IHY Options History — March 2020

In March 2020, IHY traded between $19.12 and $24.87. ATM implied volatility averaged 37.5%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 15.7% (HV 20d: 21.7%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 16.50.

Notable Days

  • 2020-03-27: Highest Volume — 300 contracts
  • 2020-03-18: Largest IV spike — 116.1% change
  • 2020-03-20: Highest IV Rank — 78.4%
  • 2020-03-20: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.04$19.12$24.87$24.63$21.27
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV37.5%7.2%80.2%7.2%44.3%
Expected Move10.3%2.1%23.0%2.1%12.7%
HV 20d21.7%3.8%39.4%3.9%39.4%
HV 60d13.6%3.0%23.2%3.0%23.2%
IV Rank34.7%3.8%78.4%3.8%41.7%
IV Percentile89.4%64.7%92.9%64.7%92.9%
Term Structure-8.3%-45.9%47.5%-0.1%-5.3%
VWIV39.9%13.1%78.2%13.1%28.5%
Skew 25d-23.5%-149.9%40.7%-42.1%27.3%
Skew 10d-52.7%-147.1%55.1%-128.4%55.1%
Call IV 25d63.2%11.7%180.1%52.7%31.4%
Put IV 25d39.8%8.1%79.4%10.6%58.7%
Bid-Ask Spread %165.12122.28195.22170.20148.71
Gamma HHI0.520.400.890.600.40
Net GEX-15.2K-29.3K-5.9K-6.3K-25.9K
Net DEX352.7K25.3K591.2K25.3K517.0K
Net VEX-833-1.5K-157-157-972
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio16.500.0033.000.0033.00
Total Volume26.68203001034
Total OI320.318150636150636

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$24.63$0.007.2%2.1%3.9%3.8%0.0%-42.1%-0.1%-6.3K25.3K-1570.00170.200104146
2020-03-03$24.73$0.0011.4%3.3%3.8%8.1%0.0%-148.0%-1.4%-5.9K36.1K-2110.00191.40004156
2020-03-04$24.87$0.008.9%2.6%4.4%5.5%0.0%-149.9%-1.7%-9.5K35.5K-2560.00184.72004156
2020-03-05$24.76$25.0012.2%2.5%4.6%8.9%13.1%-127.4%-1.1%-8.9K42.7K-2890.00172.060304156
2020-03-06$24.60$25.0024.8%4.8%5.0%21.8%0.0%-149.0%-4.0%-11.0K74.8K-4510.00195.22004186
2020-03-09$23.95$25.0029.3%5.4%10.4%26.4%0.0%19.3%-6.5%-13.5K116.2K-5430.00149.300404186
2020-03-10$23.94$25.0030.8%5.8%10.5%27.9%0.0%15.6%-7.1%-20.3K123.9K-6520.00144.0301304226
2020-03-11$23.43$25.0042.5%12.2%12.4%39.8%0.0%-136.0%47.5%-29.3K327.2K-1.5K0.00191.72004361
2020-03-12$22.27$25.0068.6%19.7%20.8%66.6%0.0%40.7%-45.9%-19.6K397.9K-1.5K0.00186.65004361
2020-03-13$22.41$25.0036.6%10.5%21.2%33.8%0.0%27.4%-13.9%-26.6K423.6K-1.5K0.00153.95004361
2020-03-16$21.73$25.0036.7%10.5%22.8%34.0%0.0%8.3%-18.0%-21.3K471.1K-1.3K0.00182.65004361
2020-03-17$21.27$25.0036.8%10.5%23.2%34.0%0.0%12.4%-6.4%-20.5K518.6K-1.2K0.00175.84004361
2020-03-18$20.23$25.0079.4%22.8%27.2%77.6%78.2%7.4%-28.9%-11.1K470.7K-1.2K0.00177.660414361
2020-03-19$19.68$25.0049.3%14.1%27.6%46.8%0.0%17.2%-19.1%-11.2K520.7K-8290.00179.11004330
2020-03-20$19.88$25.0080.2%23.0%28.3%78.4%0.0%-110.5%-25.2%-10.1K452.3K-1.1K0.00190.27014330
2020-03-23$19.12$25.0042.5%12.2%29.8%39.9%0.0%22.0%-8.5%-6.8K591.2K-3230.00143.99004331
2020-03-24$19.69$25.0035.1%10.1%33.3%32.3%0.0%30.0%-9.0%-11.3K530.1K-7560.00148.27004331
2020-03-25$20.21$25.0043.8%12.6%35.7%41.2%0.0%33.9%-11.8%-13.2K503.1K-9580.00146.33104331
2020-03-26$20.64$25.0031.7%9.1%37.4%28.8%0.0%28.3%-4.0%-16.3K509.6K-9630.00142.01005331
2020-03-27$20.87$25.0037.5%10.8%38.1%34.8%0.0%29.6%-6.2%-18.0K522.0K-9140.00122.2803005331
2020-03-30$20.78$25.0034.8%10.0%38.0%32.0%0.0%27.8%-5.9%-17.9K549.4K-7490.00136.18005631
2020-03-31$21.27$25.0044.3%12.7%39.4%41.7%28.5%27.3%-5.3%-25.9K517.0K-97233.00148.711335631