IHY Options History — March 2016

In March 2016, IHY traded between $22.23 and $23.52. ATM implied volatility averaged 25.6%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 19.2% (HV 20d: 6.4%). Max pain ranged from $22.00 to $25.00. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 4.05.

Notable Days

2016-03-28: Highest Volume — 132 contracts
2016-03-09: Largest IV drop — 67.6% change
2016-03-08: Highest IV Rank — 27.3%
2016-03-02: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.00	$22.23	$23.52	$22.23	$23.52
Max Pain	$22.45	$22.00	$25.00	$25.00	$22.00
ATM IV	25.6%	15.2%	55.4%	29.3%	17.7%
Expected Move	6.6%	4.4%	12.4%	8.4%	5.1%
HV 20d	6.4%	5.1%	7.0%	5.1%	6.9%
HV 60d	7.4%	6.9%	7.7%	7.4%	6.9%
IV Rank	12.3%	7.1%	27.3%	14.2%	8.4%
IV Percentile	52.2%	24.6%	69.4%	62.7%	40.9%
Term Structure	-6.3%	-22.1%	5.8%	-5.5%	-1.8%
VWIV	16.5%	13.1%	24.6%	15.1%	14.9%
Skew 25d	4.3%	0.4%	16.0%	5.8%	2.6%
Skew 10d	-44.0%	-174.2%	4.8%	-165.8%	1.0%
Call IV 25d	12.6%	9.1%	14.9%	12.3%	9.4%
Put IV 25d	16.9%	12.0%	29.0%	18.1%	12.0%
Bid-Ask Spread %	176.32	158.30	185.84	171.21	183.62
Gamma HHI	0.68	0.37	0.98	0.97	0.42
Net GEX	-2.3K	-5.2K	3.3K	-3.4K	3.3K
Net DEX	-4.7K	-64.1K	31.8K	10.4K	-64.1K
Net VEX	-308	-573	-22	-122	-247
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.05	0.83	10.33	10.00	0.97
Total Volume	85.227	33	132	33	122
Total OI	93.273	33	153	33	139

Daily Data (22 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
2016-03-01	$22.23	$0.00	29.3%	8.4%	5.1%	14.2%	0.0%	5.8%	-5.5%	-3.4K	10.4K	-122	10.00	171.21	3	30	3	30
2016-03-02	$22.31	$0.00	43.1%	12.4%	5.2%	21.1%	0.0%	7.2%	-22.1%	-1.8K	31.8K	-172	10.00	184.67	3	30	3	30
2016-03-03	$22.49	$25.00	43.4%	9.2%	5.8%	21.3%	15.1%	4.6%	-13.6%	-2.2K	28.6K	-173	10.00	183.66	3	30	3	30
2016-03-04	$22.60	$25.00	30.5%	7.1%	5.9%	14.8%	14.2%	6.7%	0.2%	-2.1K	28.1K	-175	10.00	180.34	3	30	3	30
2016-03-07	$22.72	$25.00	38.5%	7.6%	6.1%	18.8%	18.5%	7.8%	5.8%	-3.3K	2.4K	-35	10.33	180.98	3	31	3	30
2016-03-08	$22.64	$22.00	55.4%	9.2%	5.9%	27.3%	24.6%	16.0%	2.2%	-1.4K	27.2K	-175	10.33	161.82	3	31	3	31
2016-03-09	$22.71	$22.00	17.9%	5.1%	5.9%	8.5%	19.3%	8.6%	3.8%	-3.6K	4.7K	-44	10.33	169.41	3	31	3	31
2016-03-10	$22.86	$22.00	19.4%	5.5%	6.2%	9.2%	19.8%	4.8%	-8.8%	-2.4K	-351	-22	0.98	170.11	42	41	3	31
2016-03-11	$23.13	$22.00	20.0%	5.7%	6.8%	9.5%	14.5%	1.1%	-9.6%	-1.8K	1.6K	-537	1.43	162.44	42	60	43	61
2016-03-14	$23.06	$22.00	18.5%	5.3%	7.0%	8.8%	14.1%	0.4%	-4.6%	-5.2K	14.8K	-573	1.43	177.75	42	60	43	80
2016-03-15	$23.04	$22.00	23.2%	6.6%	6.4%	11.1%	15.7%	1.8%	-5.7%	-3.8K	-11.2K	-360	1.43	181.93	42	60	43	80
2016-03-16	$23.17	$22.00	27.1%	7.8%	6.3%	13.1%	15.3%	0.6%	-13.7%	-3.4K	-12.5K	-317	1.43	183.48	42	60	43	80
2016-03-17	$23.17	$22.00	20.3%	5.8%	6.3%	9.7%	13.1%	2.6%	-7.5%	-3.2K	-49.9K	-168	1.43	164.34	42	60	43	80
2016-03-18	$23.34	$22.00	21.9%	6.3%	6.6%	10.5%	14.5%	5.1%	-14.0%	-3.4K	-12.6K	-497	1.43	177.14	42	60	43	80
2016-03-21	$23.32	$22.00	21.1%	6.0%	6.6%	10.0%	13.4%	1.0%	-2.5%	-3.3K	-5.3K	-522	1.43	179.14	42	60	43	80
2016-03-22	$23.30	$22.00	21.0%	6.0%	6.5%	10.0%	13.6%	1.4%	-8.3%	-3.2K	1.3K	-512	1.43	181.93	42	60	43	80
2016-03-23	$23.24	$22.00	21.0%	6.0%	6.7%	10.0%	14.9%	2.3%	-9.4%	-4.0K	-26.6K	-194	1.15	180.09	52	60	43	80
2016-03-24	$23.16	$22.00	18.9%	5.4%	7.0%	8.9%	15.8%	4.7%	-1.4%	-2.8K	-10.4K	-554	1.15	178.32	52	60	53	80
2016-03-28	$23.22	$22.00	15.2%	4.4%	6.8%	7.1%	20.4%	2.7%	-3.0%	-2.6K	4.9K	-571	0.83	182.41	72	60	53	80
2016-03-29	$23.28	$22.00	21.9%	6.3%	6.8%	10.5%	20.5%	4.7%	-9.8%	87	-48.9K	-536	0.83	185.84	72	60	73	80
2016-03-30	$23.41	$22.00	17.1%	4.9%	6.9%	8.0%	18.5%	2.6%	-9.3%	2.1K	-17.7K	-260	0.83	158.30	72	60	59	80
2016-03-31	$23.52	$22.00	17.7%	5.1%	6.9%	8.4%	14.9%	2.6%	-1.8%	3.3K	-64.1K	-247	0.97	183.62	62	60	59	80