IHY Options History — September 2016

In September 2016, IHY traded between $24.37 and $24.71. ATM implied volatility averaged 11.7%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 6.6% (HV 20d: 5.2%). Max pain ranged from $24.00 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 1.70.

Notable Days

2016-09-26: Highest Volume — 131 contracts
2016-09-14: Largest IV drop — 62.5% change
2016-09-13: Highest IV Rank — 13.5%
2016-09-13: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.57	$24.37	$24.71	$24.51	$24.69
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	11.7%	7.0%	28.1%	10.7%	7.0%
Expected Move	3.0%	2.0%	4.6%	3.1%	2.0%
HV 20d	5.2%	3.8%	6.0%	3.8%	5.6%
HV 60d	7.2%	5.2%	8.7%	8.6%	5.2%
IV Rank	5.3%	3.0%	13.5%	4.8%	3.0%
IV Percentile	20.4%	2.0%	63.1%	14.3%	2.0%
Term Structure	0.3%	-4.2%	4.4%	2.3%	-0.9%
VWIV	12.9%	7.5%	23.6%	11.5%	7.5%
Skew 25d	3.5%	1.4%	6.3%	4.3%	6.3%
Skew 10d	-4.4%	-127.2%	8.3%	7.9%	-39.9%
Call IV 25d	8.7%	5.1%	12.9%	9.9%	5.7%
Put IV 25d	12.2%	8.0%	17.6%	14.3%	12.0%
Bid-Ask Spread %	145.75	88.69	174.92	158.64	156.07
Gamma HHI	0.70	0.57	0.77	0.75	0.73
Net GEX	14.1K	10.1K	20.3K	10.9K	17.2K
Net DEX	-149.9K	-223.0K	-107.7K	-118.9K	-223.0K
Net VEX	-528	-635	-412	-526	-412
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.70	0.66	3.08	3.08	1.15
Total Volume	89.857	53	131	53	131
Total OI	189.571	161	231	161	231

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
2016-09-01	$24.51	$0.00	10.7%	3.1%	3.8%	4.8%	0.0%	4.3%	2.3%	10.9K	-118.9K	-526	3.08	158.64	13	40	100	61
2016-09-02	$24.51	$0.00	9.6%	2.8%	3.8%	4.3%	0.0%	2.0%	3.2%	11.4K	-128.0K	-510	3.08	158.80	13	40	100	61
2016-09-06	$24.71	$24.00	11.6%	2.8%	4.6%	5.3%	11.5%	2.3%	0.9%	11.1K	-138.4K	-460	3.08	88.69	13	40	100	61
2016-09-07	$24.66	$24.00	11.9%	2.8%	4.5%	5.5%	11.5%	2.0%	0.8%	10.6K	-133.7K	-477	3.08	142.76	13	40	100	61
2016-09-08	$24.69	$24.00	12.0%	2.8%	4.5%	5.5%	12.0%	2.1%	0.9%	10.5K	-144.1K	-446	3.08	125.35	13	40	100	61
2016-09-09	$24.60	$24.00	14.2%	3.0%	4.7%	6.6%	13.3%	2.6%	0.1%	10.2K	-129.8K	-469	3.08	143.96	13	40	100	61
2016-09-12	$24.60	$24.00	18.7%	3.2%	4.7%	8.9%	14.7%	4.7%	0.7%	10.1K	-125.0K	-456	3.08	124.33	13	40	100	61
2016-09-13	$24.44	$24.00	28.1%	4.6%	5.3%	13.5%	16.7%	4.7%	-1.2%	10.3K	-107.7K	-475	3.08	129.42	13	40	100	61
2016-09-14	$24.51	$24.00	10.5%	3.0%	5.3%	4.7%	15.7%	5.7%	0.3%	11.7K	-119.0K	-461	0.66	134.38	61	40	100	61
2016-09-15	$24.52	$24.00	8.9%	2.6%	5.1%	3.9%	10.8%	4.4%	4.2%	19.1K	-175.6K	-617	0.66	145.44	61	40	140	61
2016-09-16	$24.38	$24.00	13.2%	3.8%	5.4%	6.1%	12.7%	3.3%	-0.7%	18.6K	-140.3K	-635	0.66	145.34	61	40	140	61
2016-09-19	$24.37	$24.00	13.1%	3.8%	5.4%	6.0%	12.9%	4.9%	-0.4%	18.8K	-149.5K	-610	0.66	143.82	61	40	140	61
2016-09-20	$24.40	$24.00	12.4%	3.5%	5.4%	5.7%	12.2%	5.1%	0.6%	18.8K	-149.6K	-596	0.66	150.24	61	40	140	61
2016-09-21	$24.45	$24.00	13.4%	3.8%	5.4%	6.2%	13.0%	3.3%	-4.2%	20.3K	-151.9K	-584	0.66	167.85	61	40	140	61
2016-09-22	$24.61	$24.00	8.7%	2.5%	6.0%	3.8%	13.0%	1.4%	-1.4%	13.2K	-154.4K	-604	0.66	155.90	61	40	140	61
2016-09-23	$24.65	$24.00	8.4%	2.4%	6.0%	3.7%	12.3%	2.2%	-0.3%	13.5K	-159.5K	-593	0.66	164.54	61	40	140	61
2016-09-26	$24.60	$24.00	9.3%	2.7%	5.9%	4.1%	13.0%	2.1%	3.2%	13.7K	-155.7K	-570	1.15	144.66	61	70	140	61
2016-09-27	$24.59	$24.00	8.3%	2.4%	5.7%	3.6%	10.7%	3.0%	4.4%	12.6K	-150.1K	-632	1.15	150.67	61	70	140	91
2016-09-28	$24.69	$24.00	8.3%	2.4%	5.8%	3.6%	23.6%	2.9%	-2.6%	14.3K	-178.4K	-519	1.15	154.99	61	70	140	91
2016-09-29	$24.70	$24.00	8.0%	2.3%	5.8%	3.5%	8.4%	3.4%	-3.0%	18.9K	-216.3K	-441	1.15	174.92	61	70	140	91
2016-09-30	$24.69	$24.00	7.0%	2.0%	5.6%	3.0%	7.5%	6.3%	-0.9%	17.2K	-223.0K	-412	1.15	156.07	61	70	140	91