IHY Options History — May 2016

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

In May 2016, IHY traded between $23.71 and $24.01. ATM implied volatility averaged 11.7%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded above realized volatility by 6.3% (HV 20d: 5.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2016-05-02: Highest Volume — 93 contracts
2016-05-24: Largest IV drop — 20.6% change
2016-05-19: Highest IV Rank — 6.4%
2016-05-19: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.80	$23.71	$24.01	$24.01	$23.74
Max Pain	$23.80	$23.00	$24.00	$23.00	$24.00
ATM IV	11.7%	9.3%	13.9%	12.8%	10.6%
Expected Move	3.3%	2.7%	4.0%	3.7%	3.0%
HV 20d	5.4%	4.2%	6.1%	4.2%	5.0%
HV 60d	5.8%	5.6%	6.0%	5.8%	5.6%
IV Rank	5.3%	4.1%	6.4%	5.9%	4.8%
IV Percentile	11.8%	2.4%	26.2%	17.1%	6.3%
Term Structure	0.7%	-3.8%	4.9%	-0.2%	3.5%
VWIV	11.8%	7.6%	18.8%	16.9%	7.6%
Skew 25d	3.4%	1.3%	5.2%	5.2%	1.7%
Skew 10d	3.6%	1.6%	8.4%	4.0%	1.6%
Call IV 25d	10.5%	8.6%	12.4%	8.6%	10.8%
Put IV 25d	13.9%	10.1%	15.3%	13.8%	12.5%
Bid-Ask Spread %	135.16	81.86	178.06	118.71	170.70
Gamma HHI	0.76	0.46	0.97	0.85	0.57
Net GEX	6.8K	992	13.3K	4.5K	6.9K
Net DEX	-68.7K	-118.8K	-35.9K	-77.5K	-35.9K
Net VEX	-197	-395	-87	-87	-271
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.50	0.61	0.50	0.61
Total Volume	89.381	82	93	93	82
Total OI	112.667	95	135	96	115

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
2016-05-02	$24.01	$23.00	12.8%	3.7%	4.2%	5.9%	16.9%	5.2%	-0.2%	4.5K	-77.5K	-87	0.50	118.71	62	31	42	54
2016-05-03	$24.01	$23.00	13.8%	4.0%	4.3%	6.4%	18.8%	4.7%	-1.4%	2.9K	-62.4K	-134	0.50	156.21	62	31	41	54
2016-05-04	$23.80	$23.00	12.4%	3.6%	5.5%	5.7%	16.2%	4.3%	-0.1%	6.0K	-68.1K	-91	0.50	148.55	62	31	41	54
2016-05-05	$23.74	$0.00	12.2%	3.7%	5.4%	5.6%	0.0%	3.5%	1.6%	992	-52.2K	-143	0.50	97.93	62	31	41	54
2016-05-06	$23.78	$0.00	12.5%	3.3%	5.4%	5.7%	0.0%	2.7%	-1.4%	4.0K	-54.1K	-133	0.50	140.05	62	31	41	54
2016-05-09	$23.72	$0.00	12.4%	3.7%	5.5%	5.7%	0.0%	4.4%	-0.3%	2.6K	-50.4K	-137	0.50	81.86	62	31	41	54
2016-05-10	$23.83	$0.00	12.5%	3.2%	5.5%	5.7%	0.0%	2.5%	-0.1%	6.5K	-60.9K	-96	0.50	144.78	62	31	41	54
2016-05-11	$23.89	$0.00	11.9%	3.4%	5.6%	5.4%	0.0%	4.0%	-3.8%	4.6K	-60.2K	-108	0.60	135.67	52	31	41	54
2016-05-12	$23.77	$0.00	11.6%	3.3%	5.9%	5.3%	11.4%	3.3%	1.1%	3.8K	-72.3K	-130	0.50	97.85	62	31	51	54
2016-05-13	$23.71	$24.00	10.4%	3.0%	5.9%	4.7%	9.8%	3.3%	4.9%	13.3K	-111.7K	-164	0.50	129.43	62	31	81	54
2016-05-16	$23.81	$24.00	11.8%	3.4%	6.1%	5.4%	11.8%	2.9%	1.1%	8.6K	-118.8K	-178	0.50	130.87	62	31	81	54
2016-05-17	$23.79	$24.00	11.5%	3.3%	6.1%	5.2%	12.0%	4.0%	1.1%	9.3K	-117.6K	-179	0.50	122.11	62	31	81	54
2016-05-18	$23.76	$24.00	12.9%	3.7%	5.7%	5.9%	12.8%	3.1%	0.6%	8.8K	-85.1K	-334	0.50	138.38	62	31	81	54
2016-05-19	$23.73	$24.00	13.9%	4.0%	5.5%	6.4%	13.5%	2.4%	0.5%	7.2K	-68.1K	-395	0.50	131.99	62	31	81	54
2016-05-20	$23.75	$24.00	11.7%	3.4%	5.5%	5.3%	12.2%	2.8%	-1.7%	7.1K	-100.1K	-266	0.50	132.32	62	31	81	54
2016-05-23	$23.78	$24.00	12.3%	3.5%	5.6%	5.7%	13.1%	2.5%	-1.6%	8.3K	-50.9K	-259	0.61	122.90	51	31	61	54
2016-05-24	$23.76	$24.00	9.8%	2.8%	5.5%	4.4%	8.2%	4.7%	2.9%	8.7K	-50.6K	-254	0.61	148.40	51	31	61	54
2016-05-25	$23.80	$24.00	9.6%	2.8%	5.4%	4.3%	7.9%	1.3%	3.0%	9.4K	-56.4K	-247	0.61	134.29	51	31	61	54
2016-05-26	$23.83	$24.00	9.3%	2.7%	5.0%	4.1%	7.9%	3.5%	2.7%	10.9K	-53.9K	-242	0.61	177.36	51	31	61	54
2016-05-27	$23.74	$24.00	9.9%	2.8%	5.1%	4.4%	8.8%	3.8%	1.8%	8.9K	-36.3K	-294	0.61	178.06	51	31	61	54
2016-05-31	$23.74	$24.00	10.6%	3.0%	5.0%	4.8%	7.6%	1.7%	3.5%	6.9K	-35.9K	-271	0.61	170.70	51	31	61	54