IHY Options History — May 2017 In May 2017, IHY traded between $24.79 and $25.14. ATM implied volatility averaged 6.3%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 1.7%. IV traded above realized volatility by 1.8% (HV 20d: 4.5%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days.
Notable Days 2017-05-03 : Highest Volume — 46 contracts2017-05-17 : Largest IV spike — 57.8% change2017-05-17 : Highest IV Rank — 7.7%2017-05-17 : Largest Expected Move — 2.1%Monthly Statistics Metric Avg Min Max Open Close Price $24.96 $24.79 $25.14 $24.79 $25.13 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 6.3% 4.7% 7.4% 5.9% 6.4% Expected Move 1.7% 1.3% 2.1% 1.7% 1.8% HV 20d 4.5% 3.7% 5.3% 5.3% 3.8% HV 60d 5.1% 4.9% 5.2% 5.1% 5.0% IV Rank 3.5% 0.0% 7.7% 1.2% 4.9% IV Percentile 6.9% 0.0% 16.7% 1.2% 10.7% Term Structure -0.0% -2.0% 1.8% 0.3% 0.1% VWIV 7.8% 7.0% 8.8% 7.7% 8.8% Skew 25d -66.1% -178.2% 3.7% -150.4% 3.6% Skew 10d -81.0% -179.7% 5.8% -150.4% 5.8% Call IV 25d 75.1% 5.1% 188.3% 159.4% 5.6% Put IV 25d 9.0% 5.9% 11.0% 9.0% 9.2% Bid-Ask Spread % 161.16 111.28 190.04 183.80 178.85 Gamma HHI 0.75 0.57 1.00 0.65 1.00 Net GEX -17.0K -38.7K 0 -18.5K -12.6K Net DEX 35.7K 0 88.5K 53.4K 30.1K Net VEX -85 -291 0 -119 -89 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 33.909 9 46 26 33 Total OI 65.364 52 76 54 76
Daily Data (22 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 2017-05-01 $24.79 $25.00 5.9% 1.7% 5.3% 1.2% 7.7% -150.4% 0.3% -18.5K 53.4K -119 0.00 183.80 0 26 0 54 2017-05-02 $24.81 $25.00 6.2% 1.8% 4.6% 1.9% 7.0% -141.9% -0.9% -17.8K 49.7K -112 0.00 166.99 0 26 0 54 2017-05-03 $24.83 $25.00 7.0% 2.0% 4.6% 4.4% 8.8% -153.1% -0.2% -18.3K 49.7K -123 0.00 177.84 0 46 0 54 2017-05-04 $24.88 $0.00 6.7% 1.4% 4.6% 3.5% 0.0% -134.0% 1.7% -20.2K 54.7K -181 0.00 156.58 0 46 0 74 2017-05-05 $24.89 $0.00 6.3% 1.5% 4.5% 2.3% 0.0% -82.2% 1.8% -20.0K 36.5K -60 0.00 142.57 0 46 0 74 2017-05-08 $24.84 $0.00 7.0% 1.4% 4.6% 4.3% 0.0% -0.4% 1.7% -22.6K 51.7K -121 0.00 111.28 0 46 0 74 2017-05-09 $24.83 $0.00 7.3% 1.5% 4.6% 5.2% 0.0% 2.4% -0.8% -21.8K 52.2K -113 0.00 122.09 0 46 0 74 2017-05-10 $24.85 $0.00 5.7% 1.6% 4.6% 0.7% 0.0% -122.5% -2.0% -23.0K 66.6K -217 0.00 167.48 0 46 0 74 2017-05-11 $24.82 $0.00 5.8% 1.7% 4.7% 0.8% 0.0% -169.5% -0.5% -23.6K 88.5K -291 0.00 186.83 0 46 0 74 2017-05-12 $24.88 $0.00 5.9% 1.7% 4.7% 1.2% 0.0% -171.0% -0.5% -27.5K 63.2K -128 0.00 169.70 0 46 0 74 2017-05-15 $24.90 $0.00 5.4% 1.5% 4.7% 0.0% 0.0% -176.8% 1.7% -29.2K 40.2K -28 0.00 154.30 0 46 0 74 2017-05-16 $25.00 $0.00 4.7% 1.3% 4.8% 0.0% 0.0% -178.2% 1.4% -22.8K 28.2K -24 0.00 188.41 0 46 0 74 2017-05-17 $25.06 $0.00 7.4% 2.1% 4.7% 7.7% 0.0% 0.0% -0.1% -25.6K 21.6K -19 0.00 161.52 0 46 0 74 2017-05-18 $24.92 $0.00 7.0% 2.0% 5.2% 6.6% 0.0% -0.5% -0.4% -30.9K 64.2K -197 0.00 155.13 0 46 0 74 2017-05-19 $25.02 $0.00 5.9% 1.7% 5.2% 3.3% 0.0% 2.7% 0.5% -38.7K 34.4K -58 0.00 171.09 0 31 0 74 2017-05-22 $25.08 $0.00 7.2% 2.1% 4.5% 7.1% 0.0% 3.3% -0.4% 0 0 0 0.00 148.75 0 9 0 52 2017-05-23 $25.05 $0.00 6.3% 1.8% 4.1% 4.7% 0.0% 0.3% -0.3% -1 0 0 0.00 179.86 0 9 0 52 2017-05-24 $25.14 $0.00 6.4% 1.8% 4.1% 5.0% 0.0% 3.7% -1.3% 0 0 0 0.00 120.22 0 9 0 52 2017-05-25 $25.12 $0.00 6.1% 1.7% 4.1% 4.0% 0.0% 3.5% -1.3% 0 1 0 0.00 190.04 0 9 0 52 2017-05-26 $25.11 $0.00 5.7% 1.6% 3.9% 2.9% 0.0% 3.4% -0.9% 0 0 0 0.00 132.18 0 9 0 52 2017-05-30 $25.07 $0.00 6.4% 1.8% 3.7% 4.8% 0.0% 3.4% -0.3% 0 0 0 0.00 179.99 0 33 0 52 2017-05-31 $25.13 $0.00 6.4% 1.8% 3.8% 4.9% 0.0% 3.6% 0.1% -12.6K 30.1K -89 0.00 178.85 0 33 0 76
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