IHF Options History — October 2009

In October 2009, IHF traded between $8.19 and $8.65. ATM implied volatility averaged 41.6%. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 20.5% (HV 20d: 21.1%). Max pain ranged from $8.40 to $8.40. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2009-10-13: Highest Volume — 715 contracts
  • 2009-10-14: Largest IV spike — 586.2% change
  • 2009-10-02: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.48$8.19$8.65$8.29$8.37
Max Pain$8.40$8.40$8.40$8.40$8.40
ATM IV41.6%20.5%160.5%36.6%20.5%
Expected Move9.0%5.9%21.4%10.5%5.9%
HV 20d21.1%19.8%25.7%20.2%25.7%
Term Structure-4.5%-37.2%11.6%-9.4%11.6%
VWIV25.6%25.0%26.0%26.0%25.9%
Skew 25d4.6%-18.6%14.4%3.1%6.1%
Skew 10d8.6%-26.0%18.1%15.0%14.9%
Call IV 25d30.9%19.3%85.3%32.9%22.3%
Put IV 25d35.6%23.4%66.7%36.0%28.3%
Bid-Ask Spread %87.2918.76194.4796.7237.53
Gamma HHI0.780.620.940.920.79
Net GEX-46.3K-76.1K-23.2K-29.0K-76.1K
Net DEX313.5K93.3K521.9K410.3K464.5K
Net VEX-2.2K-2.8K-1.1K-1.2K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.002.500.000.00
Total Volume52.9550715020
Total OI1,718.6369902,2809902,280

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$8.29$8.4036.6%10.5%0.0%0.0%0.0%3.1%-9.4%-29.0K410.3K-1.2K0.0096.72N/AN/A0045945
2009-10-02$8.19$8.4074.5%21.4%0.0%0.0%0.0%-18.6%-37.2%-30.3K444.7K-1.2K0.00174.49N/AN/A0045945
2009-10-05$8.27$8.4041.6%9.6%0.0%0.0%0.0%11.0%-4.7%-28.0K408.8K-1.1K0.0073.28N/AN/A0045945
2009-10-06$8.34$8.4036.0%8.2%0.0%0.0%0.0%14.4%-4.7%-23.2K262.0K-1.8K0.0071.52N/AN/A00295945
2009-10-07$8.45$8.4086.5%11.7%0.0%0.0%0.0%-3.5%-16.1%-27.8K222.3K-1.8K0.00184.34N/AN/A00295945
2009-10-08$8.36$8.4091.6%11.9%0.0%0.0%0.0%-5.4%-16.2%-28.8K264.3K-1.8K0.00183.42N/AN/A00295945
2009-10-09$8.55$8.4024.3%6.9%0.0%0.0%0.0%10.5%-1.0%-25.7K175.9K-1.7K0.0064.82N/AN/A1350295945
2009-10-12$8.61$8.4023.6%7.1%20.2%0.0%0.0%11.3%-0.9%-23.5K93.3K-1.9K0.0065.47N/AN/A05410945
2009-10-13$8.50$8.4023.4%7.4%20.0%0.0%26.0%8.2%-1.9%-29.4K146.7K-1.9K0.0079.74N/AN/A0715410950
2009-10-14$8.65$8.40160.5%12.9%20.9%0.0%0.0%1.8%-18.5%-51.4K270.8K-2.6K0.00192.44N/AN/A004101,610
2009-10-15$8.59$8.4023.3%6.7%20.4%0.0%0.0%8.4%2.7%-51.6K304.0K-2.6K1.0059.23N/AN/A554101,610
2009-10-16$8.53$8.4023.6%6.8%19.9%0.0%0.0%7.8%2.5%-52.3K356.8K-2.6K0.0063.84N/AN/A004151,615
2009-10-19$8.62$8.4023.2%6.6%19.8%0.0%25.0%5.7%2.3%-60.5K279.7K-2.5K2.0066.78N/AN/A5103901,615
2009-10-20$8.65$8.4023.4%6.7%19.8%0.0%0.0%8.0%2.8%-58.0K265.3K-2.5K0.0064.55N/AN/A003951,625
2009-10-21$8.51$8.4022.4%6.4%20.4%0.0%0.0%3.2%2.9%-67.6K389.0K-2.5K0.00138.61N/AN/A003951,625
2009-10-22$8.64$8.4023.2%6.7%21.3%0.0%0.0%8.6%2.1%-60.1K268.9K-2.4K0.0020.44N/AN/A003951,625
2009-10-23$8.58$8.4023.3%6.7%20.4%0.0%0.0%7.7%2.8%-63.5K317.4K-2.4K0.0022.61N/AN/A1003951,625
2009-10-26$8.43$8.4026.2%7.5%20.1%0.0%0.0%5.5%0.2%-71.7K453.8K-2.4K0.1324.86N/AN/A150204051,625
2009-10-27$8.53$8.4056.0%16.1%20.6%0.0%0.0%-4.4%-18.2%-25.2K342.1K-2.8K0.00194.47N/AN/A5005551,645
2009-10-28$8.30$8.4028.6%8.2%22.4%0.0%0.0%5.4%-2.5%-67.0K521.9K-2.8K0.0018.76N/AN/A006051,645
2009-10-29$8.57$8.4023.2%6.7%24.5%0.0%25.9%7.1%2.6%-68.8K234.6K-2.8K2.5022.36N/AN/A10256051,645
2009-10-30$8.37$8.4020.5%5.9%25.7%0.0%0.0%6.1%11.6%-76.1K464.5K-2.8K0.0037.53N/AN/A2006101,670