IHY Options History — September 2017

In September 2017, IHY traded between $25.57 and $25.82. ATM implied volatility averaged 11.2%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded above realized volatility by 7.2% (HV 20d: 4.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 97.85.

Notable Days

2017-09-25: Highest Volume — 116 contracts
2017-09-27: Largest IV spike — 1370.7% change
2017-09-27: Highest IV Rank — 100.0%
2017-09-27: Largest Expected Move — 29.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.72	$25.57	$25.82	$25.57	$25.76
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	11.2%	4.9%	101.0%	6.4%	8.1%
Expected Move	3.1%	1.4%	29.0%	1.8%	2.3%
HV 20d	4.0%	3.6%	4.3%	4.0%	4.3%
HV 60d	4.0%	3.9%	4.2%	4.0%	4.0%
IV Rank	7.4%	0.3%	100.0%	2.5%	3.6%
IV Percentile	28.6%	1.2%	100.0%	23.8%	57.1%
Term Structure	-0.2%	-2.7%	1.6%	-2.7%	-0.5%
VWIV	15.1%	7.1%	129.1%	8.4%	10.9%
Skew 25d	-150.8%	-179.6%	-117.2%	-117.2%	-141.4%
Skew 10d	-149.3%	-172.2%	-135.1%	-135.1%	-141.4%
Call IV 25d	160.2%	124.5%	190.4%	124.5%	149.4%
Put IV 25d	9.4%	7.3%	11.6%	7.3%	8.0%
Bid-Ask Spread %	170.57	155.44	188.05	179.52	182.96
Gamma HHI	0.50	0.43	0.64	0.43	0.64
Net GEX	-25.8K	-42.6K	-19.5K	-22.6K	-42.6K
Net DEX	210.5K	166.8K	242.6K	166.8K	242.6K
Net VEX	-685	-748	-568	-568	-677
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	97.85	82.00	115.00	92.00	115.00
Total Volume	98.85	83	116	93	116
Total OI	184.45	141	209	141	209

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
2017-09-01	$25.57	$0.00	6.4%	1.8%	4.0%	2.5%	0.0%	-117.2%	-2.7%	-22.6K	166.8K	-568	92.00	179.52	1	92	1	140
2017-09-05	$25.64	$26.00	6.9%	1.7%	4.1%	3.2%	8.4%	-132.5%	0.1%	-27.2K	205.7K	-685	92.00	163.48	1	92	1	165
2017-09-06	$25.70	$26.00	6.7%	1.5%	4.1%	2.8%	7.1%	-130.1%	0.7%	-28.0K	200.2K	-680	92.00	161.79	1	92	1	165
2017-09-07	$25.71	$26.00	7.0%	1.6%	4.0%	3.2%	7.5%	-144.3%	-0.1%	-21.7K	192.2K	-705	92.00	170.64	1	92	1	165
2017-09-08	$25.75	$26.00	7.0%	1.6%	3.8%	3.2%	7.9%	-147.3%	0.1%	-27.9K	190.9K	-672	82.00	155.62	1	82	1	165
2017-09-11	$25.74	$26.00	6.7%	1.7%	3.8%	2.8%	8.3%	-151.5%	1.6%	-25.6K	213.9K	-700	82.00	188.05	1	82	1	175
2017-09-12	$25.74	$26.00	7.6%	1.6%	3.8%	4.2%	7.9%	-153.6%	-0.5%	-24.5K	206.5K	-707	82.00	177.67	1	82	1	175
2017-09-13	$25.69	$26.00	5.9%	1.7%	3.9%	1.9%	8.6%	-156.1%	-0.2%	-24.9K	211.3K	-698	82.00	164.01	1	82	1	175
2017-09-14	$25.73	$26.00	5.7%	1.6%	3.8%	1.6%	8.5%	-158.1%	0.5%	-25.9K	210.6K	-685	82.00	155.44	1	82	1	175
2017-09-15	$25.74	$26.00	5.4%	1.6%	3.6%	1.1%	8.2%	-160.4%	0.2%	-24.6K	209.6K	-683	82.00	160.34	1	82	1	175
2017-09-18	$25.76	$26.00	6.2%	1.8%	3.6%	2.2%	8.9%	-167.4%	-0.2%	-21.6K	193.7K	-672	102.00	165.70	1	102	1	175
2017-09-19	$25.82	$26.00	5.9%	1.7%	3.7%	1.9%	8.7%	-170.1%	-0.2%	-20.4K	194.3K	-684	105.00	159.21	1	105	1	195
2017-09-20	$25.66	$26.00	6.1%	1.7%	4.2%	2.0%	8.7%	-174.4%	-0.2%	-28.3K	241.4K	-748	105.00	162.31	1	105	1	198
2017-09-21	$25.78	$26.00	6.0%	1.7%	4.3%	2.0%	9.2%	-176.5%	-0.0%	-22.1K	200.6K	-693	105.00	187.60	1	105	1	198
2017-09-22	$25.82	$26.00	6.2%	1.8%	4.3%	2.2%	9.1%	-179.6%	-0.0%	-21.8K	193.8K	-665	105.00	173.45	1	105	1	198
2017-09-25	$25.75	$26.00	6.9%	2.0%	4.1%	3.2%	9.6%	-136.1%	-0.3%	-33.1K	236.1K	-679	115.00	166.25	1	115	1	198
2017-09-26	$25.69	$26.00	6.9%	2.0%	4.2%	3.1%	9.3%	-138.1%	-0.4%	-32.0K	236.5K	-684	115.00	181.95	1	115	1	208
2017-09-27	$25.65	$26.00	101.0%	29.0%	4.2%	100.0%	129.1%	-140.1%	-0.6%	-20.9K	240.0K	-711	115.00	177.30	1	115	1	208
2017-09-28	$25.69	$26.00	4.9%	1.4%	4.3%	0.3%	10.7%	-140.9%	-0.5%	-19.5K	224.1K	-708	115.00	178.01	1	115	1	208
2017-09-29	$25.76	$26.00	8.1%	2.3%	4.3%	3.6%	10.9%	-141.4%	-0.5%	-42.6K	242.6K	-677	115.00	182.96	1	115	1	208