IHY Options History — November 2019 In November 2019, IHY traded between $24.64 and $24.76. ATM implied volatility averaged 6.6%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 1.5%. IV traded above realized volatility by 4.4% (HV 20d: 2.1%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-11-01 : Highest Volume — 10 contracts2019-11-13 : Largest IV drop — 59.4% change2019-11-12 : Highest IV Rank — 9.2%2019-11-01 : Largest Expected Move — 2.2%Monthly Statistics Metric Avg Min Max Open Close Price $24.69 $24.64 $24.76 $24.72 $24.76 ATM IV 6.6% 4.4% 13.0% 7.8% 4.9% Expected Move 1.5% 1.3% 2.2% 2.2% 1.4% HV 20d 2.1% 1.9% 2.5% 2.3% 2.0% HV 60d 3.1% 3.0% 3.3% 3.3% 3.0% IV Rank 2.6% 0.4% 9.2% 3.9% 0.9% IV Percentile 33.4% 1.2% 88.1% 65.5% 5.2% Term Structure -9.2% -176.3% 0.2% -1.3% -0.4% Skew 25d -11.2% -57.4% 5.1% 0.5% 2.8% Skew 10d -39.6% -188.7% 5.2% -86.2% -1.0% Call IV 25d 18.9% 4.1% 63.0% 5.9% 4.1% Put IV 25d 7.7% 5.0% 10.7% 6.4% 6.9% Bid-Ask Spread % 159.51 78.68 189.74 189.74 80.15 Gamma HHI 0.96 0.86 1.00 0.98 1.00 Net GEX 53.8K 48.9K 63.0K 63.0K 59.6K Net DEX -151.6K -171.5K -96.1K -137.8K -156.6K Net VEX -776 -865 -690 -753 -711 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.05 0 10 10 0 Total OI 297.15 283 304 283 304
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 2019-11-01 $24.72 $0.00 7.8% 2.2% 2.3% 3.9% 0.0% 0.5% -1.3% 63.0K -137.8K -753 0.00 189.74 0 10 198 85 2019-11-04 $24.69 $0.00 7.9% 1.4% 2.4% 4.0% 0.0% 0.8% -0.2% 53.2K -171.5K -818 0.00 144.41 0 0 198 95 2019-11-05 $24.68 $0.00 6.7% 1.5% 2.5% 2.8% 0.0% 0.4% -1.0% 52.0K -170.8K -812 0.00 140.57 0 0 198 95 2019-11-06 $24.68 $0.00 7.1% 1.4% 2.5% 3.2% 0.0% 0.9% -0.2% 52.3K -170.3K -806 0.00 139.41 0 0 198 95 2019-11-07 $24.64 $0.00 8.0% 1.6% 2.5% 4.1% 0.0% 0.9% 0.2% 56.5K -96.1K -690 0.00 150.48 0 0 198 95 2019-11-08 $24.68 $0.00 8.1% 1.4% 2.4% 4.2% 0.0% 0.3% -0.3% 53.5K -167.7K -793 0.00 172.00 0 0 198 95 2019-11-11 $24.68 $0.00 10.7% 1.4% 2.4% 6.9% 0.0% 0.6% -0.3% 52.4K -169.2K -776 0.00 161.32 0 0 198 95 2019-11-12 $24.65 $0.00 13.0% 1.5% 2.0% 9.2% 0.0% 0.3% -1.1% 50.9K -149.9K -796 0.00 172.00 0 0 198 95 2019-11-13 $24.66 $0.00 5.3% 1.5% 2.0% 1.3% 0.0% 0.4% -0.4% 48.9K -158.7K -774 0.00 172.00 0 0 198 95 2019-11-14 $24.66 $0.00 5.3% 1.5% 2.0% 1.3% 0.0% 0.5% -1.1% 55.5K -157.3K -725 0.00 172.00 0 0 198 95 2019-11-15 $24.70 $0.00 4.6% 1.3% 2.0% 0.5% 0.0% 1.0% -0.1% 57.7K -163.4K -748 0.00 173.33 0 10 198 95 2019-11-18 $24.74 $0.00 4.4% 1.3% 1.9% 0.4% 0.0% 1.1% -0.1% 55.3K -156.3K -778 0.00 171.92 0 0 198 105 2019-11-19 $24.69 $0.00 6.5% 1.9% 1.9% 2.5% 0.0% -46.5% -176.3% 51.8K -150.6K -782 0.00 173.33 0 0 198 105 2019-11-20 $24.69 $0.00 4.9% 1.4% 1.9% 0.9% 0.0% -51.9% -0.2% 51.8K -147.5K -762 0.00 177.78 0 0 198 105 2019-11-21 $24.65 $0.00 5.3% 1.5% 1.9% 1.3% 0.0% 3.4% -0.2% 50.7K -125.7K -825 0.00 178.95 0 0 198 105 2019-11-22 $24.69 $0.00 5.0% 1.4% 2.0% 1.0% 0.0% -47.1% -0.2% 52.3K -149.6K -761 0.00 177.78 0 0 198 105 2019-11-25 $24.69 $0.00 5.3% 1.5% 2.0% 1.3% 0.0% 5.1% -0.3% 48.9K -141.7K -821 0.00 78.68 1 0 198 105 2019-11-26 $24.73 $0.00 5.1% 1.4% 2.1% 1.0% 0.0% -57.4% -0.3% 52.7K -158.3K -732 0.00 182.14 0 0 199 105 2019-11-27 $24.72 $0.00 5.1% 1.5% 2.0% 1.1% 0.0% -40.1% -0.4% 57.0K -131.9K -865 0.00 182.14 0 0 199 105 2019-11-29 $24.76 $0.00 4.9% 1.4% 2.0% 0.9% 0.0% 2.8% -0.4% 59.6K -156.6K -711 0.00 80.15 0 0 199 105
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