IHF Options History — January 2010

Name: IHF Options Analytics - January 2010
Creator: Options Analysis Suite

In January 2010, IHF traded between $9.69 and $10.45. ATM implied volatility averaged 19.6%. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 0.8% (HV 20d: 20.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.16.

Notable Days

2010-01-20: Highest Volume — 1,425 contracts
2010-01-25: Largest IV spike — 73.8% change
2010-01-25: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.02	$9.69	$10.45	$9.93	$9.69
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	19.6%	12.4%	35.0%	15.5%	21.4%
Expected Move	6.1%	5.3%	10.0%	5.7%	6.1%
HV 20d	20.4%	17.4%	23.1%	18.1%	23.1%
HV 60d	20.8%	19.3%	22.0%	21.0%	19.3%
Term Structure	0.5%	-0.4%	2.0%	-0.2%	0.2%
VWIV	19.5%	17.3%	22.6%	22.6%	19.0%
Skew 25d	7.6%	-2.9%	42.7%	2.5%	42.7%
Skew 10d	14.2%	-7.1%	46.7%	0.5%	14.8%
Call IV 25d	19.7%	18.9%	20.2%	19.8%	19.3%
Put IV 25d	27.3%	16.7%	62.0%	22.3%	62.0%
Bid-Ask Spread %	91.15	62.28	114.47	72.03	114.47
Gamma HHI	0.21	0.18	0.29	0.20	0.18
Net GEX	33.9K	8.6K	51.1K	9.2K	47.4K
Net DEX	-920.1K	-5.8M	3.3M	-172.6K	3.3M
Net VEX	-21.1K	-23.8K	-16.4K	-23.8K	-17.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.11	0.00	0.00
Total Volume	177.895	0	1,425	100	0
Total OI	17,775.263	16,780	19,180	16,820	19,180

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-01-04	$9.93	$10.00	15.5%	5.7%	18.1%	0.0%	22.6%	2.5%	-0.2%	9.2K	-172.6K	-23.8K	0.00	72.03	N/A	N/A	100	0	8,595	8,225
2010-01-05	$9.89	$10.00	17.9%	5.4%	18.4%	0.0%	0.0%	3.4%	1.5%	8.6K	292.5K	-23.6K	0.00	62.28	N/A	N/A	0	0	8,555	8,225
2010-01-06	$9.88	$10.00	17.9%	5.5%	18.1%	0.0%	19.8%	3.4%	1.5%	8.8K	459.4K	-23.3K	0.00	63.75	N/A	N/A	50	0	8,555	8,225
2010-01-07	$10.10	$10.00	16.3%	5.6%	19.2%	0.0%	19.6%	-0.0%	0.0%	12.1K	-1.7M	-23.2K	0.00	74.62	N/A	N/A	205	0	8,605	8,225
2010-01-08	$10.15	$10.00	16.5%	5.7%	19.1%	0.0%	0.0%	-0.3%	-0.3%	26.2K	-2.3M	-22.8K	0.00	77.73	N/A	N/A	0	0	8,745	8,225
2010-01-11	$10.14	$10.00	12.4%	5.6%	17.4%	0.0%	0.0%	-2.9%	0.2%	27.0K	-2.2M	-22.0K	0.00	88.79	N/A	N/A	0	0	8,745	8,225
2010-01-12	$9.98	$10.00	13.9%	5.7%	18.8%	0.0%	0.0%	0.1%	-0.2%	24.3K	-682.1K	-22.3K	0.00	86.23	N/A	N/A	125	0	8,745	8,225
2010-01-13	$10.16	$10.00	13.7%	5.3%	19.1%	0.0%	18.8%	10.5%	0.9%	32.5K	-2.6M	-21.7K	0.20	100.37	N/A	N/A	245	50	8,870	8,225
2010-01-14	$10.32	$10.00	19.3%	5.5%	19.3%	0.0%	19.3%	-0.2%	0.6%	43.1K	-4.3M	-19.5K	0.32	108.46	N/A	N/A	155	50	9,115	8,275
2010-01-15	$10.24	$10.00	19.5%	5.6%	19.6%	0.0%	19.3%	-0.2%	0.7%	46.5K	-3.5M	-21.1K	0.00	105.85	N/A	N/A	5	0	9,215	8,325
2010-01-19	$10.45	$10.00	18.9%	5.4%	20.0%	0.0%	17.3%	-0.2%	0.1%	43.2K	-5.8M	-16.4K	0.00	105.23	N/A	N/A	140	0	9,200	8,220
2010-01-20	$10.28	$10.00	19.6%	5.6%	21.2%	0.0%	19.7%	-0.6%	0.3%	47.5K	-4.1M	-19.1K	1.11	83.07	N/A	N/A	675	750	9,170	8,220
2010-01-21	$10.00	$10.00	19.6%	5.6%	22.4%	0.0%	19.0%	30.7%	0.2%	37.7K	-784.3K	-22.9K	0.40	90.49	N/A	N/A	125	50	9,750	8,970
2010-01-22	$9.88	$10.00	20.1%	5.8%	22.7%	0.0%	0.0%	11.7%	0.6%	43.0K	772.3K	-21.9K	0.00	93.24	N/A	N/A	0	25	9,855	8,970
2010-01-25	$9.88	$10.00	35.0%	10.0%	22.7%	0.0%	0.0%	2.3%	0.5%	45.6K	633.4K	-21.1K	0.20	93.10	N/A	N/A	255	50	9,855	8,995
2010-01-26	$9.80	$10.00	34.9%	10.0%	22.9%	0.0%	0.0%	3.7%	-0.4%	43.7K	1.7M	-20.3K	0.00	104.88	N/A	N/A	60	0	9,935	9,045
2010-01-27	$9.84	$10.00	19.8%	5.7%	22.9%	0.0%	0.0%	3.4%	2.0%	46.6K	1.2M	-20.3K	0.00	99.07	N/A	N/A	150	0	9,995	9,045
2010-01-28	$9.76	$10.00	20.3%	5.8%	23.0%	0.0%	0.0%	34.4%	1.7%	51.1K	2.3M	-19.4K	0.00	108.22	N/A	N/A	115	0	10,135	9,045
2010-01-29	$9.69	$10.00	21.4%	6.1%	23.1%	0.0%	0.0%	42.7%	0.2%	47.4K	3.3M	-17.3K	0.00	114.47	N/A	N/A	0	0	10,135	9,045