IHY Options History — January 2020 In January 2020, IHY traded between $25.08 and $25.27. ATM implied volatility averaged 5.2%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 1.4%. IV traded above realized volatility by 3.1% (HV 20d: 2.1%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2020-01-17 : Highest Volume — 199 contracts2020-01-13 : Largest IV spike — 59.1% change2020-01-14 : Highest IV Rank — 5.9%2020-01-27 : Largest Expected Move — 1.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.15 $25.08 $25.27 $25.09 $25.14 Max Pain $22.00 $22.00 $22.00 $22.00 $22.00 ATM IV 5.2% 3.5% 9.3% 3.5% 5.6% Expected Move 1.4% 1.0% 1.8% 1.0% 1.6% HV 20d 2.1% 1.8% 2.4% 2.0% 1.8% HV 60d 2.1% 1.9% 2.2% 2.2% 2.0% IV Rank 1.7% 0.0% 5.9% 0.0% 2.2% IV Percentile 21.9% 0.0% 81.0% 0.0% 32.5% Term Structure -0.2% -1.4% 3.4% 3.4% -0.7% Skew 25d -46.5% -185.1% 57.9% 1.9% 2.1% Skew 10d -7.2% -162.4% 133.1% 3.2% 3.1% Call IV 25d 65.2% 4.9% 193.3% 5.6% 5.3% Put IV 25d 18.7% 6.4% 71.6% 7.5% 7.4% Bid-Ask Spread % 185.27 171.43 200.00 177.41 193.65 Gamma HHI 0.81 0.53 1.00 1.00 0.58 Net GEX 81.4K -10.3K 237.3K 229.8K -9.8K Net DEX -190.8K -491.9K 26.2K -349.0K 26.2K Net VEX -185 -389 -39 -379 -164 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 11.5 0 199 0 0 Total OI 253.7 131 370 349 141
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 2020-01-02 $25.09 $22.00 3.5% 1.0% 2.0% 0.0% 0.0% 1.9% 3.4% 229.8K -349.0K -379 0.00 177.41 0 0 199 150 2020-01-03 $25.08 $22.00 3.7% 1.1% 2.1% 0.2% 0.0% 1.8% 2.8% 237.3K -336.9K -389 0.00 200.00 0 0 199 150 2020-01-06 $25.09 $0.00 5.6% 1.5% 2.1% 2.2% 0.0% 1.8% 0.8% 183.1K -318.1K -369 0.00 171.43 0 0 199 150 2020-01-07 $25.10 $0.00 4.3% 1.7% 2.0% 0.8% 0.0% 2.0% 0.0% 227.3K -354.2K -322 0.00 173.02 0 0 199 150 2020-01-09 $25.10 $0.00 5.7% 1.6% 2.0% 2.3% 0.0% 1.9% 0.2% 202.2K -335.7K -310 0.00 171.43 0 1 199 150 2020-01-10 $25.13 $0.00 3.9% 1.5% 2.0% 0.4% 0.0% -143.6% -1.0% 215.2K -410.8K -216 0.00 193.65 0 0 199 151 2020-01-13 $25.17 $0.00 6.2% 1.4% 1.9% 2.7% 0.0% 1.5% -1.0% 166.9K -419.2K -163 0.00 177.78 0 0 199 151 2020-01-14 $25.16 $0.00 9.3% 1.4% 2.0% 5.9% 0.0% 57.9% -0.4% 70.5K -291.5K -223 0.00 178.89 0 0 199 151 2020-01-15 $25.20 $0.00 5.3% 1.5% 1.9% 1.8% 0.0% 44.9% -1.2% 77.7K -313.0K -184 0.00 180.00 0 0 199 151 2020-01-16 $25.25 $0.00 4.5% 1.3% 1.9% 1.1% 0.0% -93.7% -0.4% 98.3K -361.6K -130 0.00 186.36 0 20 199 151 2020-01-17 $25.23 $0.00 5.1% 1.5% 2.0% 1.6% 0.0% -88.7% -1.2% 3.8K -491.9K -39 0.00 190.91 199 0 199 171 2020-01-21 $25.27 $0.00 5.3% 1.5% 2.0% 1.8% 0.0% -128.0% -1.0% -9.8K 14.0K -89 0.00 187.50 0 0 0 131 2020-01-22 $25.23 $0.00 4.6% 1.3% 2.1% 1.1% 0.0% -181.9% -0.9% -9.4K 16.1K -106 0.00 190.00 0 0 0 131 2020-01-23 $25.19 $0.00 4.3% 1.2% 2.2% 0.8% 0.0% -185.1% 0.8% -7.8K 19.9K -125 0.00 188.89 0 0 0 131 2020-01-24 $25.15 $0.00 6.0% 1.7% 2.3% 2.6% 0.0% -114.5% -1.1% -8.7K 14.5K -72 0.00 182.72 0 0 0 131 2020-01-27 $25.11 $0.00 6.3% 1.8% 2.4% 2.9% 0.0% 2.2% -1.4% -8.4K 19.1K -106 0.00 185.42 0 0 0 131 2020-01-28 $25.13 $0.00 4.7% 1.3% 2.3% 1.2% 0.0% 1.5% -1.0% -9.1K 15.0K -70 0.00 183.70 0 10 0 131 2020-01-29 $25.14 $0.00 4.3% 1.2% 2.3% 0.9% 0.0% -114.8% 0.1% -9.8K 25.6K -164 0.00 192.59 0 0 0 141 2020-01-30 $25.13 $0.00 5.5% 1.6% 1.9% 2.0% 0.0% 1.1% -1.1% -10.3K 15.8K -83 0.00 200.00 0 0 0 141 2020-01-31 $25.14 $0.00 5.6% 1.6% 1.8% 2.2% 0.0% 2.1% -0.7% -9.8K 26.2K -164 0.00 193.65 0 0 0 141
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