IHY Options History — February 2016 In February 2016, IHY traded between $21.95 and $22.32. ATM implied volatility averaged 67.3%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 60.4% (HV 20d: 6.9%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 49.00.
Notable Days 2016-02-01 : Highest Volume — 101 contracts2016-02-23 : Largest IV spike — 4164.5% change2016-02-12 : Highest IV Rank — 100.0%2016-02-12 : Largest Expected Move — 57.3%Monthly Statistics Metric Avg Min Max Open Close Price $22.16 $21.95 $22.32 $22.16 $22.16 ATM IV 67.3% 3.8% 200.0% 169.6% 28.1% Expected Move 14.6% 1.1% 57.3% 8.3% 8.0% HV 20d 6.9% 5.2% 8.2% 8.2% 5.2% HV 60d 7.4% 7.2% 7.5% 7.3% 7.4% IV Rank 33.5% 1.3% 100.0% 86.2% 13.6% IV Percentile 67.3% 0.4% 100.0% 98.0% 61.5% Term Structure 3.6% -43.9% 160.6% -4.6% -1.8% Skew 25d -7.6% -138.5% 160.7% 21.1% 5.3% Skew 10d -15.8% -165.7% 160.7% 21.1% -165.7% Call IV 25d 73.3% 12.6% 178.7% 178.7% 12.6% Put IV 25d 65.7% 13.2% 199.8% 199.8% 17.9% Bid-Ask Spread % 183.95 125.30 199.60 199.60 176.12 Gamma HHI 0.98 0.97 1.00 0.98 0.97 Net GEX -5.1K -14.1K -1.0K -1.4K -2.7K Net DEX 103.5K 24.4K 155.6K 101.5K 24.4K Net VEX -562 -681 -159 -538 -166 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 49.00 10.00 100.00 100.00 10.00 Total Volume 52.2 21 101 101 33 Total OI 105.6 33 121 101 33
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 2016-02-01 $22.16 $0.00 169.6% 0.0% 8.2% 86.2% 0.0% 21.1% 0.0% -1.4K 101.5K -538 100.00 199.60 1 100 1 100 2016-02-02 $22.17 $0.00 28.9% 8.3% 7.5% 14.2% 0.0% 4.2% -4.6% -7.0K 117.1K -584 100.00 179.88 1 100 1 100 2016-02-03 $22.24 $0.00 177.0% 0.0% 7.5% 89.9% 0.0% 132.4% 0.0% -1.0K 70.4K -513 100.00 194.00 1 100 1 100 2016-02-04 $22.32 $0.00 40.3% 7.5% 7.2% 20.1% 0.0% 5.9% 6.1% -6.5K 109.3K -590 100.00 152.13 1 100 1 100 2016-02-05 $22.29 $0.00 46.9% 9.3% 7.2% 23.4% 0.0% 7.3% 0.1% -5.1K 104.1K -582 100.00 172.95 1 100 1 100 2016-02-08 $22.17 $0.00 70.4% 12.2% 7.3% 35.4% 0.0% -3.4% -5.8% -4.7K 109.3K -580 100.00 194.73 1 100 1 100 2016-02-09 $22.19 $0.00 6.2% 54.9% 7.2% 2.6% 0.0% 12.8% -35.6% -1.2K 83.6K -539 100.00 183.51 1 100 1 100 2016-02-10 $22.19 $0.00 29.3% 8.4% 7.1% 14.4% 0.0% -2.0% -24.6% -5.4K 108.0K -563 20.00 175.07 1 20 1 100 2016-02-11 $22.09 $0.00 23.4% 6.7% 7.1% 11.4% 0.0% -0.4% -2.7% -10.6K 124.3K -681 20.00 125.30 1 20 1 120 2016-02-12 $22.08 $0.00 200.0% 57.3% 6.8% 100.0% 0.0% 160.7% -43.9% -1.3K 80.8K -559 20.00 189.82 1 20 1 120 2016-02-16 $21.95 $0.00 38.7% 11.1% 6.9% 18.9% 0.0% -138.3% -9.8% -6.3K 138.5K -669 20.00 198.28 1 20 1 120 2016-02-17 $22.11 $0.00 151.4% 0.0% 7.4% 75.6% 0.0% -4.2% -43.9% -1.4K 95.7K -632 20.00 199.22 1 20 1 120 2016-02-18 $22.15 $0.00 38.9% 11.1% 7.2% 19.0% 0.0% -138.5% -9.8% -6.6K 134.4K -667 20.00 198.46 1 20 1 120 2016-02-19 $22.18 $0.00 55.5% 15.9% 6.9% 27.4% 0.0% -127.2% -14.6% -4.8K 128.4K -670 20.00 198.46 1 20 1 120 2016-02-22 $22.18 $0.00 3.8% 1.1% 6.4% 1.3% 0.0% -1.1% 160.6% -1.6K 105.4K -627 20.00 182.11 1 20 1 120 2016-02-23 $22.13 $0.00 159.9% 0.0% 6.5% 79.8% 0.0% -93.5% 115.2% -1.6K 100.6K -629 20.00 198.65 1 20 1 120 2016-02-24 $22.18 $0.00 27.2% 7.8% 6.2% 13.1% 0.0% 0.8% -6.7% -9.7K 146.6K -651 20.00 198.65 1 20 1 120 2016-02-25 $22.19 $0.00 28.0% 8.0% 6.2% 13.5% 0.0% 2.7% -11.6% -14.1K 155.6K -636 60.00 176.80 1 60 1 120 2016-02-26 $22.14 $0.00 21.9% 6.3% 5.3% 10.5% 0.0% 3.5% -1.0% -8.1K 31.5K -159 10.00 185.33 3 30 1 60 2016-02-29 $22.16 $0.00 28.1% 8.0% 5.2% 13.6% 0.0% 5.3% -1.8% -2.7K 24.4K -166 10.00 176.12 3 30 3 30
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