IHY Options History — August 2016

In August 2016, IHY traded between $24.14 and $24.66. ATM implied volatility averaged 10.4%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 5.2% (HV 20d: 5.1%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 2.65.

Notable Days

2016-08-19: Highest Volume — 55 contracts
2016-08-18: Largest IV drop — 19.4% change
2016-08-11: Highest IV Rank — 5.5%
2016-08-11: Largest Expected Move — 3.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.46	$24.14	$24.66	$24.17	$24.60
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	10.4%	8.7%	12.1%	9.8%	11.0%
Expected Move	3.0%	2.5%	3.5%	2.8%	3.1%
HV 20d	5.1%	3.5%	6.4%	6.4%	3.5%
HV 60d	8.9%	8.6%	9.0%	9.0%	8.6%
IV Rank	4.7%	3.8%	5.5%	4.4%	5.0%
IV Percentile	9.6%	2.0%	21.0%	4.4%	16.7%
Term Structure	4.0%	-0.9%	8.6%	0.5%	2.4%
VWIV	11.7%	11.3%	12.4%	11.3%	12.4%
Skew 25d	2.4%	-2.1%	4.6%	2.0%	3.2%
Skew 10d	2.2%	-17.7%	8.0%	1.3%	8.0%
Call IV 25d	8.4%	6.5%	11.1%	7.7%	10.6%
Put IV 25d	10.8%	7.6%	14.0%	9.7%	13.9%
Bid-Ask Spread %	147.65	114.31	183.00	176.35	149.41
Gamma HHI	0.91	0.76	1.00	0.86	0.76
Net GEX	20.2K	10.1K	46.5K	18.3K	10.9K
Net DEX	-177.1K	-255.0K	-119.9K	-125.8K	-119.9K
Net VEX	-279	-566	-40	-358	-527
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.65	2.31	3.23	2.31	3.08
Total Volume	41.696	0	55	43	53
Total OI	148.783	140	162	140	161

Daily Data (23 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
2016-08-01	$24.17	$23.00	9.8%	2.8%	6.4%	4.4%	11.3%	2.0%	0.5%	18.3K	-125.8K	-358	2.31	176.35	13	30	110	30
2016-08-02	$24.14	$23.00	11.4%	3.3%	6.2%	5.2%	11.4%	1.4%	-0.9%	10.1K	-145.0K	-349	2.31	183.00	13	30	110	30
2016-08-03	$24.23	$23.00	10.3%	2.9%	6.2%	4.6%	12.4%	1.8%	0.9%	20.0K	-133.9K	-340	2.31	176.74	13	30	110	30
2016-08-04	$24.24	$0.00	9.9%	3.2%	6.0%	4.4%	0.0%	2.3%	4.8%	20.3K	-135.4K	-333	2.31	122.23	13	30	110	30
2016-08-05	$24.21	$0.00	9.7%	3.0%	5.6%	4.3%	0.0%	1.5%	6.3%	19.5K	-131.5K	-331	2.31	122.98	13	30	110	30
2016-08-08	$24.28	$0.00	10.7%	3.1%	5.6%	4.8%	0.0%	2.9%	5.6%	21.4K	-140.7K	-314	2.31	133.01	13	30	110	30
2016-08-09	$24.38	$0.00	11.5%	2.9%	5.4%	5.2%	0.0%	3.3%	6.7%	25.2K	-160.0K	-288	2.31	129.82	13	30	110	30
2016-08-10	$24.37	$0.00	10.8%	3.1%	5.3%	4.9%	0.0%	4.4%	8.6%	22.6K	-153.1K	-301	2.31	126.89	13	30	110	30
2016-08-11	$24.40	$0.00	12.1%	3.5%	5.3%	5.5%	0.0%	2.7%	2.5%	46.5K	-213.4K	-203	2.31	157.47	13	30	110	30
2016-08-12	$24.46	$0.00	10.7%	3.1%	5.4%	4.8%	0.0%	4.4%	7.2%	23.6K	-168.7K	-261	2.31	135.77	13	30	110	30
2016-08-15	$24.44	$0.00	11.2%	3.2%	5.3%	5.1%	0.0%	4.6%	7.3%	24.8K	-168.4K	-242	2.31	137.28	13	30	110	30
2016-08-16	$24.50	$0.00	11.9%	3.4%	5.3%	5.4%	0.0%	4.0%	-0.6%	25.5K	-216.6K	-171	2.38	114.31	13	31	110	30
2016-08-17	$24.60	$0.00	10.8%	3.1%	5.4%	4.9%	0.0%	2.4%	2.5%	24.6K	-213.9K	-176	0.00	175.87	0	0	110	41
2016-08-18	$24.63	$0.00	8.7%	2.5%	5.3%	3.8%	0.0%	1.6%	3.3%	23.6K	-218.5K	-170	0.00	121.94	0	11	110	41
2016-08-19	$24.65	$0.00	8.9%	2.6%	5.3%	3.9%	0.0%	1.7%	5.1%	18.3K	-233.3K	-131	3.23	144.49	13	42	110	52
2016-08-22	$24.61	$0.00	9.4%	2.7%	4.8%	4.2%	0.0%	1.5%	4.7%	19.3K	-226.1K	-163	3.15	144.49	13	41	110	51
2016-08-23	$24.65	$0.00	9.7%	2.8%	4.8%	4.3%	0.0%	1.2%	4.2%	17.2K	-244.1K	-82	3.15	165.42	13	41	110	51
2016-08-24	$24.66	$0.00	9.9%	2.8%	4.8%	4.4%	0.0%	-2.1%	2.8%	11.3K	-249.1K	-110	0.00	168.16	0	0	110	51
2016-08-25	$24.63	$0.00	10.1%	2.9%	4.8%	4.5%	0.0%	-0.1%	2.6%	19.3K	-162.8K	-466	3.15	145.32	13	41	110	51
2016-08-26	$24.54	$0.00	9.3%	2.7%	4.5%	4.1%	0.0%	4.5%	2.9%	13.6K	-134.8K	-566	3.15	150.61	13	41	110	51
2016-08-29	$24.64	$0.00	10.5%	3.0%	3.5%	4.7%	0.0%	2.5%	7.7%	14.6K	-255.0K	-40	3.15	149.62	13	41	110	51
2016-08-30	$24.58	$0.00	10.5%	3.0%	3.6%	4.7%	0.0%	2.8%	4.4%	13.1K	-123.8K	-497	3.08	164.68	13	40	100	51
2016-08-31	$24.60	$0.00	11.0%	3.1%	3.5%	5.0%	0.0%	3.2%	2.4%	10.9K	-119.9K	-527	3.08	149.41	13	40	100	61