IHF Options History — September 2009

In September 2009, IHF traded between $8.42 and $8.91. ATM implied volatility averaged 35.2%. The 30-day expected move averaged 10.1%. Max pain ranged from $8.40 to $9.00. Net GEX was positive for 3 of 8 trading days. Term structure was in contango for 1 of 8 days. Put/call ratio averaged 10.39.

Notable Days

  • 2009-09-23: Highest Volume — 965 contracts
  • 2009-09-24: Largest IV spike — 96.7% change
  • 2009-09-29: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.73$8.42$8.91$8.91$8.42
Max Pain$8.68$8.40$9.00$9.00$8.40
ATM IV35.2%20.7%63.6%20.7%36.5%
Expected Move10.1%5.9%18.2%5.9%10.5%
Term Structure-2.0%-22.1%31.8%-2.8%-7.7%
VWIV26.1%19.4%32.7%19.4%32.7%
Skew 25d12.4%-4.4%22.2%14.5%12.5%
Skew 10d12.8%-10.0%24.1%15.0%17.2%
Call IV 25d27.0%15.6%67.9%18.4%24.0%
Put IV 25d39.4%32.6%63.5%32.9%36.6%
Bid-Ask Spread %114.4550.33200.0050.3391.14
Gamma HHI0.640.340.910.500.90
Net GEX-6.7K-28.2K1.1K0-28.2K
Net DEX84.2K-5.1K362.3K0362.3K
Net VEX-324-1.3K00-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.390.0031.170.000.00
Total Volume123.75096500
Total OI253.7509900990

Daily Data (8 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-17$8.91$0.0020.7%5.9%0.0%0.0%0.0%14.5%-2.8%0000.0050.33N/AN/A0000
2009-09-18$8.86$0.0024.5%7.0%0.0%0.0%19.4%15.2%-3.6%0000.0060.47N/AN/A10000
2009-09-21$8.91$0.0024.1%6.9%0.0%0.0%0.0%0.0%0.0%0000.00200.00N/AN/A0000
2009-09-22$8.89$9.0024.5%7.0%0.0%0.0%0.0%14.5%-2.2%587-3.1K-80.0051.17N/AN/A010100
2009-09-23$8.73$9.0029.7%8.5%0.0%0.0%32.7%22.2%-7.5%200464-2431.1768.20N/AN/A309351010
2009-09-24$8.55$8.4058.4%16.7%0.0%0.0%0.0%-4.4%-22.1%-27.5K319.3K-1.3K0.00194.29N/AN/A5040945
2009-09-29$8.53$8.6063.6%18.2%0.0%0.0%0.0%0.0%31.8%1.1K-5.1K-250.00200.00N/AN/A00205
2009-09-30$8.42$8.4036.5%10.5%0.0%0.0%0.0%12.5%-7.7%-28.2K362.3K-1.2K0.0091.14N/AN/A0045945