IHY Options History — June 2016

In June 2016, IHY traded between $23.43 and $24.34. ATM implied volatility averaged 13.4%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.6% (HV 20d: 7.8%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.49.

Notable Days

2016-06-20: Highest Volume — 130 contracts
2016-06-28: Largest IV drop — 27.6% change
2016-06-24: Highest IV Rank — 8.1%
2016-06-24: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.92	$23.43	$24.34	$23.77	$23.85
Max Pain	$23.05	$23.00	$24.00	$24.00	$23.00
ATM IV	13.4%	9.0%	17.2%	9.7%	11.3%
Expected Move	3.9%	2.8%	4.9%	2.8%	3.3%
HV 20d	7.8%	4.3%	14.0%	5.0%	13.9%
HV 60d	6.3%	5.5%	8.9%	5.6%	8.9%
IV Rank	6.2%	4.0%	8.1%	4.3%	5.2%
IV Percentile	24.2%	2.4%	39.3%	3.2%	11.5%
Term Structure	-1.5%	-8.6%	3.4%	3.4%	2.7%
VWIV	25.6%	7.5%	74.7%	7.5%	10.4%
Skew 25d	4.1%	-2.9%	6.3%	3.2%	6.0%
Skew 10d	5.5%	0.3%	11.5%	2.5%	6.0%
Call IV 25d	10.6%	8.6%	12.4%	10.1%	9.5%
Put IV 25d	14.7%	7.9%	18.5%	13.3%	15.5%
Bid-Ask Spread %	131.20	88.60	181.06	150.20	171.38
Gamma HHI	0.76	0.62	0.97	0.65	0.84
Net GEX	10.2K	5.2K	17.5K	8.5K	17.5K
Net DEX	-77.3K	-136.7K	-44.7K	-46.2K	-100.3K
Net VEX	-311	-510	-171	-256	-432
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.33	0.61	0.61	0.36
Total Volume	102.409	82	130	82	121
Total OI	133.182	108	163	115	163

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
2016-06-01	$23.77	$24.00	9.7%	2.8%	5.0%	4.3%	7.5%	3.2%	3.4%	8.5K	-46.2K	-256	0.61	150.20	51	31	61	54
2016-06-02	$23.66	$23.00	9.0%	2.8%	4.3%	4.0%	26.5%	3.0%	1.8%	7.3K	-44.7K	-266	0.61	113.94	51	31	61	54
2016-06-03	$23.92	$23.00	10.0%	3.2%	5.8%	4.5%	19.6%	4.0%	-6.1%	10.9K	-72.4K	-208	0.61	127.06	51	31	61	54
2016-06-06	$24.01	$23.00	12.0%	3.3%	5.9%	5.5%	11.8%	4.5%	-3.8%	12.0K	-81.4K	-184	0.61	93.47	51	31	61	54
2016-06-07	$24.12	$23.00	12.5%	3.6%	5.9%	5.7%	26.3%	1.6%	-0.2%	9.8K	-80.4K	-239	0.58	118.76	53	31	61	54
2016-06-08	$24.20	$23.00	11.7%	3.4%	5.9%	5.3%	12.4%	2.1%	-4.8%	11.1K	-97.7K	-171	0.60	88.60	53	32	63	54
2016-06-09	$24.15	$23.00	12.4%	3.6%	5.9%	5.7%	17.9%	1.8%	-2.5%	9.2K	-91.3K	-191	0.60	131.25	53	32	63	55
2016-06-10	$24.06	$23.00	14.3%	4.1%	5.7%	6.6%	32.6%	5.9%	-8.6%	10.7K	-82.9K	-202	0.60	116.48	53	32	63	55
2016-06-13	$23.97	$23.00	15.3%	4.4%	5.9%	7.1%	27.3%	6.2%	-1.7%	9.1K	-66.6K	-261	0.60	110.00	53	32	63	55
2016-06-14	$23.81	$23.00	15.8%	4.5%	6.2%	7.4%	43.2%	3.8%	-1.5%	8.2K	-51.3K	-270	0.60	143.44	53	32	63	55
2016-06-15	$23.85	$23.00	13.9%	4.0%	6.2%	6.4%	33.7%	5.6%	-1.0%	10.9K	-62.0K	-236	0.60	146.05	53	32	63	55
2016-06-16	$23.83	$23.00	13.8%	4.0%	6.2%	6.4%	51.0%	4.4%	1.8%	9.1K	-53.5K	-216	0.60	144.74	53	32	63	55
2016-06-17	$23.88	$23.00	14.6%	4.2%	6.2%	6.8%	22.0%	5.2%	-1.7%	5.2K	-52.8K	-231	0.60	124.90	53	32	63	55
2016-06-20	$24.14	$23.00	14.9%	4.3%	7.3%	6.9%	15.6%	6.3%	-1.4%	6.5K	-68.6K	-197	0.33	116.59	98	32	53	55
2016-06-21	$24.12	$23.00	14.6%	4.2%	7.3%	6.8%	15.3%	2.2%	-2.5%	14.2K	-125.8K	-484	0.33	128.75	98	32	108	55
2016-06-22	$24.11	$23.00	16.1%	4.6%	7.3%	7.5%	16.8%	5.0%	-2.6%	12.7K	-125.8K	-502	0.33	108.16	98	32	108	55
2016-06-23	$24.34	$23.00	14.4%	4.1%	7.9%	6.7%	14.5%	4.8%	-0.5%	12.3K	-136.7K	-502	0.33	127.44	98	32	108	55
2016-06-24	$23.69	$23.00	17.2%	4.9%	12.8%	8.1%	16.3%	5.3%	-7.8%	9.7K	-69.9K	-510	0.33	130.72	98	32	108	55
2016-06-27	$23.43	$23.00	16.9%	4.8%	13.3%	7.9%	51.0%	6.1%	-0.8%	8.7K	-49.1K	-456	0.33	159.85	98	32	108	55
2016-06-28	$23.59	$23.00	12.2%	3.5%	13.5%	5.6%	16.6%	6.0%	2.6%	10.2K	-60.7K	-456	0.33	153.63	98	32	108	55
2016-06-29	$23.83	$23.00	12.2%	3.5%	14.0%	5.6%	74.7%	-2.9%	2.8%	10.7K	-79.8K	-378	0.33	181.06	98	32	108	55
2016-06-30	$23.85	$23.00	11.3%	3.3%	13.9%	5.2%	10.4%	6.0%	2.7%	17.5K	-100.3K	-432	0.36	171.38	89	32	108	55