IHY Options History — July 2016

In July 2016, IHY traded between $23.72 and $24.36. ATM implied volatility averaged 11.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded above realized volatility by 0.5% (HV 20d: 11.5%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.66.

Notable Days

2016-07-08: Highest Volume — 110 contracts
2016-07-13: Largest IV drop — 28.3% change
2016-07-12: Highest IV Rank — 8.0%
2016-07-06: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.06	$23.72	$24.36	$23.86	$24.36
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	11.9%	10.1%	17.1%	10.6%	10.8%
Expected Move	3.2%	2.9%	3.5%	3.0%	3.1%
HV 20d	11.5%	5.1%	13.6%	13.3%	5.6%
HV 60d	9.0%	8.8%	9.1%	8.8%	8.9%
IV Rank	5.5%	4.5%	8.0%	4.8%	4.9%
IV Percentile	17.0%	5.6%	40.1%	7.1%	10.7%
Term Structure	3.9%	-4.3%	19.3%	1.8%	-2.3%
VWIV	10.8%	8.8%	14.7%	10.5%	11.3%
Skew 25d	2.7%	-0.5%	4.9%	4.7%	4.0%
Skew 10d	2.8%	-0.5%	6.1%	4.2%	3.2%
Call IV 25d	9.0%	7.1%	10.3%	8.9%	7.1%
Put IV 25d	11.7%	9.2%	14.9%	13.6%	11.1%
Bid-Ask Spread %	137.86	94.64	178.35	158.92	157.03
Gamma HHI	0.88	0.77	0.99	0.86	0.79
Net GEX	20.3K	5.9K	36.1K	19.3K	7.0K
Net DEX	-144.9K	-231.1K	-86.7K	-112.0K	-119.5K
Net VEX	-438	-637	-167	-435	-620
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.26	2.31	0.42	2.31
Total Volume	81.95	43	110	109	43
Total OI	160.95	113	208	163	140

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
2016-07-01	$23.86	$23.00	10.6%	3.0%	13.3%	4.8%	10.5%	4.7%	1.8%	19.3K	-112.0K	-435	0.42	158.92	77	32	108	55
2016-07-05	$23.75	$0.00	12.3%	3.3%	13.4%	5.6%	0.0%	4.2%	-0.3%	23.3K	-140.8K	-626	0.42	132.92	77	32	151	55
2016-07-06	$23.81	$0.00	13.1%	3.5%	13.3%	6.0%	0.0%	4.9%	-4.3%	17.5K	-160.0K	-605	0.42	137.57	77	32	151	55
2016-07-07	$23.72	$0.00	12.7%	3.2%	13.2%	5.8%	0.0%	3.6%	0.6%	24.2K	-136.7K	-611	0.42	137.92	77	32	151	55
2016-07-08	$23.89	$0.00	13.1%	3.3%	13.5%	6.0%	13.4%	4.0%	0.2%	23.0K	-154.8K	-625	0.43	95.65	77	33	151	55
2016-07-11	$23.95	$23.00	14.9%	3.2%	13.5%	7.0%	14.2%	4.5%	10.4%	34.7K	-183.8K	-291	0.43	133.99	77	33	151	56
2016-07-12	$24.10	$23.00	17.1%	3.4%	13.6%	8.0%	14.7%	4.6%	0.5%	31.2K	-193.7K	-587	0.43	112.01	77	33	151	57
2016-07-13	$24.15	$23.00	12.2%	3.5%	13.4%	5.6%	9.7%	1.8%	10.6%	36.1K	-219.8K	-266	0.43	116.35	77	33	151	57
2016-07-14	$24.17	$23.00	11.9%	3.4%	13.4%	5.4%	9.9%	2.1%	0.0%	31.6K	-205.0K	-568	0.43	139.01	77	33	151	57
2016-07-15	$24.22	$23.00	11.6%	3.3%	13.4%	5.3%	10.2%	2.2%	0.9%	13.5K	-231.1K	-543	0.43	145.81	77	33	151	57
2016-07-18	$24.17	$23.00	12.3%	3.5%	13.4%	5.6%	9.2%	1.1%	9.8%	17.2K	-122.8K	-205	0.26	120.09	46	12	100	13
2016-07-19	$24.14	$23.00	11.4%	3.3%	12.9%	5.2%	8.8%	0.9%	-0.5%	19.9K	-121.2K	-195	0.26	141.17	46	12	100	13
2016-07-20	$24.11	$23.00	10.4%	3.0%	12.9%	4.7%	9.4%	1.3%	10.9%	19.3K	-118.2K	-188	0.26	94.64	46	12	100	13
2016-07-21	$24.20	$23.00	10.4%	3.0%	12.9%	4.7%	9.8%	1.8%	10.5%	21.7K	-128.1K	-179	0.26	139.03	46	12	100	13
2016-07-22	$24.20	$23.00	10.6%	3.0%	12.5%	4.8%	10.0%	1.9%	9.7%	21.6K	-131.0K	-167	0.26	153.11	46	12	100	13
2016-07-25	$24.07	$23.00	11.3%	3.3%	7.8%	5.1%	10.3%	1.4%	0.3%	14.4K	-97.2K	-508	0.26	135.82	46	12	100	13
2016-07-26	$24.08	$23.00	10.1%	2.9%	6.4%	4.5%	10.4%	1.1%	19.3%	5.9K	-116.4K	-473	0.43	161.06	46	20	100	13
2016-07-27	$24.12	$23.00	11.1%	3.2%	6.1%	5.0%	10.9%	-0.5%	-0.8%	17.0K	-86.7K	-423	2.31	178.35	13	30	100	21
2016-07-28	$24.19	$23.00	10.9%	3.1%	5.1%	4.9%	11.3%	4.2%	0.3%	6.8K	-119.9K	-637	2.31	166.70	13	30	110	31
2016-07-29	$24.36	$23.00	10.8%	3.1%	5.6%	4.9%	0.0%	4.0%	-2.3%	7.0K	-119.5K	-620	2.31	157.03	13	30	110	30