IHF Options History — July 2010

In July 2010, IHF traded between $8.87 and $9.47. ATM implied volatility averaged 51.8%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 31.9% (HV 20d: 19.9%). Max pain ranged from $9.80 to $10.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2010-07-28: Highest Volume — 620 contracts
  • 2010-07-12: Largest IV spike — 430.9% change
  • 2010-07-14: Highest IV Rank — 89.1%
  • 2010-07-29: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.12$8.87$9.47$8.99$8.99
Max Pain$9.82$9.80$10.00$10.00$9.80
ATM IV51.8%15.8%144.4%35.9%55.8%
Expected Move9.4%3.1%16.2%10.3%16.0%
HV 20d19.9%18.1%22.2%19.8%20.5%
HV 60d23.4%22.9%23.9%23.0%23.3%
IV Rank26.6%2.3%89.1%15.9%29.3%
IV Percentile71.8%3.4%99.5%78.1%91.2%
Term Structure-9.3%-38.7%4.0%3.2%-20.6%
VWIV33.0%9.2%59.4%35.5%59.4%
Skew 25d6.9%-17.8%46.3%6.9%26.5%
Skew 10d-5.1%-25.5%24.5%11.1%-11.5%
Call IV 25d27.6%8.3%66.6%31.5%48.9%
Put IV 25d34.5%10.5%75.4%38.4%75.4%
Bid-Ask Spread %154.91111.08175.99169.29159.50
Gamma HHI0.260.180.380.240.19
Net GEX-33.2K-67.4K-15.2K-31.0K-23.9K
Net DEX1.3M792.4K2.1M1.5M1.3M
Net VEX-6.1K-9.7K-3.4K-6.4K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.004.000.481.40
Total Volume218.3330620310600
Total OI5,629.0484,4106,8955,5056,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$8.99$10.0035.9%10.3%19.8%15.9%35.5%6.9%3.2%-31.0K1.5M-6.4K0.48169.29N/AN/A2101002,2853,220
2010-07-02$8.94$10.0020.9%6.0%18.1%5.8%0.0%29.1%-10.4%-48.5K2.1M-4.7K0.00134.60N/AN/A002,4603,290
2010-07-06$8.95$9.8079.0%11.1%18.2%45.0%0.0%-4.1%-12.0%-26.6K1.5M-6.3K0.00163.99N/AN/A15002,4603,290
2010-07-07$9.09$9.8082.1%4.0%19.5%47.1%0.0%6.5%4.0%-43.2K1.7M-5.4K0.00164.60N/AN/A002,6103,290
2010-07-08$9.20$9.8039.1%3.1%20.2%18.0%0.0%-0.9%1.3%-53.8K1.8M-5.1K0.00165.40N/AN/A5502,6103,290
2010-07-09$9.26$9.8021.0%4.6%18.7%5.8%0.0%8.3%-3.7%-47.0K1.6M-5.5K0.00111.08N/AN/A7502,6453,290
2010-07-12$9.25$9.80111.5%11.3%18.4%67.0%0.0%1.2%-13.1%-31.9K1.2M-6.2K0.00155.60N/AN/A10502,6753,290
2010-07-13$9.35$9.80122.7%11.3%18.8%74.5%20.8%-17.8%-14.0%-26.7K978.7K-6.6K1.50167.81N/AN/A1001502,6803,290
2010-07-14$9.40$9.80144.4%11.6%18.3%89.1%51.4%0.4%-14.8%-23.5K792.4K-7.0K0.83175.99N/AN/A1201002,7803,440
2010-07-15$9.47$9.8017.3%5.0%18.6%3.3%0.0%2.1%-5.2%-67.4K1.1M-5.7K0.00117.02N/AN/A002,7903,440
2010-07-16$9.23$9.8027.6%7.9%20.0%10.3%0.0%10.4%-6.4%-28.6K1.3M-6.0K0.00143.32N/AN/A002,7903,440
2010-07-19$9.23$9.8036.2%10.4%20.0%16.1%0.0%17.6%-11.6%-24.3K869.5K-5.5K0.00170.45N/AN/A002,0252,385
2010-07-20$9.27$9.8015.8%4.5%20.1%2.3%16.2%3.6%-1.0%-43.5K1.1M-4.7K4.00154.07N/AN/A502002,0252,385
2010-07-21$9.03$9.8047.0%13.5%20.9%23.4%9.2%0.8%-4.6%-20.8K917.4K-5.6K0.00158.53N/AN/A8002,0752,585
2010-07-22$8.95$9.8046.9%13.4%21.0%23.3%0.0%-7.1%-14.0%-15.2K836.3K-5.9K0.00160.51N/AN/A002,1252,585
2010-07-23$8.96$9.8025.7%7.4%20.7%9.0%0.0%-8.3%-0.6%-38.8K1.7M-3.4K0.85147.36N/AN/A3102652,1252,585
2010-07-26$9.14$9.8050.8%14.6%22.2%25.9%22.8%14.8%-38.7%-23.4K1.0M-6.5K0.89162.69N/AN/A2252002,4052,800
2010-07-27$9.09$9.8032.1%9.2%22.1%13.4%0.0%23.5%-14.1%-23.8K1.0M-7.0K2.27160.38N/AN/A1102502,5553,000
2010-07-28$8.87$9.8019.8%5.7%21.3%5.0%48.4%-15.1%2.2%-31.2K1.7M-6.2K1.34157.56N/AN/A2653552,6653,250
2010-07-29$8.88$9.8056.3%16.2%21.2%29.7%0.0%46.3%-22.1%-25.3K1.4M-8.0K2.29153.40N/AN/A1553552,8703,515
2010-07-30$8.99$9.8055.8%16.0%20.5%29.3%59.4%26.5%-20.6%-23.9K1.3M-9.7K1.40159.50N/AN/A2503503,0253,870