IHF Options History — March 2010

In March 2010, IHF traded between $9.96 and $10.64. ATM implied volatility averaged 22.9%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 8.6% (HV 20d: 14.2%). Max pain ranged from $10.00 to $10.60. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 3.26.

Notable Days

  • 2010-03-22: Highest Volume — 6,240 contracts
  • 2010-03-10: Largest IV spike — 113.1% change
  • 2010-03-25: Highest IV Rank — 13.4%
  • 2010-03-03: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.27$9.96$10.64$9.96$10.43
Max Pain$10.16$10.00$10.60$10.00$10.60
ATM IV22.9%16.6%38.8%26.3%19.7%
Expected Move6.4%5.3%10.9%7.5%5.6%
HV 20d14.2%11.8%18.0%18.0%14.2%
HV 60d18.6%17.6%19.4%19.4%17.6%
IV Rank8.1%4.2%13.4%6.8%4.9%
IV Percentile55.8%13.0%82.0%57.1%25.8%
Term Structure0.3%-8.9%8.3%1.2%-0.2%
VWIV21.0%15.6%37.0%19.6%15.6%
Skew 25d12.6%-0.5%46.3%15.9%2.5%
Skew 10d10.2%-4.4%56.4%3.6%5.0%
Call IV 25d17.1%10.5%22.3%18.8%18.3%
Put IV 25d29.7%13.3%64.8%34.7%20.9%
Bid-Ask Spread %86.2519.16163.00105.9569.99
Gamma HHI0.320.210.570.210.40
Net GEX9.4K-106.1K163.9K32.3K-90.2K
Net DEX-745.2K-1.9M-143.9K-553.2K-143.9K
Net VEX-5.3K-7.1K-3.5K-5.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.260.0011.619.000.00
Total Volume472.39106,2402505
Total OI4,719.3482,9158,0653,6258,065

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$9.96$10.0026.3%7.5%18.0%0.0%19.6%15.9%1.2%32.3K-553.2K-5.3K9.00105.95N/AN/A252252,2351,390
2010-03-02$10.03$10.0023.3%6.7%17.9%0.0%22.6%8.8%-0.0%34.7K-679.2K-5.2K0.30105.30N/AN/A165502,2351,340
2010-03-03$10.03$10.2038.1%10.9%16.9%0.0%18.1%46.3%0.6%30.3K-630.2K-5.2K0.50112.87N/AN/A100502,1851,390
2010-03-04$9.97$10.2018.7%5.4%16.3%0.0%0.0%32.4%1.8%33.8K-501.5K-5.3K5.50119.38N/AN/A10552,2851,440
2010-03-05$10.11$10.0016.8%5.7%13.6%0.0%19.2%40.0%1.2%36.8K-725.4K-5.3K0.0024.44N/AN/A17502,2951,490
2010-03-08$10.04$10.0016.6%5.8%13.7%0.0%0.0%6.7%0.1%44.0K-649.9K-5.3K0.0019.16N/AN/A002,3501,490
2010-03-09$9.99$10.0018.2%5.8%13.8%0.0%0.0%2.8%0.1%38.0K-529.8K-5.2K0.0020.35N/AN/A01002,3501,490
2010-03-10$10.05$10.0038.8%5.7%13.5%0.0%0.0%17.0%1.0%34.9K-567.3K-5.3K0.0029.18N/AN/A0502,3501,590
2010-03-11$10.20$10.0020.5%5.9%13.9%0.0%0.0%2.8%0.1%38.6K-873.2K-5.4K0.5028.14N/AN/A100502,3501,640
2010-03-12$10.12$10.0019.9%5.7%14.0%0.0%19.8%-0.5%0.8%47.8K-747.8K-5.6K0.5024.58N/AN/A100502,4501,690
2010-03-15$10.16$10.0019.5%5.6%13.4%0.0%0.0%1.7%-1.5%54.4K-780.0K-5.3K0.0048.05N/AN/A002,5501,740
2010-03-16$10.24$10.0019.4%5.6%13.5%0.0%19.4%1.7%8.3%74.6K-1.1M-4.2K2.50121.73N/AN/A10252,5001,390
2010-03-17$10.25$10.0019.5%5.6%12.9%0.0%0.0%1.6%-1.4%55.8K-1.1M-5.1K0.0069.76N/AN/A0702,5601,765
2010-03-18$10.43$10.0019.8%5.7%13.8%0.0%0.0%4.3%-4.2%163.9K-1.7M-4.7K0.1685.76N/AN/A160252,5601,825
2010-03-19$10.54$10.0018.7%5.4%13.9%0.0%18.7%0.6%-0.5%92.4K-1.9M-4.3K0.3389.09N/AN/A4401452,6101,825
2010-03-22$10.64$10.2021.2%6.1%14.0%0.0%18.6%0.8%7.1%12.8K-1.1M-3.5K11.61156.67N/AN/A4955,7451,7151,200
2010-03-23$10.60$10.4022.4%6.4%11.8%6.8%22.1%0.8%-1.4%-92.9K-691.0K-5.1K5.50105.68N/AN/A10551,6854,455
2010-03-24$10.46$10.4024.5%7.0%13.4%8.2%19.9%20.5%-8.9%-106.1K-252.8K-6.3K11.00163.00N/AN/A101101,6854,400
2010-03-25$10.46$10.2032.3%9.3%13.3%13.4%37.0%42.6%-3.4%-62.4K-596.7K-5.4K0.33159.01N/AN/A1551,6854,290
2010-03-26$10.38$10.4030.5%8.7%13.8%12.2%0.0%33.0%7.9%-79.0K-412.6K-5.8K0.00161.73N/AN/A2001,6804,295
2010-03-29$10.48$10.4022.4%6.4%13.7%6.8%20.6%4.2%-1.2%-91.4K-354.0K-5.8K1.0073.37N/AN/A1,0551,0501,6704,295
2010-03-30$10.52$10.6018.5%5.3%13.7%4.2%22.8%3.5%0.0%-88.0K-494.3K-6.8K10.0090.59N/AN/A101002,7205,345
2010-03-31$10.43$10.6019.7%5.6%14.2%4.9%15.6%2.5%-0.2%-90.2K-143.9K-7.1K0.0069.99N/AN/A502,7205,345