IHF Options History — February 2010

In February 2010, IHF traded between $9.46 and $9.93. ATM implied volatility averaged 24.4%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.1% (HV 20d: 20.3%). Max pain ranged from $10.00 to $10.20. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-02-03: Highest Volume — 15,050 contracts
  • 2010-02-24: Largest IV spike — 51.0% change
  • 2010-02-26: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.69$9.46$9.93$9.76$9.85
Max Pain$10.15$10.00$10.20$10.00$10.00
ATM IV24.4%19.8%36.6%19.8%36.6%
Expected Move7.0%5.7%10.5%5.7%10.5%
HV 20d20.3%16.7%23.9%22.7%17.8%
HV 60d19.8%19.3%20.2%19.3%19.5%
Term Structure0.1%-1.5%3.0%2.6%-1.5%
VWIV20.4%12.3%23.5%20.2%20.2%
Skew 25d1.9%-25.2%33.2%33.2%21.8%
Skew 10d9.6%-1.2%60.6%6.7%4.7%
Call IV 25d25.1%17.0%48.7%19.4%18.6%
Put IV 25d27.0%20.1%52.6%52.6%40.4%
Bid-Ask Spread %66.2724.70120.8292.2693.92
Gamma HHI0.220.140.470.190.20
Net GEX29.6K-1.8K134.6K57.0K30.8K
Net DEX922.9K-380.9K2.9M2.9M-380.9K
Net VEX-7.4K-19.3K-4.5K-17.3K-5.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.002.750.000.00
Total Volume953.421015,0501000
Total OI8,104.4743,06019,18019,1803,625

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$9.76$10.0019.8%5.7%22.7%0.0%20.2%33.2%2.6%57.0K2.9M-17.3K0.0092.26N/AN/A100010,1359,045
2010-02-02$9.93$10.0021.0%6.0%21.7%0.0%21.2%2.9%-0.4%62.8K-192.9K-19.3K0.0094.29N/AN/A505010,1359,045
2010-02-03$9.80$10.0020.1%5.8%22.2%0.0%20.6%17.8%1.9%52.3K2.0M-17.4K0.9996.83N/AN/A7,5507,50010,0559,045
2010-02-04$9.56$10.0023.6%6.8%23.9%0.0%23.5%4.5%-0.8%33.3K1.1M-6.8K0.0084.34N/AN/A02654,3053,295
2010-02-05$9.50$10.2024.3%6.5%22.2%0.0%12.3%0.9%1.0%14.6K1.5M-6.5K2.7553.89N/AN/A401104,3053,490
2010-02-08$9.46$10.2023.5%6.9%22.0%0.0%0.0%1.7%-0.5%2.0K1.6M-5.9K1.0045.86N/AN/A5005004,2653,600
2010-02-09$9.57$10.2022.1%6.5%22.6%0.0%0.0%2.4%-0.2%6.2K1.1M-5.9K1.8232.86N/AN/A551003,7903,200
2010-02-10$9.53$10.2022.8%6.6%22.1%0.0%0.0%2.5%-0.2%-1.8K1.3M-5.6K0.0034.27N/AN/A003,7453,295
2010-02-11$9.63$10.2022.9%6.6%21.3%0.0%0.0%-15.8%0.4%5.9K1.2M-5.8K0.0061.12N/AN/A003,7453,295
2010-02-12$9.55$10.2022.9%6.6%20.2%0.0%0.0%-25.2%0.2%1.5K1.2M-5.7K0.0056.89N/AN/A1503,7453,295
2010-02-16$9.61$10.2022.5%6.4%20.4%0.0%0.0%1.8%0.6%-1.3K1.4M-4.9K0.0040.63N/AN/A5503,7503,295
2010-02-17$9.74$10.2022.8%6.5%19.7%0.0%22.1%2.4%-0.6%40.4K1.0M-5.2K0.0024.70N/AN/A15003,8003,295
2010-02-18$9.79$10.2022.5%6.5%19.3%0.0%0.0%3.2%-0.1%134.6K1.0M-5.0K0.0030.56N/AN/A003,9503,295
2010-02-19$9.76$10.2021.2%6.1%17.0%0.0%0.0%6.1%3.0%88.5K1.1M-4.8K0.0057.47N/AN/A10003,9503,295
2010-02-22$9.83$10.2022.4%6.4%16.7%0.0%22.2%2.8%-0.9%1.8K-142.1K-4.7K0.0631.34N/AN/A8051,7201,340
2010-02-23$9.65$10.2022.8%6.5%17.8%0.0%21.0%3.2%-0.3%6.2K-26.4K-4.5K0.0087.61N/AN/A18501,8001,340
2010-02-24$9.71$10.2034.4%9.9%17.8%0.0%0.0%-13.5%-1.3%14.2K-144.3K-4.9K0.00119.47N/AN/A001,9851,340
2010-02-25$9.80$10.2035.2%10.1%18.0%0.0%20.2%-16.8%-0.3%13.9K-198.8K-4.9K0.00120.82N/AN/A30001,9851,390
2010-02-26$9.85$10.0036.6%10.5%17.8%0.0%0.0%21.8%-1.5%30.8K-380.9K-5.3K0.0093.92N/AN/A002,2351,390