IHY Options History — January 2017

In January 2017, IHY traded between $23.91 and $24.59. ATM implied volatility averaged 8.5%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 2.4%. IV traded above realized volatility by 3.7% (HV 20d: 4.8%). Max pain ranged from $24.00 to $24.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.98.

Notable Days

2017-01-18: Highest Volume — 99 contracts
2017-01-27: Largest IV spike — 38.7% change
2017-01-05: Highest IV Rank — 4.6%
2017-01-05: Largest Expected Move — 2.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.30	$23.91	$24.59	$23.91	$24.57
Max Pain	$24.00	$24.00	$24.00	$24.00	$24.00
ATM IV	8.5%	6.0%	10.2%	9.6%	6.0%
Expected Move	2.4%	1.7%	2.8%	2.7%	1.7%
HV 20d	4.8%	3.8%	6.6%	6.5%	4.2%
HV 60d	5.9%	5.7%	6.0%	5.8%	5.9%
IV Rank	3.5%	1.2%	4.6%	4.3%	1.2%
IV Percentile	11.0%	0.8%	26.6%	18.7%	0.8%
Term Structure	-0.2%	-3.2%	1.8%	-0.2%	-2.2%
VWIV	10.1%	10.0%	10.2%	10.2%	10.0%
Skew 25d	1.2%	-23.1%	4.7%	3.6%	-23.1%
Skew 10d	-28.4%	-139.3%	5.6%	4.8%	-139.3%
Call IV 25d	8.6%	5.0%	33.6%	8.5%	33.6%
Put IV 25d	9.8%	8.2%	12.3%	12.1%	10.6%
Bid-Ask Spread %	163.24	138.88	185.10	160.74	178.47
Gamma HHI	0.79	0.38	1.00	0.49	1.00
Net GEX	70	-10.5K	5.4K	2.3K	-2.2K
Net DEX	-18.0K	-66.6K	38.9K	171	-1.2K
Net VEX	-211	-263	-118	-263	-214
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.35	1.90	0.35	1.90
Total Volume	69.65	58	99	69	58
Total OI	98.1	58	122	122	58

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
2017-01-03	$23.91	$24.00	9.6%	2.7%	6.5%	4.3%	10.2%	3.6%	-0.2%	2.3K	171	-263	0.35	160.74	51	18	71	51
2017-01-04	$24.02	$24.00	9.3%	2.7%	6.6%	4.1%	10.0%	4.3%	1.0%	3.0K	-22.4K	-232	0.35	170.21	51	18	71	51
2017-01-05	$24.14	$0.00	10.2%	2.8%	6.6%	4.6%	0.0%	4.7%	-0.9%	4.3K	-37.9K	-227	0.35	138.88	51	18	71	51
2017-01-06	$24.13	$0.00	8.5%	2.7%	5.8%	3.7%	0.0%	0.9%	-0.0%	2.7K	-39.9K	-217	0.35	141.54	51	18	71	51
2017-01-09	$24.18	$0.00	8.7%	2.7%	4.9%	3.8%	0.0%	1.5%	0.0%	3.2K	-50.6K	-196	0.35	145.75	51	18	71	51
2017-01-10	$24.15	$0.00	10.0%	2.8%	4.9%	4.5%	0.0%	1.4%	0.2%	2.9K	-43.7K	-195	0.35	166.49	51	18	71	51
2017-01-11	$24.20	$0.00	9.2%	2.6%	4.8%	4.1%	0.0%	2.8%	0.0%	4.2K	-58.8K	-174	0.35	157.83	51	18	71	51
2017-01-12	$24.19	$0.00	9.3%	2.7%	4.7%	4.1%	0.0%	1.4%	0.4%	3.4K	-54.8K	-177	0.35	144.68	51	18	71	51
2017-01-13	$24.28	$0.00	8.0%	2.3%	4.7%	3.5%	0.0%	1.6%	1.8%	4.4K	-66.6K	-161	0.35	166.29	51	18	71	51
2017-01-17	$24.34	$0.00	9.0%	2.6%	4.0%	4.0%	0.0%	2.4%	1.1%	5.4K	-43.9K	-173	0.35	169.65	51	18	71	51
2017-01-18	$24.31	$0.00	8.6%	2.5%	4.1%	3.8%	0.0%	3.3%	1.1%	-6.0K	-4.8K	-118	0.94	166.52	51	48	41	51
2017-01-19	$24.27	$0.00	8.3%	2.4%	4.1%	3.6%	0.0%	4.2%	1.8%	-10.5K	38.9K	-259	0.94	152.58	51	48	41	81
2017-01-20	$24.32	$0.00	9.0%	2.6%	4.1%	4.0%	0.0%	4.4%	0.9%	-2.0K	7.5K	-240	0.94	173.38	51	48	41	81
2017-01-23	$24.46	$0.00	7.8%	2.2%	4.4%	3.4%	0.0%	-10.0%	-1.4%	-2.4K	6.1K	-233	1.90	176.14	20	38	20	38
2017-01-24	$24.42	$0.00	8.1%	2.3%	4.5%	3.5%	0.0%	4.1%	-2.1%	-2.3K	6.1K	-233	1.90	167.94	20	38	20	38
2017-01-25	$24.44	$0.00	8.2%	2.4%	4.5%	3.6%	0.0%	4.0%	-3.2%	-2.1K	4.5K	-232	1.90	157.68	20	38	20	38
2017-01-26	$24.55	$0.00	6.0%	1.7%	4.6%	2.5%	0.0%	4.5%	-1.3%	-2.4K	661	-226	1.90	185.10	20	38	20	38
2017-01-27	$24.59	$0.00	8.4%	2.4%	3.8%	2.4%	0.0%	3.6%	-1.4%	-2.4K	-1.6K	-220	1.90	163.83	20	38	20	38
2017-01-30	$24.49	$0.00	7.3%	2.1%	4.3%	1.8%	0.0%	4.0%	0.7%	-2.3K	3.3K	-221	1.90	181.05	20	38	20	38
2017-01-31	$24.57	$0.00	6.0%	1.7%	4.2%	1.2%	0.0%	-23.1%	-2.2%	-2.2K	-1.2K	-214	1.90	178.47	20	38	20	38