IHY Options History — November 2016

In November 2016, IHY traded between $23.67 and $24.32. ATM implied volatility averaged 11.3%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 5.5% (HV 20d: 5.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.39.

Notable Days

2016-11-01: Highest Volume — 130 contracts
2016-11-10: Largest IV spike — 38.4% change
2016-11-07: Highest IV Rank — 7.1%
2016-11-10: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.95	$23.67	$24.32	$24.17	$23.82
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	11.3%	8.6%	15.1%	10.3%	11.6%
Expected Move	3.1%	2.5%	4.0%	3.0%	3.3%
HV 20d	5.8%	4.6%	6.5%	4.7%	6.3%
HV 60d	5.3%	4.8%	5.6%	4.8%	5.3%
IV Rank	5.1%	3.7%	7.1%	4.6%	5.3%
IV Percentile	32.7%	7.1%	56.3%	20.6%	39.3%
Term Structure	-0.9%	-3.2%	2.3%	0.4%	-0.3%
VWIV	11.8%	11.2%	12.4%	11.2%	12.4%
Skew 25d	3.4%	1.8%	6.0%	2.3%	3.5%
Skew 10d	-8.3%	-76.2%	8.7%	1.1%	2.9%
Call IV 25d	8.4%	6.6%	11.2%	6.6%	8.7%
Put IV 25d	11.8%	8.9%	15.5%	8.9%	12.2%
Bid-Ask Spread %	136.69	84.93	172.80	158.76	166.04
Gamma HHI	0.59	0.44	0.73	0.65	0.47
Net GEX	-16.2K	-26.4K	-9.0K	-18.1K	-11.1K
Net DEX	71.7K	45.1K	136.5K	57.6K	59.4K
Net VEX	-219	-299	-132	-271	-174
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	0.94	1.60	1.60	0.94
Total Volume	119.714	97	130	130	97
Total OI	92	72	102	102	72

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
2016-11-01	$24.17	$24.00	10.3%	3.0%	4.7%	4.6%	11.2%	2.3%	0.4%	-18.1K	57.6K	-271	1.60	158.76	50	80	22	80
2016-11-02	$24.17	$24.00	12.5%	3.6%	4.6%	5.7%	12.4%	1.8%	-2.6%	-17.4K	64.0K	-299	1.60	172.80	50	80	22	80
2016-11-03	$24.29	$0.00	11.6%	2.8%	5.1%	5.3%	0.0%	2.5%	-0.5%	-20.4K	49.8K	-244	1.60	108.53	50	80	22	80
2016-11-04	$24.27	$0.00	12.1%	3.0%	5.1%	5.5%	0.0%	2.0%	-0.9%	-18.1K	56.2K	-278	1.60	84.93	50	80	22	80
2016-11-07	$24.25	$0.00	15.1%	2.8%	5.0%	7.1%	0.0%	2.1%	0.1%	-16.9K	53.3K	-242	1.60	143.27	50	80	22	80
2016-11-08	$24.32	$0.00	12.7%	3.0%	5.1%	5.8%	0.0%	3.0%	-0.5%	-18.7K	45.1K	-230	1.60	131.37	50	80	22	80
2016-11-09	$24.21	$0.00	10.1%	2.9%	5.4%	4.5%	0.0%	1.8%	-1.0%	-22.2K	51.8K	-213	1.60	150.79	50	80	22	80
2016-11-10	$24.11	$0.00	13.9%	4.0%	5.5%	6.4%	0.0%	5.3%	-2.4%	-17.6K	77.1K	-289	1.60	118.65	50	80	22	80
2016-11-11	$23.86	$0.00	13.0%	3.7%	6.5%	6.0%	0.0%	4.3%	-1.8%	-18.2K	93.6K	-281	1.60	135.82	50	80	22	80
2016-11-14	$23.73	$0.00	12.9%	3.7%	6.0%	5.9%	0.0%	4.9%	-3.2%	-19.3K	108.8K	-243	1.60	134.60	50	80	22	80
2016-11-15	$23.85	$0.00	11.0%	3.2%	6.1%	5.0%	0.0%	4.0%	-0.2%	-26.4K	94.8K	-200	1.60	127.73	50	80	22	80
2016-11-16	$23.75	$0.00	10.3%	3.0%	6.1%	4.6%	0.0%	3.7%	-0.5%	-23.2K	108.8K	-223	1.60	130.85	50	80	22	80
2016-11-17	$23.73	$0.00	10.0%	2.9%	6.1%	4.5%	0.0%	5.2%	-1.6%	-23.3K	115.0K	-219	1.60	130.80	50	80	22	80
2016-11-18	$23.67	$0.00	8.9%	2.5%	6.0%	3.9%	0.0%	3.7%	2.0%	-9.5K	136.5K	-188	1.60	141.39	50	80	22	80
2016-11-21	$23.75	$0.00	8.6%	2.5%	6.2%	3.7%	0.0%	6.0%	2.3%	-9.9K	62.2K	-181	1.00	152.11	50	50	22	50
2016-11-22	$23.82	$0.00	10.4%	3.0%	6.3%	4.7%	0.0%	3.3%	-1.4%	-10.3K	54.3K	-182	1.00	127.70	50	50	22	50
2016-11-23	$23.73	$0.00	10.7%	3.1%	6.3%	4.8%	0.0%	3.3%	-1.5%	-9.0K	52.8K	-150	1.00	127.68	50	50	22	50
2016-11-25	$23.79	$0.00	10.6%	3.0%	6.4%	4.8%	0.0%	2.9%	-2.6%	-11.1K	57.0K	-166	1.00	128.84	50	50	22	50
2016-11-28	$23.80	$0.00	10.2%	2.9%	6.4%	4.6%	0.0%	3.4%	0.8%	-9.5K	60.8K	-193	1.00	156.38	50	50	22	50
2016-11-29	$23.85	$0.00	11.1%	3.2%	6.4%	5.0%	0.0%	2.8%	-2.8%	-9.8K	47.6K	-132	0.94	141.46	50	47	22	50
2016-11-30	$23.82	$0.00	11.6%	3.3%	6.3%	5.3%	0.0%	3.5%	-0.3%	-11.1K	59.4K	-174	0.94	166.04	50	47	22	50