IHF Options History — November 2009

In November 2009, IHF traded between $8.51 and $9.33. ATM implied volatility averaged 25.4%. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 1.1% (HV 20d: 24.4%). Max pain ranged from $8.40 to $8.80. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.11.

Notable Days

  • 2009-11-10: Highest Volume — 300 contracts
  • 2009-11-06: Largest IV spike — 300.3% change
  • 2009-11-25: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.05$8.51$9.33$8.51$9.12
Max Pain$8.69$8.40$8.80$8.40$8.80
ATM IV25.4%17.3%69.1%22.6%20.6%
Expected Move6.7%4.9%15.0%6.5%5.9%
HV 20d24.4%17.6%26.4%26.1%17.6%
HV 60d22.1%21.8%22.4%22.4%21.8%
Term Structure1.1%-17.6%6.4%2.8%1.9%
VWIV23.4%20.6%25.4%25.4%20.6%
Skew 25d1.1%-34.1%6.5%6.1%3.9%
Skew 10d12.0%-55.9%45.6%10.4%-2.4%
Call IV 25d25.2%16.2%77.0%22.0%19.3%
Put IV 25d26.3%20.4%79.1%28.0%23.2%
Bid-Ask Spread %67.1818.89135.0527.5698.96
Gamma HHI0.420.220.790.790.31
Net GEX-12.9K-80.6K29.8K-80.6K1.4K
Net DEX-250.0K-454.3K295.8K295.8K-331.8K
Net VEX-2.2K-2.7K-1.9K-2.7K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.005.005.000.00
Total Volume47.750300070
Total OI2,3051,2853,0252,3001,295

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$8.51$8.4022.6%6.5%26.1%0.0%0.0%6.1%2.8%-80.6K295.8K-2.7K0.0027.56N/AN/A006301,670
2009-11-03$8.61$8.4022.9%6.6%26.3%0.0%0.0%6.5%3.0%-75.1K157.8K-2.6K0.0025.85N/AN/A006301,670
2009-11-04$8.73$8.4022.2%6.4%26.4%0.0%0.0%3.4%3.5%-66.1K25.6K-2.5K5.0036.99N/AN/A201006301,670
2009-11-05$8.87$8.4017.3%4.9%26.4%0.0%0.0%0.6%3.3%-51.2K-70.4K-2.5K0.0090.47N/AN/A506301,770
2009-11-06$8.93$8.6069.1%7.3%25.4%0.0%0.0%2.1%-1.0%-45.3K-115.5K-2.4K0.0018.89N/AN/A006351,770
2009-11-09$9.08$8.6028.7%7.1%25.9%0.0%25.4%5.7%0.2%-21.9K-258.5K-1.9K0.1425.23N/AN/A110156351,770
2009-11-10$9.11$8.6019.7%7.0%25.3%0.0%24.4%1.6%-0.3%-3.8K-335.5K-1.9K1.0051.19N/AN/A1501507451,785
2009-11-11$9.16$8.8019.2%6.4%24.7%0.0%0.0%2.3%0.9%7.1K-412.6K-2.3K0.0057.24N/AN/A008951,935
2009-11-12$9.04$8.8022.1%6.4%25.2%0.0%25.1%3.4%1.8%-842-343.3K-2.3K0.5069.27N/AN/A1058951,935
2009-11-13$9.10$8.8022.2%6.4%25.0%0.0%0.0%2.2%1.2%15.5K-394.3K-2.1K0.00107.21N/AN/A0108851,940
2009-11-16$9.21$8.8021.7%6.2%25.1%0.0%0.0%3.4%1.6%26.7K-454.3K-2.0K0.0049.45N/AN/A0508851,950
2009-11-17$9.18$8.8021.6%6.2%25.2%0.0%0.0%2.7%1.3%29.8K-420.6K-2.1K0.0075.83N/AN/A008852,000
2009-11-18$9.12$8.8021.4%6.1%24.4%0.0%0.0%3.1%1.4%-26.0K-171.4K-2.5K0.0089.50N/AN/A008852,000
2009-11-19$9.02$8.8020.8%6.0%24.5%0.0%24.3%2.6%6.3%19.9K-324.6K-2.1K0.0077.98N/AN/A02508852,000
2009-11-20$9.03$8.8021.2%6.1%24.3%0.0%0.0%3.3%6.4%434-265.8K-2.2K0.0074.47N/AN/A008652,160
2009-11-23$9.26$8.8020.7%5.9%24.3%0.0%20.7%1.3%2.0%2.8K-383.9K-2.0K0.0081.93N/AN/A50765520
2009-11-24$9.33$8.8021.6%6.2%24.2%0.0%0.0%0.8%1.1%3.4K-408.4K-1.9K0.0058.76N/AN/A05770520
2009-11-25$9.32$8.8052.3%15.0%21.2%0.0%0.0%-34.1%-17.6%3.6K-420.1K-1.9K0.00135.05N/AN/A00770525
2009-11-27$9.20$8.8020.8%6.0%19.8%0.0%0.0%2.3%1.7%2.6K-367.4K-2.0K0.0091.70N/AN/A00770525
2009-11-30$9.12$8.8020.6%5.9%17.6%0.0%20.6%3.9%1.9%1.4K-331.8K-2.0K0.0098.96N/AN/A070770525