IHF Options History — December 2009

In December 2009, IHF traded between $9.08 and $9.96. ATM implied volatility averaged 22.8%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.5% (HV 20d: 18.3%). Max pain ranged from $9.00 to $9.40. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2009-12-24: Highest Volume — 15,100 contracts
  • 2009-12-16: Largest IV spike — 121.2% change
  • 2009-12-17: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.58$9.08$9.96$9.25$9.68
Max Pain$9.20$9.00$9.40$9.00$9.40
ATM IV22.8%15.3%45.5%20.6%18.8%
Expected Move6.2%4.4%13.0%5.9%5.4%
HV 20d18.3%17.1%20.0%17.3%18.2%
HV 60d21.3%20.3%21.8%21.8%20.6%
Term Structure1.3%-14.3%11.8%2.0%1.4%
VWIV25.0%19.7%39.3%19.7%39.3%
Skew 25d8.5%-4.8%51.4%1.0%14.0%
Skew 10d17.7%-4.3%58.5%5.2%58.1%
Call IV 25d20.5%11.5%48.3%19.1%18.1%
Put IV 25d29.1%13.2%71.0%20.1%32.2%
Bid-Ask Spread %94.1028.94189.5095.7199.17
Gamma HHI0.300.170.690.260.17
Net GEX10.5K-5.1K53.7K1.7K12.7K
Net DEX-324.3K-1.3M1.8M-394.7K1.8M
Net VEX-6.3K-28.7K-1.7K-1.9K-23.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.005.300.001.00
Total Volume809.091015,10000
Total OI4,549.5451,36519,0701,36516,820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$9.25$9.0020.6%5.9%17.3%0.0%0.0%1.0%2.0%1.7K-394.7K-1.9K0.0095.71N/AN/A00770595
2009-12-02$9.25$9.0020.6%5.9%17.1%0.0%0.0%-1.2%2.2%1.4K-392.6K-1.9K0.00119.24N/AN/A0100770595
2009-12-03$9.08$9.0020.8%6.0%18.4%0.0%19.7%7.7%4.3%-5.1K-253.5K-2.2K0.0090.82N/AN/A50770695
2009-12-04$9.12$9.0042.5%6.2%17.7%0.0%22.8%7.1%11.8%-3.9K-300.2K-2.1K0.0039.09N/AN/A050765695
2009-12-07$9.24$0.0021.6%6.1%18.2%0.0%0.0%1.2%2.1%972-372.1K-1.9K0.0030.49N/AN/A100765645
2009-12-08$9.24$0.0022.2%6.1%17.3%0.0%22.6%1.0%3.0%2.5K-394.7K-1.9K5.3028.94N/AN/A50265775645
2009-12-09$9.21$9.0021.3%6.2%17.3%0.0%0.0%-4.8%3.1%-1.5K-318.5K-2.3K0.0037.75N/AN/A1250825855
2009-12-10$9.46$9.0019.5%5.6%19.5%0.0%0.0%1.5%5.0%6.2K-393.8K-2.0K0.0037.10N/AN/A5000740855
2009-12-11$9.46$9.0019.8%5.7%18.6%0.0%0.0%51.4%3.8%53.7K-633.4K-2.2K0.0044.69N/AN/A0501,145855
2009-12-14$9.61$9.0020.4%5.8%19.2%0.0%20.6%3.8%0.5%35.5K-783.4K-2.0K0.0053.39N/AN/A4501,145905
2009-12-15$9.74$9.0019.9%5.7%19.3%0.0%0.0%16.8%0.0%19.1K-897.3K-1.7K0.00106.17N/AN/A1501,175905
2009-12-16$9.74$9.0044.1%12.6%19.2%0.0%39.3%16.2%-14.3%13.5K-681.6K-2.1K0.55187.20N/AN/A2101151,170905
2009-12-17$9.65$9.4045.5%13.0%19.4%0.0%0.0%13.0%-14.2%18.3K-702.0K-2.5K0.00189.50N/AN/A47001,355960
2009-12-18$9.64$9.4019.1%5.5%18.7%0.0%0.0%43.7%2.9%30.7K-1.3M-2.2K0.50180.28N/AN/A100501,810960
2009-12-21$9.87$9.4015.3%4.4%20.0%0.0%0.0%-3.0%4.9%2.6K-489.7K-1.9K0.00161.69N/AN/A100790575
2009-12-22$9.94$9.4018.6%5.3%18.4%0.0%0.0%-0.4%0.2%3.9K-519.1K-1.9K0.00110.27N/AN/A1100800575
2009-12-23$9.96$9.4017.5%5.0%18.3%0.0%0.0%1.1%2.4%7.6K-606.0K-2.1K0.0084.05N/AN/A500910575
2009-12-24$9.94$9.4017.8%5.1%18.4%0.0%0.0%2.1%2.5%7.5K-598.8K-2.1K1.0087.96N/AN/A7,5507,550910575
2009-12-28$9.93$9.4017.8%5.1%17.5%0.0%0.0%1.3%2.1%7.5K-71.2K-28.7K2.4093.30N/AN/A501209,6959,375
2009-12-29$9.86$9.4018.7%5.4%17.3%0.0%0.0%1.5%0.4%7.4K397.6K-25.0K0.0095.77N/AN/A008,4958,225
2009-12-30$9.83$9.4018.3%5.2%17.1%0.0%0.0%13.0%2.1%7.8K763.9K-24.3K1.0097.55N/AN/A1001008,4958,225
2009-12-31$9.68$9.4018.8%5.4%18.2%0.0%0.0%14.0%1.4%12.7K1.8M-23.0K0.0099.17N/AN/A008,5958,225