IHF Options History — May 2010

In May 2010, IHF traded between $9.49 and $10.06. ATM implied volatility averaged 39.5%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 14.3% (HV 20d: 25.2%). Max pain ranged from $9.60 to $10.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.95.

Notable Days

  • 2010-05-28: Highest Volume — 590 contracts
  • 2010-05-06: Largest IV spike — 202.7% change
  • 2010-05-07: Highest IV Rank — 35.3%
  • 2010-05-06: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.80$9.49$10.06$10.05$9.77
Max Pain$9.85$9.60$10.00$10.00$9.80
ATM IV39.5%20.8%64.7%21.2%54.3%
Expected Move10.6%5.9%18.0%6.1%15.6%
HV 20d25.2%19.4%28.7%19.4%26.2%
HV 60d18.5%15.9%20.5%15.9%20.5%
IV Rank18.3%5.7%35.3%6.0%28.3%
IV Percentile82.0%46.8%96.8%51.9%94.2%
Term Structure-9.6%-33.5%3.3%-0.6%-20.6%
VWIV33.0%16.3%67.0%21.4%34.9%
Skew 25d-0.4%-24.3%26.1%6.7%5.6%
Skew 10d-3.1%-50.0%26.1%11.1%5.6%
Call IV 25d44.5%17.6%86.4%17.6%60.7%
Put IV 25d44.2%24.2%71.3%24.3%66.3%
Bid-Ask Spread %121.8751.53183.9670.39134.29
Gamma HHI0.190.120.410.180.17
Net GEX-6.5K-26.8K18.9K-6.3K18.9K
Net DEX121.1K-229.3K1.1M-164.2K-218.8K
Net VEX-3.9K-5.4K-3.0K-3.0K-5.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.950.0010.670.500.36
Total Volume184.750590150590
Total OI3,662.252,2704,8153,2653,210

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$10.05$10.0021.2%6.1%19.4%6.0%21.4%6.7%-0.6%-6.3K-164.2K-3.0K0.5070.39N/AN/A100501,5351,730
2010-05-04$9.89$10.0036.0%10.3%19.9%16.0%0.0%3.8%-20.0%-5.4K17.8K-3.5K0.00166.03N/AN/A001,5851,780
2010-05-05$9.94$10.0020.8%5.9%19.9%5.7%0.0%5.8%0.3%-12.2K56.7K-3.0K0.6784.41N/AN/A1501001,5851,780
2010-05-06$9.75$10.0062.8%18.0%20.7%34.1%0.0%-24.3%-33.5%-333130.3K-3.6K0.00143.88N/AN/A001,7351,780
2010-05-07$9.53$9.6064.7%11.0%21.9%35.3%16.3%-15.3%-5.4%-3.6K315.3K-3.4K0.00161.10N/AN/A5001,7351,780
2010-05-10$9.87$9.6047.1%11.1%25.9%23.4%39.9%-1.5%-14.1%-12.2K122.2K-4.2K0.00183.96N/AN/A5001,7352,180
2010-05-11$9.90$9.6051.9%11.9%25.9%26.7%0.0%4.1%-11.9%-10.0K56.5K-4.3K0.00141.63N/AN/A01101,7852,180
2010-05-12$10.06$9.6027.6%6.1%26.5%10.3%0.0%-18.2%3.3%-9.6K-120.4K-3.8K0.00113.68N/AN/A7501,7852,285
2010-05-13$10.01$9.6021.0%6.0%26.6%5.8%23.8%-2.6%1.0%-9.8K-229.3K-3.5K0.0073.75N/AN/A0101,8602,285
2010-05-14$9.91$10.0038.5%11.0%26.8%17.6%36.8%-0.0%-15.3%-10.3K-42.4K-3.9K10.00181.74N/AN/A5501,8602,295
2010-05-17$9.97$10.0023.2%6.7%26.0%7.3%23.9%9.4%-0.5%-17.4K116.7K-3.2K10.6754.84N/AN/A151601,8602,345
2010-05-18$9.92$10.0024.7%7.1%25.6%8.3%0.0%8.9%0.8%-26.8K333.5K-3.3K0.0051.53N/AN/A01001,8152,505
2010-05-19$9.92$10.0025.4%7.3%25.3%8.8%29.1%8.3%0.3%-20.1K351.0K-3.2K0.7554.60N/AN/A2001501,8152,455
2010-05-20$9.55$10.0044.8%12.9%28.3%21.9%0.0%-14.0%-10.9%-26.5K869.3K-3.7K3.18177.53N/AN/A551752,0152,600
2010-05-21$9.55$10.0029.7%8.5%28.1%11.7%29.7%6.0%-4.4%-12.9K1.1M-3.4K1.0062.59N/AN/A2502502,0652,750
2010-05-24$9.57$9.8042.1%12.1%27.6%20.1%49.3%-15.8%-9.9%7.6K-88.4K-4.1K1.00160.18N/AN/A2002001,2551,015
2010-05-25$9.49$9.8051.5%14.8%27.6%26.4%67.0%26.1%-5.8%5.2K-68.4K-4.7K0.00135.32N/AN/A5001,4551,165
2010-05-26$9.55$9.8053.2%15.2%27.7%27.6%23.5%-5.0%-30.0%10.7K-27.3K-4.6K1.10143.05N/AN/A1501651,5051,165
2010-05-27$9.82$9.8049.9%14.3%28.7%25.3%0.0%4.3%-14.1%11.4K-137.3K-5.1K0.00142.80N/AN/A23501,6551,320
2010-05-28$9.77$9.8054.3%15.6%26.2%28.3%34.9%5.6%-20.6%18.9K-218.8K-5.4K0.36134.29N/AN/A4351551,8901,320