IHY Options History — January 2018 In January 2018, IHY traded between $25.69 and $26.13. ATM implied volatility averaged 5.7%, placing in the 1.8% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 2.6% (HV 20d: 3.0%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 6.77.
Notable Days 2018-01-29 : Highest Volume — 210 contracts2018-01-10 : Largest IV drop — 37.7% change2018-01-31 : Highest IV Rank — 3.6%2018-01-31 : Largest Expected Move — 2.1%Monthly Statistics Metric Avg Min Max Open Close Price $25.90 $25.69 $26.13 $25.70 $26.07 Max Pain $26.00 $26.00 $26.00 $26.00 $26.00 ATM IV 5.7% 3.9% 7.4% 4.8% 7.4% Expected Move 1.5% 1.0% 2.1% 1.4% 2.1% HV 20d 3.0% 2.5% 3.6% 2.5% 3.6% HV 60d 3.7% 3.5% 3.8% 3.5% 3.8% IV Rank 1.8% 0.0% 3.6% 0.8% 3.6% IV Percentile 23.8% 0.0% 67.5% 2.0% 67.5% Term Structure 4.2% -1.8% 90.0% -1.5% 0.5% VWIV 7.8% 7.7% 7.9% 7.9% 7.7% Skew 25d -99.7% -181.7% 1.8% -97.6% 1.6% Skew 10d -106.1% -182.6% 2.7% -145.3% 2.5% Call IV 25d 108.5% 5.4% 193.1% 103.3% 6.3% Put IV 25d 8.7% 5.7% 11.4% 5.7% 7.9% Bid-Ask Spread % 173.55 156.16 188.87 182.77 180.20 Gamma HHI 0.66 0.35 1.00 0.56 1.00 Net GEX -25.4K -49.6K 0 -29.9K -1.1K Net DEX 81.1K 0 140.7K 140.7K 8.8K Net VEX -346 -548 0 -484 -31 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.77 4.25 9.50 5.30 9.50 Total Volume 155.476 105 210 126 210 Total OI 287.571 219 324 279 324
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 2018-01-02 $25.70 $26.00 4.8% 1.4% 2.5% 0.8% 7.9% -97.6% -1.5% -29.9K 140.7K -484 5.30 182.77 20 106 0 279 2018-01-03 $25.69 $26.00 6.3% 1.8% 2.5% 2.4% 7.7% -148.4% -1.7% -39.2K 115.3K -548 5.30 176.44 20 106 0 279 2018-01-04 $25.80 $0.00 5.7% 1.3% 2.7% 1.7% 0.0% -148.7% -1.1% -38.3K 98.1K -479 5.30 171.66 20 106 0 279 2018-01-05 $25.80 $0.00 5.9% 1.0% 2.6% 1.9% 0.0% -149.8% -1.2% -37.0K 96.2K -472 5.30 169.32 20 106 0 279 2018-01-08 $25.75 $0.00 7.1% 1.0% 2.7% 3.3% 0.0% -155.8% -0.7% -41.0K 112.2K -534 5.30 159.40 20 106 0 279 2018-01-09 $25.70 $0.00 6.3% 1.1% 2.8% 2.4% 0.0% -158.8% 90.0% -30.7K 122.8K -476 5.30 156.16 20 106 0 279 2018-01-10 $25.70 $0.00 3.9% 1.1% 2.8% 0.0% 0.0% -160.9% -1.8% -34.1K 126.9K -501 5.30 163.54 20 106 0 279 2018-01-11 $25.77 $0.00 5.0% 1.4% 2.7% 1.1% 0.0% -162.7% -1.1% -34.1K 121.6K -477 5.30 171.85 20 106 0 279 2018-01-12 $25.86 $0.00 4.5% 1.3% 2.9% 0.6% 0.0% -163.5% -1.1% -40.9K 95.2K -452 5.30 180.14 20 106 0 279 2018-01-16 $25.92 $0.00 5.3% 1.5% 3.0% 1.4% 0.0% -173.5% 1.4% -39.2K 91.1K -298 5.30 173.14 20 106 0 279 2018-01-17 $26.01 $0.00 4.6% 1.3% 3.1% 0.7% 0.0% -175.4% 2.0% -46.0K 78.0K -280 6.50 180.22 20 130 0 279 2018-01-18 $25.96 $0.00 5.1% 1.4% 3.2% 1.2% 0.0% -178.9% 1.4% -49.6K 106.7K -400 6.50 172.21 20 130 0 304 2018-01-19 $25.93 $0.00 5.6% 1.6% 3.3% 1.7% 0.0% -181.7% 1.3% 0 64.8K 0 6.50 180.60 20 130 0 304 2018-01-22 $25.93 $0.00 5.4% 1.6% 3.2% 1.5% 0.0% 1.3% -1.2% -15.1K 67.1K -378 4.25 172.63 20 85 0 219 2018-01-23 $25.99 $0.00 5.1% 1.5% 3.3% 1.2% 0.0% -49.3% -0.4% -13.1K 69.6K -377 9.25 175.96 20 185 0 219 2018-01-24 $26.08 $0.00 6.3% 1.8% 3.4% 2.4% 0.0% 1.6% 0.3% -13.7K 59.5K -356 9.25 171.49 20 185 0 319 2018-01-25 $26.09 $0.00 6.3% 1.8% 3.3% 2.4% 0.0% 1.7% -0.6% -14.0K 60.2K -354 9.25 170.52 20 185 0 319 2018-01-26 $26.13 $0.00 6.2% 1.8% 3.2% 2.4% 0.0% 1.8% 0.7% 0 0 0 9.25 170.13 20 185 0 319 2018-01-29 $26.06 $0.00 6.4% 1.8% 3.4% 2.5% 0.0% 1.1% 1.7% -14.9K 60.2K -345 9.50 177.38 20 190 0 319 2018-01-30 $26.00 $0.00 6.1% 1.7% 3.6% 2.2% 0.0% 1.1% 1.1% -1.0K 8.8K -32 9.50 188.87 20 190 0 324 2018-01-31 $26.07 $0.00 7.4% 2.1% 3.6% 3.6% 0.0% 1.6% 0.5% -1.1K 8.8K -31 9.50 180.20 20 190 0 324
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