IHY Options History — September 2020

In September 2020, IHY traded between $24.18 and $24.97. ATM implied volatility averaged 32.9%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 27.9% (HV 20d: 5.0%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 6 of 21 days.

Notable Days

  • 2020-09-28: Largest IV spike — 74.9% change
  • 2020-09-03: Highest IV Rank — 42.4%
  • 2020-09-02: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.65$24.18$24.97$24.97$24.40
Max Pain$22.00$22.00$22.00$22.00$22.00
ATM IV32.9%15.4%82.1%36.0%18.8%
Expected Move8.6%4.4%15.3%10.3%5.4%
HV 20d5.0%3.0%5.5%5.5%5.5%
HV 60d5.6%4.8%7.7%7.7%5.5%
IV Rank15.9%6.4%42.4%17.5%8.2%
IV Percentile70.3%46.8%94.0%80.6%50.8%
Term Structure-9.4%-43.5%20.3%-14.7%20.3%
Skew 25d1.3%-26.2%79.3%25.0%-7.4%
Skew 10d13.2%-40.6%114.7%12.8%11.1%
Call IV 25d40.5%12.3%72.0%38.4%39.5%
Put IV 25d41.8%20.7%91.5%63.4%32.1%
Bid-Ask Spread %146.58135.29163.00162.20135.29
Gamma HHI0.820.341.001.000.53
Net GEX341-1.2K1.3K672230
Net DEX-5.3K-7.7K579-7.7K-5.2K
Net VEX-14-45-7-10-10
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI4848484848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$24.97$0.0036.0%10.3%5.5%17.5%0.0%25.0%-14.7%672-7.7K-100.00162.2000444
2020-09-02$24.94$0.0053.4%15.3%5.5%26.9%0.0%-1.7%-34.9%854-7.3K-100.00163.0000444
2020-09-03$24.90$22.0082.1%14.5%5.4%42.4%0.0%2.8%-43.5%-358-5.6K-110.00155.4900444
2020-09-04$24.87$22.0054.6%10.2%5.3%27.5%0.0%-11.6%-9.8%674-6.3K-100.00152.4000444
2020-09-08$24.77$22.0042.5%9.8%5.5%21.0%0.0%-10.0%-20.0%578-6.3K-110.00144.4400444
2020-09-09$24.81$22.0033.9%9.7%5.5%16.4%0.0%4.5%-23.8%755-6.6K-100.00135.9900444
2020-09-10$24.77$22.0037.5%10.7%5.3%18.3%0.0%-24.0%-18.0%603-6.1K-100.00147.7100444
2020-09-11$24.76$22.0023.3%6.7%5.3%10.6%0.0%8.6%-19.8%869-6.8K-100.00148.9600444
2020-09-14$24.82$22.0015.6%4.5%5.3%6.5%0.0%-11.8%-0.2%709-6.6K-90.00137.1900444
2020-09-15$24.81$22.0022.3%6.4%5.3%10.2%0.0%5.5%-4.9%608-7.1K-100.00139.7500444
2020-09-16$24.83$22.0027.1%7.8%4.8%12.7%0.0%-0.1%-12.3%-1.0K-124-450.00149.1800444
2020-09-17$24.83$22.0025.8%7.4%3.0%12.0%0.0%9.8%-2.9%-889-2.7K-320.00142.3000444
2020-09-18$24.82$22.0032.7%9.4%3.0%15.7%0.0%14.9%-17.7%-364-5.7K-130.00138.2500444
2020-09-21$24.56$22.0041.4%11.9%4.6%20.4%0.0%-13.4%-19.6%-1.2K579-420.00147.3400444
2020-09-22$24.44$22.0022.4%6.4%4.8%10.2%0.0%9.6%9.1%346-5.6K-100.00145.6500444
2020-09-23$24.32$22.0024.7%7.1%5.0%11.4%0.0%2.1%2.4%622-5.1K-90.00136.4900444
2020-09-24$24.29$22.0024.3%7.0%4.9%11.2%0.0%79.3%4.6%1.3K-5.4K-80.00145.9000444
2020-09-25$24.18$22.0015.4%4.4%5.1%6.4%0.0%-9.4%5.5%718-5.0K-90.00151.8100444
2020-09-28$24.20$22.0026.9%7.7%4.9%12.6%0.0%-19.7%3.1%846-4.7K-70.00146.7600444
2020-09-29$24.32$22.0030.5%8.7%5.2%14.6%0.0%-26.2%-0.9%563-5.1K-80.00152.0700444
2020-09-30$24.40$22.0018.8%5.4%5.5%8.2%0.0%-7.4%20.3%230-5.2K-100.00135.2900444