IHF Options History — April 2010

In April 2010, IHF traded between $10.02 and $10.58. ATM implied volatility averaged 18.6%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 5.1% (HV 20d: 13.5%). Max pain ranged from $10.00 to $10.60. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.69.

Notable Days

  • 2010-04-09: Highest Volume — 240 contracts
  • 2010-04-30: Largest IV spike — 17.2% change
  • 2010-04-08: Highest IV Rank — 6.0%
  • 2010-04-05: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.34$10.02$10.58$10.53$10.02
Max Pain$10.03$10.00$10.60$10.60$10.00
ATM IV18.6%16.2%21.3%18.6%19.8%
Expected Move5.5%4.6%9.1%5.3%5.7%
HV 20d13.5%11.5%19.4%14.0%19.4%
HV 60d16.0%14.7%17.6%17.6%16.8%
IV Rank4.2%2.6%6.0%4.2%5.0%
IV Percentile18.8%3.4%46.7%13.5%37.3%
Term Structure1.8%-12.3%11.5%1.0%0.7%
VWIV20.9%17.2%30.0%22.4%30.0%
Skew 25d3.2%-14.7%7.4%1.5%7.4%
Skew 10d12.2%1.0%39.9%1.0%17.9%
Call IV 25d18.1%15.0%32.6%18.3%17.2%
Put IV 25d21.3%17.9%24.6%19.8%24.6%
Bid-Ask Spread %78.9960.79143.1280.2287.69
Gamma HHI0.250.180.420.350.18
Net GEX-25.3K-85.2K7.2K-71.2K-9.0K
Net DEX-205.1K-870.8K817.7K-544.8K-50.1K
Net VEX-4.2K-6.4K-3.1K-6.4K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.690.0010.0010.000.00
Total Volume71.429024016550
Total OI5,835.4763,0958,3908,0603,215

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$10.53$10.6018.6%5.3%14.0%4.2%0.0%1.5%1.0%-71.2K-544.8K-6.4K10.0080.22N/AN/A151502,7155,345
2010-04-05$10.55$10.0017.9%9.1%13.4%3.7%22.4%-14.7%-12.3%-83.6K-492.0K-6.4K0.50143.12N/AN/A1052,7155,495
2010-04-06$10.58$10.0018.7%5.4%13.0%4.3%18.3%1.4%1.8%-32.0K-870.8K-5.6K0.0378.58N/AN/A18052,7155,500
2010-04-07$10.47$10.0020.7%5.6%13.5%5.6%0.0%2.9%1.1%-58.5K-361.5K-5.4K0.0070.59N/AN/A002,6655,495
2010-04-08$10.44$10.0021.3%5.5%13.5%6.0%19.1%2.7%1.1%-53.3K-227.3K-5.4K0.8772.61N/AN/A1151002,6655,495
2010-04-09$10.40$10.0019.4%5.6%12.8%4.8%20.5%2.5%0.3%-85.2K32.8K-5.2K1.2966.19N/AN/A1051352,7205,575
2010-04-12$10.40$10.0020.0%5.8%12.4%5.2%20.2%2.8%0.3%-44.2K27.3K-4.7K0.0071.76N/AN/A1002,7655,625
2010-04-13$10.34$10.0017.6%5.4%12.7%3.6%0.0%3.5%1.4%-10.9K381.0K-4.3K0.0064.24N/AN/A1502,7605,625
2010-04-14$10.23$10.0017.1%5.8%13.0%3.2%19.7%4.5%0.9%-34.4K756.2K-3.9K3.0061.96N/AN/A501502,7455,625
2010-04-15$10.19$10.0019.7%5.6%13.1%4.9%22.8%5.7%1.1%-33.6K817.7K-3.9K0.0060.79N/AN/A0802,7455,625
2010-04-16$10.20$10.0018.4%5.3%11.5%4.1%19.6%6.0%2.0%-29.3K786.5K-3.8K8.0074.87N/AN/A5402,7455,645
2010-04-19$10.37$10.0017.6%5.0%12.5%3.5%17.8%3.8%11.3%567-581.2K-3.4K0.0081.60N/AN/A10501,4351,660
2010-04-20$10.48$10.0016.2%4.6%12.6%2.6%0.0%3.5%11.5%7.2K-752.5K-3.2K0.0086.11N/AN/A501,4751,660
2010-04-21$10.35$10.0018.6%5.3%13.3%4.2%0.0%3.8%1.7%2.8K-558.9K-3.4K0.0071.32N/AN/A001,4801,660
2010-04-22$10.32$10.0018.2%5.2%12.5%4.0%18.3%5.1%2.6%1.8K-512.5K-3.4K0.0075.49N/AN/A501,4801,660
2010-04-23$10.38$10.0018.5%5.3%12.7%4.1%0.0%3.8%0.7%3.8K-616.8K-3.3K0.0071.19N/AN/A001,4851,660
2010-04-26$10.18$10.0019.1%5.5%14.3%4.5%17.2%4.0%0.4%-207-354.9K-3.3K0.0068.92N/AN/A501,4851,660
2010-04-27$10.11$10.0017.8%5.1%13.9%3.6%26.0%6.9%8.4%-1.3K-319.7K-3.2K0.00112.90N/AN/A0251,4851,660
2010-04-28$10.16$10.0018.6%5.3%14.0%4.2%20.8%5.7%0.6%-2.2K-277.3K-3.2K0.0078.96N/AN/A0601,4851,680
2010-04-29$10.37$10.0016.9%4.9%15.8%3.1%30.0%5.0%1.1%2.4K-588.0K-3.1K0.0079.76N/AN/A0751,4851,730
2010-04-30$10.02$10.0019.8%5.7%19.4%5.0%0.0%7.4%0.7%-9.0K-50.1K-3.1K0.0087.69N/AN/A5001,4851,730