IHY Options History — December 2016

In December 2016, IHY traded between $23.75 and $24.20. ATM implied volatility averaged 10.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 3.8% (HV 20d: 6.5%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.73.

Notable Days

2016-12-07: Highest Volume — 137 contracts
2016-12-12: Largest IV spike — 40.5% change
2016-12-13: Highest IV Rank — 7.3%
2016-12-01: Largest Expected Move — 3.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.94	$23.75	$24.20	$23.75	$23.83
Max Pain	$23.95	$23.00	$24.00	$23.00	$24.00
ATM IV	10.3%	8.3%	15.6%	11.3%	8.8%
Expected Move	2.7%	2.1%	3.3%	3.3%	2.5%
HV 20d	6.5%	6.0%	7.6%	6.3%	6.4%
HV 60d	5.7%	5.3%	6.0%	5.3%	5.8%
IV Rank	4.6%	3.6%	7.3%	5.2%	3.9%
IV Percentile	24.8%	6.0%	67.1%	36.5%	10.3%
Term Structure	0.1%	-2.2%	1.3%	-2.1%	1.1%
VWIV	9.8%	7.3%	12.9%	12.9%	9.5%
Skew 25d	2.5%	-0.7%	4.2%	3.3%	3.9%
Skew 10d	2.3%	-9.0%	5.6%	2.9%	4.5%
Call IV 25d	8.3%	7.1%	9.3%	8.5%	8.8%
Put IV 25d	10.8%	8.2%	12.7%	11.9%	12.7%
Bid-Ask Spread %	143.54	110.65	166.86	155.96	130.43
Gamma HHI	0.46	0.36	0.69	0.50	0.49
Net GEX	-1.7K	-13.8K	3.3K	-11.0K	2.0K
Net DEX	7.8K	-23.0K	59.7K	59.0K	10.2K
Net VEX	-265	-342	-120	-178	-265
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.35	1.14	1.14	0.35
Total Volume	124.238	69	137	107	69
Total OI	113.81	72	130	72	120

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
2016-12-01	$23.75	$0.00	11.3%	3.3%	6.3%	5.2%	12.9%	3.3%	-2.1%	-11.0K	59.0K	-178	1.14	155.96	50	57	22	50
2016-12-02	$23.80	$23.00	11.2%	3.2%	6.0%	5.1%	12.0%	3.1%	-2.2%	-13.6K	59.7K	-182	1.14	155.28	50	57	22	60
2016-12-05	$23.87	$24.00	10.4%	2.6%	6.2%	4.7%	9.2%	1.1%	0.9%	-10.7K	49.4K	-155	1.14	122.30	50	57	22	60
2016-12-06	$23.99	$24.00	10.2%	2.1%	6.5%	4.6%	7.3%	0.4%	0.9%	-13.8K	42.1K	-120	1.14	119.87	50	57	22	60
2016-12-07	$24.20	$24.00	10.8%	2.6%	7.2%	4.9%	9.4%	2.7%	0.8%	-12.0K	27.1K	-122	0.71	139.58	80	57	22	60
2016-12-08	$24.00	$24.00	12.3%	2.9%	7.6%	5.7%	10.6%	3.5%	-0.3%	774	-13.4K	-342	0.71	122.13	80	57	70	60
2016-12-09	$23.95	$24.00	10.6%	2.8%	7.5%	4.8%	10.2%	3.4%	-0.1%	319	-8.4K	-337	0.71	128.80	80	57	70	60
2016-12-12	$24.02	$24.00	14.9%	2.9%	6.6%	6.9%	11.0%	0.9%	-0.3%	1.0K	-17.1K	-341	0.71	158.43	80	57	70	60
2016-12-13	$24.10	$24.00	15.6%	2.9%	6.3%	7.3%	10.7%	2.5%	-0.5%	3.3K	-23.0K	-316	0.71	157.09	80	57	70	60
2016-12-14	$24.03	$24.00	11.1%	3.2%	6.2%	5.0%	12.0%	1.2%	-0.9%	381	-15.4K	-323	0.71	152.19	80	57	70	60
2016-12-15	$23.88	$24.00	10.3%	2.9%	6.5%	4.6%	10.6%	2.6%	-0.4%	-120	3.7K	-328	0.71	125.69	80	57	70	60
2016-12-16	$23.91	$24.00	9.7%	2.8%	6.5%	4.3%	9.6%	1.4%	-0.0%	1.8K	-2.0K	-297	0.71	110.65	80	57	70	60
2016-12-19	$23.87	$24.00	9.3%	2.7%	6.4%	4.1%	9.3%	-0.7%	0.5%	1.6K	4.5K	-311	0.59	158.54	80	47	70	50
2016-12-20	$23.90	$24.00	9.0%	2.6%	6.3%	4.0%	9.0%	3.0%	0.2%	2.4K	19	-279	0.59	152.37	80	47	70	50
2016-12-21	$23.96	$24.00	8.7%	2.5%	6.3%	3.8%	8.7%	3.5%	0.9%	2.4K	-5.0K	-276	0.59	163.21	80	47	70	50
2016-12-22	$23.93	$24.00	9.0%	2.6%	6.2%	4.0%	9.0%	4.2%	1.2%	2.6K	-366	-301	0.59	159.77	80	47	70	50
2016-12-23	$23.97	$24.00	8.3%	2.4%	6.1%	3.6%	8.3%	2.8%	1.3%	2.6K	-7.3K	-270	0.59	163.18	80	47	70	50
2016-12-27	$24.00	$24.00	8.9%	2.5%	6.1%	3.9%	8.9%	2.9%	1.1%	2.6K	-9.1K	-252	0.59	166.86	80	47	70	50
2016-12-28	$23.86	$24.00	8.3%	2.4%	6.5%	3.6%	8.4%	3.6%	0.4%	1.2K	4.6K	-284	0.59	135.09	80	47	70	50
2016-12-29	$23.86	$24.00	8.5%	2.4%	6.5%	3.7%	8.5%	3.1%	0.4%	1.2K	4.2K	-281	0.59	136.88	80	47	70	50
2016-12-30	$23.83	$24.00	8.8%	2.5%	6.4%	3.9%	9.5%	3.9%	1.1%	2.0K	10.2K	-265	0.35	130.43	51	18	70	50