IHF Options History — August 2010

In August 2010, IHF traded between $8.74 and $9.46. ATM implied volatility averaged 37.2%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 15.3% (HV 20d: 21.9%). Max pain ranged from $9.00 to $9.60. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.32.

Notable Days

  • 2010-08-02: Highest Volume — 400 contracts
  • 2010-08-24: Largest IV spike — 150.8% change
  • 2010-08-10: Highest IV Rank — 41.4%
  • 2010-08-02: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.11$8.74$9.46$9.14$8.74
Max Pain$9.24$9.00$9.60$9.60$9.00
ATM IV37.2%14.5%73.7%57.6%22.8%
Expected Move9.9%4.2%16.5%16.5%6.5%
HV 20d21.9%20.7%24.3%21.2%21.6%
HV 60d21.8%20.4%23.3%23.3%20.5%
IV Rank16.8%1.4%41.4%30.5%7.1%
IV Percentile67.4%1.4%96.0%92.6%51.3%
Term Structure-8.2%-29.1%14.0%-21.6%-4.0%
VWIV30.3%26.1%34.5%34.5%26.1%
Skew 25d12.7%-14.2%60.8%60.8%6.8%
Skew 10d10.9%-14.2%55.3%-10.8%5.9%
Call IV 25d31.4%13.2%72.7%14.6%26.6%
Put IV 25d44.1%20.8%75.3%75.3%33.4%
Bid-Ask Spread %154.9976.05188.56170.01139.53
Gamma HHI0.190.150.250.160.15
Net GEX-52.1K-99.2K-23.0K-30.2K-23.0K
Net DEX1.4M826.3K2.3M1.1M1.6M
Net VEX-10.6K-11.5K-9.7K-10.8K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.003.003.001.00
Total Volume138.18204004000
Total OI7,804.0916,5258,9457,4457,285

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$9.14$9.6057.6%16.5%21.2%30.5%0.0%60.8%-21.6%-30.2K1.1M-10.8K3.00170.01N/AN/A1003003,2754,170
2010-08-03$9.22$9.6022.1%6.3%21.4%6.6%0.0%5.9%-6.0%-75.7K1.6M-10.3K0.00124.19N/AN/A15003,3754,470
2010-08-04$9.36$9.6033.7%9.7%21.3%14.4%0.0%13.8%-0.5%-66.0K1.2M-11.1K0.00166.44N/AN/A003,3754,470
2010-08-05$9.41$9.6014.5%4.2%21.0%1.4%0.0%7.6%-0.6%-78.4K1.1M-10.7K2.20159.77N/AN/A501103,3754,470
2010-08-06$9.45$9.2019.6%6.6%21.0%4.9%0.0%3.3%-2.7%-89.0K1.0M-10.6K1.00139.62N/AN/A50503,4254,530
2010-08-09$9.46$9.2041.7%11.2%21.0%19.8%34.5%12.8%-9.6%-59.3K826.3K-11.2K0.00180.87N/AN/A0503,4254,580
2010-08-10$9.43$9.2073.7%11.2%20.7%41.4%0.0%9.5%-11.6%-60.2K952.8K-11.1K0.00182.51N/AN/A0503,4254,630
2010-08-11$9.09$9.2045.5%6.0%24.3%22.3%0.0%1.1%14.0%-57.7K1.4M-10.6K2.60118.34N/AN/A25653,4254,680
2010-08-12$9.14$9.2021.7%6.2%24.3%6.3%0.0%5.9%0.2%-72.8K1.8M-10.0K0.0076.05N/AN/A01503,4254,695
2010-08-13$9.13$9.2042.8%12.3%22.6%20.5%0.0%0.8%-11.1%-63.6K1.8M-10.1K0.29188.56N/AN/A85253,4254,845
2010-08-16$9.09$9.2030.4%8.7%22.7%12.1%0.0%4.9%-1.6%-43.9K1.6M-10.3K0.00187.84N/AN/A5003,5104,855
2010-08-17$9.20$9.2022.9%6.6%23.0%7.1%0.0%3.4%-6.1%-99.2K1.8M-9.7K0.77127.49N/AN/A1301003,5604,855
2010-08-18$9.20$9.2045.4%13.0%20.9%22.3%0.0%5.8%-11.8%-37.5K1.2M-11.1K0.00184.70N/AN/A003,6904,955
2010-08-19$8.98$9.2046.8%13.4%22.6%23.3%0.0%45.7%-20.9%-39.2K1.7M-10.1K2.65177.40N/AN/A1002653,6904,940
2010-08-20$8.95$9.2039.4%11.3%22.6%18.2%0.0%6.7%-29.1%-54.1K2.3M-10.0K1.0098.60N/AN/A1001003,7905,155
2010-08-23$8.93$9.2020.9%6.0%21.4%5.8%0.0%-0.8%12.9%-36.4K1.3M-10.2K2.50188.29N/AN/A1002502,6653,860
2010-08-24$8.80$9.2052.4%15.0%21.8%27.0%0.0%-14.2%-16.4%-29.4K1.3M-10.9K1.30180.93N/AN/A50652,7654,075
2010-08-25$8.98$9.2052.3%15.0%21.4%27.0%26.1%44.4%-17.2%-27.4K878.9K-11.5K0.14184.55N/AN/A350502,7654,060
2010-08-26$8.87$9.0034.0%9.8%21.8%14.6%0.0%47.4%-18.0%-35.6K1.1M-11.0K0.00164.28N/AN/A003,1154,110
2010-08-27$8.99$9.0054.9%15.7%21.9%28.7%0.0%1.3%-19.6%-30.1K1.1M-11.1K0.00178.42N/AN/A0503,1154,110
2010-08-30$8.83$9.0023.6%6.8%21.8%7.6%0.0%6.3%1.0%-36.9K1.4M-10.0K1.0091.40N/AN/A10103,1154,160
2010-08-31$8.74$9.0022.8%6.5%21.6%7.1%0.0%6.8%-4.0%-23.0K1.6M-10.1K0.00139.53N/AN/A003,1254,160