IHF Options History — September 2010

In September 2010, IHF traded between $8.99 and $9.87. ATM implied volatility averaged 29.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.3% (HV 20d: 20.5%). Max pain ranged from $9.00 to $9.40. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.46.

Notable Days

  • 2010-09-20: Highest Volume — 525 contracts
  • 2010-09-30: Largest IV spike — 224.9% change
  • 2010-09-30: Highest IV Rank — 37.0%
  • 2010-09-30: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.50$8.99$9.87$8.99$9.87
Max Pain$9.36$9.00$9.40$9.00$9.40
ATM IV29.8%16.2%67.2%20.7%67.2%
Expected Move8.6%4.9%19.3%5.9%19.3%
HV 20d20.5%12.6%24.7%23.6%12.6%
HV 60d21.1%19.9%21.6%21.4%19.9%
IV Rank11.8%2.6%37.0%5.6%37.0%
IV Percentile51.0%3.7%95.2%33.1%95.2%
Term Structure-5.2%-27.9%13.6%3.6%-23.5%
VWIV21.4%16.1%29.3%18.9%23.1%
Skew 25d3.0%-24.1%21.2%2.8%-23.9%
Skew 10d11.4%-17.8%28.5%-0.4%28.5%
Call IV 25d31.9%15.5%76.2%23.1%76.2%
Put IV 25d34.9%18.9%77.6%25.9%52.3%
Bid-Ask Spread %134.5191.68179.96127.48159.74
Gamma HHI0.150.110.180.160.14
Net GEX-46.3K-62.8K-25.1K-31.2K-38.1K
Net DEX173.5K-246.2K1.2M1.2M-236.3K
Net VEX-10.5K-11.4K-9.6K-10.3K-11.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.460.0021.000.000.00
Total Volume8505252545
Total OI7,317.8576,8457,6707,1857,510

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$8.99$9.0020.7%5.9%23.6%5.6%0.0%2.8%3.6%-31.2K1.2M-10.3K0.00127.48N/AN/A2503,1254,060
2010-09-02$9.06$9.0021.8%6.3%23.7%6.4%0.0%5.8%10.3%-33.9K1.0M-10.6K0.00179.96N/AN/A0503,1504,060
2010-09-03$9.21$9.4017.3%7.6%24.5%3.3%0.0%6.4%-13.7%-51.0K660.6K-10.5K2.50118.44N/AN/A20503,1504,110
2010-09-07$9.16$9.4016.2%4.9%24.5%2.6%0.0%-16.2%-3.8%-57.3K805.9K-10.2K0.00132.58N/AN/A003,1704,160
2010-09-08$9.21$9.4045.6%11.6%24.7%22.4%0.0%10.9%-14.6%-25.1K537.9K-11.2K0.00164.17N/AN/A003,1704,160
2010-09-09$9.36$9.4025.8%7.4%21.6%9.1%0.0%12.8%-6.8%-35.2K244.5K-11.0K0.00166.93N/AN/A003,1704,160
2010-09-10$9.44$9.4018.9%5.4%21.7%4.4%18.9%6.6%0.5%-53.1K105.1K-10.3K21.0091.68N/AN/A51053,1704,160
2010-09-13$9.49$9.4019.6%5.6%21.7%4.9%0.0%3.5%-0.3%-44.8K-134.5K-9.8K0.0099.31N/AN/A0653,1754,215
2010-09-14$9.47$9.4019.6%5.6%21.7%4.9%0.0%6.0%0.7%-48.0K26.9K-10.1K0.0094.17N/AN/A003,1754,280
2010-09-15$9.53$9.4044.1%12.6%21.5%21.4%0.0%2.7%-27.9%-42.1K-147.3K-9.9K0.00105.18N/AN/A003,1754,280
2010-09-16$9.46$9.4025.9%7.4%21.7%9.2%29.3%20.8%13.6%-49.8K169.8K-10.2K0.00146.00N/AN/A02653,1754,280
2010-09-17$9.44$9.4042.5%12.2%19.5%20.3%16.1%13.6%-7.9%-38.0K166.7K-11.0K0.00168.44N/AN/A503,1754,495
2010-09-20$9.66$9.4019.6%5.6%20.7%4.9%19.4%-24.1%5.0%-47.1K-68.7K-9.7K3.77163.71N/AN/A1104152,7004,145
2010-09-21$9.68$9.4048.6%13.9%20.5%24.5%0.0%-20.0%-22.2%-52.9K111.6K-11.1K0.00168.46N/AN/A0502,6804,530
2010-09-22$9.71$9.4020.2%5.8%19.4%5.3%0.0%4.3%0.7%-62.8K-30.7K-10.5K0.0098.66N/AN/A002,6804,530
2010-09-23$9.69$9.4051.8%14.9%18.7%26.6%0.0%13.8%-19.8%-57.3K-108.3K-9.6K0.00145.20N/AN/A13002,6054,430
2010-09-24$9.79$9.4026.0%7.5%17.9%9.2%0.0%8.0%0.9%-43.0K-242.4K-10.8K4.30140.38N/AN/A502152,7354,430
2010-09-27$9.73$9.4023.1%6.6%18.1%7.2%23.1%1.2%-0.8%-57.9K-115.7K-10.7K3.00106.14N/AN/A20602,7854,645
2010-09-28$9.79$9.4030.3%8.7%16.2%12.1%0.0%7.5%-5.6%-50.3K-116.1K-10.8K0.00143.20N/AN/A0502,7654,645
2010-09-29$9.80$9.4020.7%5.9%15.2%5.6%0.0%21.2%2.2%-54.0K-246.2K-10.6K0.00104.96N/AN/A5002,7654,695
2010-09-30$9.87$9.4067.2%19.3%12.6%37.0%0.0%-23.9%-23.5%-38.1K-236.3K-11.4K0.00159.74N/AN/A4502,8154,695