155.5%	-1.2K	78.2K	-572	100.00	184.37	1	100	1	100
2016-01-20	$21.96	$0.00	29.9%	8.6%	7.9%	13.5%	0.0%	-10.4%	-6.6%	-6.2K	106.7K	-599	100.00	177.54	1	100	1	100
2016-01-21	$21.85	$0.00	25.8%	7.4%	7.2%	11.4%	0.0%	2.1%	-1.6%	-6.2K	126.9K	-586	100.00	148.95	1	100	1	100
2016-01-22	$22.02	$0.00	26.7%	7.6%	8.0%	11.8%	0.0%	9.8%	-3.5%	-6.0K	121.2K	-600	100.00	136.76	1	100	1	100
2016-01-25	$22.02	$0.00	45.6%	13.1%	8.0%	21.6%	0.0%	7.9%	-9.6%	-5.1K	117.4K	-595	100.00	163.78	1	100	1	100
2016-01-26	$22.14	$0.00	159.9%	0.0%	8.3%	80.9%	0.0%	17.7%	0.0%	-1.1K	79.9K	-565	100.00	199.22	1	100	1	100
2016-01-27	$22.14	$0.00	1.1%	0.3%	8.2%	0.0%	0.0%	13.3%	169.7%	-1.2K	80.2K	-564	100.00	188.95	1	100	1	100
2016-01-28	$22.34	$0.00	26.8%	7.7%	8.2%	13.1%	0.0%	2.5%	120.3%	-3.6K	95.3K	-593	100.00	154.23	1	100	1	100
2016-01-29	$22.26	$0.00	3.9%	1.1%	8.3%	1.4%	0.0%	22.4%	157.1%	-1.1K	79.0K	-563	100.00	191.24	1	100	1	100