IHF Options History — June 2010

In June 2010, IHF traded between $9.18 and $10.13. ATM implied volatility averaged 36.5%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.8% (HV 20d: 24.6%). Max pain ranged from $9.60 to $10.20. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.98.

Notable Days

  • 2010-06-09: Highest Volume — 825 contracts
  • 2010-06-22: Largest IV spike — 222.2% change
  • 2010-06-08: Highest IV Rank — 39.6%
  • 2010-06-02: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.78$9.18$10.13$9.63$9.18
Max Pain$10.12$9.60$10.20$9.60$10.20
ATM IV36.5%14.6%71.1%56.5%24.7%
Expected Move10.0%4.2%16.9%16.2%7.1%
HV 20d24.6%20.4%29.3%26.5%20.4%
HV 60d21.9%20.4%22.8%20.4%22.8%
IV Rank16.3%1.5%39.6%29.8%8.3%
IV Percentile68.3%1.6%97.8%94.8%69.2%
Term Structure-11.1%-30.6%6.8%-20.8%-1.7%
VWIV36.8%19.8%53.7%36.3%25.6%
Skew 25d7.9%-19.0%41.3%-5.3%-2.5%
Skew 10d9.5%-14.4%41.3%-8.1%4.3%
Call IV 25d33.3%12.5%75.4%75.2%26.2%
Put IV 25d41.2%16.8%79.6%69.9%23.8%
Bid-Ask Spread %144.4177.04184.24173.06130.25
Gamma HHI0.200.160.270.160.27
Net GEX8.9K-53.0K68.7K23.3K-50.2K
Net DEX38.5K-644.7K1.5M-172.0K1.5M
Net VEX-6.7K-7.5K-5.2K-5.5K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.980.0010.0010.001.10
Total Volume209.77308255315
Total OI4,660.6823,5955,4703,5955,250

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$9.63$9.6056.5%16.2%26.5%29.8%36.3%-5.3%-20.8%23.3K-172.0K-5.5K0.00173.06N/AN/A052,1701,425
2010-06-02$9.89$9.6059.0%16.9%27.9%31.5%0.0%4.1%-21.8%27.1K-450.9K-5.7K10.00184.24N/AN/A5502,1701,430
2010-06-03$10.05$9.6036.7%10.5%28.4%16.4%38.0%-19.0%6.8%58.1K-644.7K-5.2K0.70148.74N/AN/A1501052,1751,480
2010-06-04$9.78$10.2039.5%11.4%29.3%18.3%0.0%3.3%-13.1%50.2K-306.6K-5.6K0.00149.51N/AN/A13502,3051,535
2010-06-07$9.77$10.2026.3%7.3%28.0%9.4%29.2%7.1%0.6%48.7K-388.6K-5.7K4.8077.04N/AN/A251202,4051,535
2010-06-08$9.70$10.2071.1%13.0%25.2%39.6%44.4%21.2%-14.7%21.3K-263.7K-5.9K1.78145.44N/AN/A2254002,4301,655
2010-06-09$9.67$10.2045.5%11.4%25.2%22.4%53.7%21.8%-14.1%28.6K-127.4K-6.4K1.36148.74N/AN/A3504752,6001,905
2010-06-10$9.87$10.2027.9%8.0%25.5%10.5%0.0%8.3%-7.6%19.6K-189.3K-7.4K0.00164.52N/AN/A5002,7452,330
2010-06-11$9.92$10.2040.1%11.5%25.5%18.7%51.1%27.6%-14.0%12.9K-378.3K-7.5K1.00151.51N/AN/A50502,7452,330
2010-06-14$9.98$10.2040.8%11.7%25.4%19.2%36.8%3.4%-21.5%62.4K-511.1K-7.0K2.82124.97N/AN/A1103102,7952,380
2010-06-15$10.09$10.2018.0%5.2%25.6%3.8%0.0%5.6%-2.8%34.6K-593.8K-7.2K0.00162.79N/AN/A002,7952,675
2010-06-16$10.09$10.2046.9%13.5%25.6%23.3%0.0%18.2%-30.6%28.7K-463.3K-7.2K0.00132.83N/AN/A01102,6752,625
2010-06-17$10.13$10.2042.6%12.2%25.6%20.4%0.0%12.7%-17.2%660-373.0K-7.5K0.00160.69N/AN/A01002,5252,650
2010-06-18$10.04$10.2032.4%9.3%21.4%13.5%29.9%-13.2%-16.3%68.7K-272.3K-7.2K2.55154.59N/AN/A1453702,5252,750
2010-06-21$9.95$10.2014.6%4.2%21.8%1.5%0.0%0.6%-1.5%-16.3K-58.0K-7.1K0.00170.25N/AN/A5001,9802,530
2010-06-22$9.76$10.2047.1%13.5%23.1%23.5%48.9%29.1%-26.3%-16.6K234.2K-7.5K1.00157.04N/AN/A50502,0302,530
2010-06-23$9.71$10.2019.5%5.6%23.0%4.8%0.0%-1.0%-1.3%-33.7K625.5K-6.8K0.00132.32N/AN/A0502,0802,580
2010-06-24$9.58$10.2055.2%15.8%23.5%28.9%43.0%41.3%-29.3%-16.9K465.3K-7.5K0.00155.35N/AN/A03502,0802,630
2010-06-25$9.61$10.2014.9%4.3%21.1%1.7%0.0%2.7%2.6%-51.0K898.8K-6.9K0.00153.26N/AN/A02202,0802,830
2010-06-28$9.53$10.2021.1%6.0%21.2%5.9%21.4%4.9%-2.0%-53.0K984.4K-7.0K0.6087.67N/AN/A25152,0802,990
2010-06-29$9.26$10.2021.9%6.3%23.0%6.4%19.8%2.6%2.3%-51.0K1.3M-6.5K2.00112.28N/AN/A501002,0953,005
2010-06-30$9.18$10.2024.7%7.1%20.4%8.3%25.6%-2.5%-1.7%-50.2K1.5M-6.1K1.10130.25N/AN/A1501652,1453,105