IHY Options History — December 2020

In December 2020, IHY traded between $25.57 and $25.99. ATM implied volatility averaged 25.0%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 20.2% (HV 20d: 4.8%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days.

Notable Days

  • 2020-12-18: Largest IV spike — 134.0% change
  • 2020-12-08: Highest IV Rank — 18.5%
  • 2020-12-23: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.81$25.57$25.99$25.57$25.94
ATM IV25.0%12.8%37.9%23.8%14.2%
Expected Move6.6%3.0%10.2%6.8%4.1%
HV 20d4.8%4.1%5.4%5.3%4.2%
HV 60d6.0%5.5%6.4%6.3%5.5%
IV Rank11.6%5.0%18.5%10.9%5.8%
IV Percentile49.7%21.4%80.2%47.2%21.4%
Term Structure21.1%-16.9%107.1%-14.3%-1.0%
Skew 25d-8.5%-28.2%17.8%-24.7%-0.2%
Skew 10d-1.7%-29.7%18.4%-2.9%0.8%
Call IV 25d39.1%15.6%78.5%57.0%20.9%
Put IV 25d30.7%10.1%53.8%32.3%20.8%
Bid-Ask Spread %162.94150.02178.11165.21166.28
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$25.57$0.0023.8%6.8%5.3%10.9%0.0%-24.7%-14.3%0000.00165.210000
2020-12-02$25.60$0.0029.5%8.5%5.2%14.0%0.0%-21.7%28.0%0000.00170.020000
2020-12-03$25.71$0.0020.5%4.6%5.0%9.2%0.0%-11.3%50.8%0000.00156.530000
2020-12-04$25.70$0.0028.1%9.3%4.5%13.3%0.0%-18.4%52.4%0000.00164.750000
2020-12-07$25.66$0.0036.1%5.1%4.6%17.6%0.0%5.4%48.5%0000.00158.000000
2020-12-08$25.72$0.0037.9%3.0%4.4%18.5%0.0%-8.8%67.8%0000.00150.020000
2020-12-09$25.65$0.0017.8%5.1%4.6%7.7%0.0%11.3%60.0%0000.00153.030000
2020-12-10$25.73$0.0016.9%4.8%4.4%7.2%0.0%-17.3%57.1%0000.00160.120000
2020-12-11$25.66$0.0029.3%8.4%4.6%13.9%0.0%13.3%59.7%0000.00163.750000
2020-12-14$25.76$0.0016.7%4.8%4.7%7.1%0.0%-24.9%13.7%0000.00159.360000
2020-12-15$25.78$0.0014.9%4.3%4.6%6.1%0.0%-28.2%4.7%0000.00165.940000
2020-12-16$25.90$0.0032.9%9.4%4.8%15.8%0.0%0.3%-10.7%0000.00166.950000
2020-12-17$25.99$0.0012.8%3.7%4.8%5.0%0.0%3.6%107.1%0000.00154.250000
2020-12-18$25.97$0.0029.9%8.6%4.9%14.2%0.0%-27.5%-6.4%0000.00166.840000
2020-12-21$25.84$0.0028.6%8.2%5.4%13.5%0.0%-24.7%-13.0%0000.00178.110000
2020-12-22$25.86$0.0023.1%6.6%5.3%10.5%0.0%2.4%-16.9%0000.00162.350000
2020-12-23$25.95$0.0035.6%10.2%5.3%17.3%0.0%17.8%-13.2%0000.00162.330000
2020-12-24$25.96$0.0029.6%8.5%5.1%14.1%0.0%-10.7%-9.9%0000.00169.310000
2020-12-28$25.95$0.0028.3%8.1%4.9%13.3%0.0%-17.2%3.0%0000.00167.760000
2020-12-29$25.97$0.0025.5%7.3%4.9%11.9%0.0%17.6%-9.9%0000.00154.540000
2020-12-30$25.99$0.0019.0%5.4%4.1%8.4%0.0%-22.0%7.6%0000.00169.130000
2020-12-31$25.94$0.0014.2%4.1%4.2%5.8%0.0%-0.2%-1.0%0000.00166.280000