IHY Options History — September 2018

In September 2018, IHY traded between $23.98 and $24.43. ATM implied volatility averaged 6.8%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 1.9%. IV traded above realized volatility by 1.2% (HV 20d: 5.6%). Max pain ranged from $26.00 to $26.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.97.

Notable Days

2018-09-04: Highest Volume — 132 contracts
2018-09-26: Largest IV spike — 31.4% change
2018-09-11: Highest IV Rank — 4.8%
2018-09-05: Largest Expected Move — 2.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.19	$23.98	$24.43	$23.98	$24.39
Max Pain	$26.00	$26.00	$26.00	$26.00	$26.00
ATM IV	6.8%	4.7%	8.6%	7.2%	4.9%
Expected Move	1.9%	1.3%	2.3%	2.1%	1.4%
HV 20d	5.6%	5.2%	6.4%	6.3%	5.2%
HV 60d	5.9%	5.5%	6.1%	6.0%	5.5%
IV Rank	3.0%	0.8%	4.8%	3.4%	1.0%
IV Percentile	40.9%	2.0%	71.8%	54.0%	4.0%
Term Structure	-0.4%	-6.2%	1.1%	0.1%	-6.2%
VWIV	50.3%	6.4%	114.0%	112.7%	68.7%
Skew 25d	-16.8%	-94.2%	5.0%	0.2%	2.6%
Skew 10d	-41.8%	-149.9%	4.6%	0.4%	4.5%
Call IV 25d	24.9%	4.0%	101.5%	7.0%	5.3%
Put IV 25d	8.2%	7.2%	12.6%	7.2%	7.9%
Bid-Ask Spread %	173.88	148.01	187.84	177.13	187.84
Gamma HHI	0.65	0.42	0.87	0.73	0.42
Net GEX	-45.6K	-64.3K	-4.2K	-53.3K	-24.2K
Net DEX	270.3K	196.4K	334.4K	334.4K	230.1K
Net VEX	-646	-746	-511	-728	-645
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.52	1.75	1.75	0.65
Total Volume	94.368	73	132	132	79
Total OI	251.105	249	254	254	249

Daily Data (19 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
2018-09-04	$23.98	$0.00	7.2%	2.1%	6.3%	3.4%	0.0%	0.2%	0.1%	-53.3K	334.4K	-728	1.75	177.13	48	84	28	226
2018-09-05	$24.03	$0.00	8.1%	2.3%	6.4%	4.3%	0.0%	-13.9%	0.2%	-50.4K	318.8K	-746	1.75	167.68	48	84	28	226
2018-09-06	$24.02	$26.00	8.3%	2.3%	6.4%	4.5%	112.7%	0.7%	-0.1%	-53.0K	312.4K	-729	1.75	154.77	48	84	28	226
2018-09-07	$24.05	$26.00	8.5%	2.2%	6.4%	4.7%	114.0%	-85.4%	-0.1%	-54.5K	320.0K	-720	1.75	164.11	48	84	28	226
2018-09-10	$23.98	$26.00	8.2%	2.1%	5.7%	4.4%	107.0%	-82.3%	0.2%	-56.5K	329.0K	-685	1.75	148.01	48	84	28	226
2018-09-11	$23.98	$26.00	8.6%	2.0%	5.5%	4.8%	99.9%	-75.5%	-0.2%	-55.1K	326.8K	-561	1.75	176.31	48	84	28	226
2018-09-12	$24.09	$26.00	7.4%	2.1%	5.6%	3.5%	13.5%	-94.2%	-0.4%	-56.9K	299.0K	-585	0.52	181.33	48	25	28	226
2018-09-13	$24.14	$26.00	7.8%	2.2%	5.6%	3.9%	9.0%	0.6%	0.2%	-55.9K	276.7K	-588	0.60	168.54	48	29	28	225
2018-09-14	$24.12	$26.00	7.1%	2.0%	5.5%	3.3%	10.7%	-0.4%	0.3%	-58.8K	303.8K	-651	0.60	172.70	48	29	28	221
2018-09-17	$24.19	$26.00	7.1%	2.0%	5.5%	3.3%	12.5%	0.7%	0.6%	-59.6K	258.6K	-532	0.60	174.41	48	29	28	221
2018-09-18	$24.13	$26.00	6.5%	1.9%	5.6%	2.7%	6.6%	3.1%	0.7%	-64.3K	272.5K	-511	0.60	177.90	48	29	28	221
2018-09-19	$24.26	$26.00	6.8%	2.0%	5.5%	3.0%	12.9%	4.5%	0.8%	-61.8K	259.6K	-605	0.60	180.26	48	29	28	221
2018-09-20	$24.35	$26.00	5.5%	1.6%	5.6%	1.7%	9.1%	5.0%	1.1%	-52.1K	230.9K	-639	0.63	177.15	48	30	28	221
2018-09-21	$24.38	$26.00	6.0%	1.7%	5.3%	2.2%	6.4%	4.7%	-2.0%	-57.9K	218.9K	-572	0.63	183.19	48	30	28	222
2018-09-24	$24.34	$26.00	6.5%	1.9%	5.2%	2.7%	52.8%	2.8%	-2.2%	-21.0K	225.7K	-701	0.60	178.52	48	29	28	221
2018-09-25	$24.40	$26.00	4.7%	1.3%	5.2%	0.8%	77.3%	2.4%	-0.6%	-4.2K	196.4K	-710	0.60	167.19	48	29	28	221
2018-09-26	$24.43	$26.00	6.2%	1.8%	5.2%	2.3%	71.6%	3.0%	0.0%	-23.7K	221.7K	-676	0.60	181.96	48	29	28	221
2018-09-27	$24.38	$26.00	4.7%	1.4%	5.3%	0.8%	70.0%	2.6%	-6.2%	-4.2K	199.6K	-688	0.60	184.76	48	29	28	221
2018-09-28	$24.39	$26.00	4.9%	1.4%	5.2%	1.0%	68.7%	2.6%	0.0%	-24.2K	230.1K	-645	0.65	187.84	48	31	28	221