IHY Options History — April 2016

In April 2016, IHY traded between $23.42 and $24.08. ATM implied volatility averaged 15.4%, placing in the 7.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 10.1% (HV 20d: 5.2%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2016-04-07: Highest Volume — 142 contracts
2016-04-13: Largest IV drop — 68.0% change
2016-04-12: Highest IV Rank — 16.2%
2016-04-01: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.69	$23.42	$24.08	$23.44	$24.08
Max Pain	$22.94	$22.00	$23.00	$22.00	$23.00
ATM IV	15.4%	10.0%	33.2%	17.9%	12.3%
Expected Move	3.6%	2.9%	5.1%	5.1%	3.5%
HV 20d	5.2%	4.0%	6.9%	6.9%	4.0%
HV 60d	6.2%	5.7%	6.9%	6.9%	5.7%
IV Rank	7.2%	4.5%	16.2%	8.5%	5.6%
IV Percentile	22.5%	2.4%	63.9%	42.1%	12.3%
Term Structure	3.7%	-8.5%	8.9%	-8.5%	-0.0%
VWIV	15.8%	13.1%	20.4%	20.4%	15.2%
Skew 25d	1.6%	-5.5%	5.1%	2.1%	3.7%
Skew 10d	2.5%	-3.0%	6.3%	2.1%	4.0%
Call IV 25d	10.3%	9.1%	12.0%	10.0%	9.3%
Put IV 25d	11.9%	6.1%	14.3%	12.1%	13.0%
Bid-Ask Spread %	158.49	131.34	186.08	184.10	135.27
Gamma HHI	0.44	0.36	0.64	0.37	0.64
Net GEX	4.0K	500	7.2K	1.1K	4.0K
Net DEX	-73.9K	-122.2K	-27.5K	-32.4K	-70.3K
Net VEX	-242	-465	-139	-246	-244
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.50	0.97	0.97	0.50
Total Volume	112.238	92	142	122	93
Total OI	130.714	106	143	133	106

Daily Data (21 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
2016-04-01	$23.44	$22.00	17.9%	5.1%	6.9%	8.5%	20.4%	2.1%	-8.5%	1.1K	-32.4K	-246	0.97	184.10	62	60	53	80
2016-04-04	$23.42	$0.00	18.6%	4.0%	6.9%	8.8%	0.0%	2.7%	7.7%	500	-27.5K	-240	0.97	162.41	62	60	53	80
2016-04-05	$23.45	$0.00	20.3%	4.3%	6.8%	9.6%	0.0%	2.5%	6.0%	664	-32.5K	-224	0.97	155.14	62	60	53	80
2016-04-06	$23.50	$0.00	21.1%	4.4%	6.5%	10.0%	0.0%	3.5%	7.3%	532	-33.1K	-225	0.97	176.19	62	60	53	80
2016-04-07	$23.42	$0.00	21.9%	4.0%	6.8%	10.4%	14.4%	2.4%	8.9%	696	-29.8K	-219	0.73	154.79	82	60	53	80
2016-04-08	$23.48	$23.00	22.9%	4.2%	6.5%	10.9%	15.1%	2.3%	6.7%	2.3K	-47.7K	-258	0.73	158.47	82	60	63	80
2016-04-11	$23.49	$23.00	20.7%	4.4%	5.2%	9.9%	15.7%	2.3%	7.8%	2.6K	-49.6K	-235	0.73	164.00	82	60	63	80
2016-04-12	$23.60	$23.00	33.2%	3.7%	5.2%	16.2%	16.4%	1.9%	2.0%	4.2K	-91.5K	-143	0.62	176.66	82	51	63	80
2016-04-13	$23.63	$23.00	10.6%	3.0%	5.1%	4.8%	13.1%	3.5%	7.0%	5.0K	-91.5K	-154	0.62	153.70	82	51	63	74
2016-04-14	$23.65	$23.00	12.5%	3.6%	4.9%	5.8%	13.6%	1.1%	4.8%	4.8K	-92.5K	-146	0.62	138.83	82	51	63	74
2016-04-15	$23.70	$23.00	11.8%	3.4%	4.9%	5.4%	14.3%	2.0%	6.0%	3.8K	-98.9K	-139	0.71	137.38	72	51	63	74
2016-04-18	$23.72	$23.00	10.8%	3.1%	4.3%	4.9%	14.5%	5.1%	5.1%	5.5K	-101.8K	-199	0.51	143.25	61	31	72	54
2016-04-19	$23.78	$23.00	11.0%	3.2%	4.3%	5.0%	17.0%	1.1%	2.6%	5.3K	-69.9K	-417	0.51	158.56	61	31	72	54
2016-04-20	$23.91	$23.00	11.6%	3.3%	4.5%	5.3%	16.2%	-0.2%	1.3%	7.2K	-122.2K	-153	0.51	152.04	61	31	72	54
2016-04-21	$23.81	$23.00	11.3%	3.2%	4.7%	5.1%	15.5%	-1.9%	0.3%	5.4K	-72.7K	-465	0.51	131.34	61	31	72	54
2016-04-22	$23.82	$23.00	11.1%	3.2%	4.4%	5.0%	16.4%	1.6%	2.3%	5.5K	-72.4K	-400	0.51	164.59	61	31	72	54
2016-04-25	$23.79	$23.00	11.2%	3.2%	4.5%	5.1%	17.8%	0.4%	1.9%	6.6K	-76.3K	-391	0.51	157.25	61	31	72	54
2016-04-26	$23.83	$23.00	10.0%	2.9%	4.5%	4.5%	17.5%	0.1%	5.4%	6.4K	-105.9K	-204	0.51	161.36	61	31	72	54
2016-04-27	$23.92	$23.00	11.4%	3.3%	4.3%	5.2%	0.0%	-5.5%	3.2%	5.1K	-116.4K	-146	0.51	186.08	61	31	72	54
2016-04-28	$24.05	$23.00	10.5%	3.0%	4.4%	4.7%	0.0%	2.3%	0.2%	6.1K	-117.8K	-244	0.51	176.88	61	31	72	54
2016-04-29	$24.08	$23.00	12.3%	3.5%	4.0%	5.6%	15.2%	3.7%	-0.0%	4.0K	-70.3K	-244	0.50	135.27	62	31	52	54