IHF Options History — October 2010

In October 2010, IHF traded between $9.69 and $10.14. ATM implied volatility averaged 22.8%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 7.1% (HV 20d: 15.7%). Max pain ranged from $9.40 to $9.80. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 5.68.

Notable Days

  • 2010-10-20: Highest Volume — 405 contracts
  • 2010-10-29: Largest IV spike — 41.7% change
  • 2010-10-05: Highest IV Rank — 16.8%
  • 2010-10-04: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.96$9.69$10.14$9.85$10.02
Max Pain$9.65$9.40$9.80$9.40$9.80
ATM IV22.8%15.5%37.3%34.7%30.0%
Expected Move6.9%5.3%12.9%9.9%8.6%
HV 20d15.7%12.7%17.9%12.7%17.8%
HV 60d19.5%18.7%20.6%19.8%18.7%
IV Rank7.5%2.1%16.8%15.0%13.4%
IV Percentile42.7%3.2%75.4%71.0%69.8%
Term Structure-0.5%-15.3%6.5%-8.7%0.9%
VWIV22.9%16.3%39.3%21.8%21.1%
Skew 25d8.4%4.1%25.8%16.6%25.8%
Skew 10d13.7%6.3%31.8%19.2%31.8%
Call IV 25d20.8%14.9%53.6%20.6%17.8%
Put IV 25d29.2%21.7%67.3%37.2%43.6%
Bid-Ask Spread %81.9464.27146.27146.27105.37
Gamma HHI0.140.110.190.140.13
Net GEX-28.5K-51.3K-9.1K-40.3K-21.7K
Net DEX-697.3K-1.2M-84.8K-348.2K-848.1K
Net VEX-9.9K-11.4K-8.9K-11.1K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.680.0050.000.310.50
Total Volume118.095040521050
Total OI7,310.9526,2908,2057,5107,080

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$9.85$9.4034.7%9.9%12.7%15.0%0.0%16.6%-8.7%-40.3K-348.2K-11.1K0.31146.27N/AN/A160502,8154,695
2010-10-04$9.69$9.6028.2%12.9%13.8%10.7%0.0%13.6%-15.3%-43.9K-84.8K-11.4K0.00127.92N/AN/A01502,9604,745
2010-10-05$9.86$9.6037.3%10.5%14.5%16.8%0.0%11.3%-14.3%-45.9K-381.0K-10.7K0.00111.33N/AN/A0102,9604,775
2010-10-06$9.72$9.6021.8%6.3%15.8%6.4%21.8%7.0%-1.1%-51.3K-319.6K-10.5K0.1170.19N/AN/A95102,9604,775
2010-10-07$9.80$9.6019.9%6.5%15.2%5.1%21.7%6.9%6.5%-48.8K-417.9K-10.5K2.8067.04N/AN/A25703,0104,780
2010-10-08$9.86$9.6019.3%6.3%15.0%4.7%0.0%7.5%-0.5%-47.1K-608.9K-9.9K0.0064.27N/AN/A003,0304,790
2010-10-11$9.92$9.6015.5%6.1%15.1%2.1%0.0%7.2%1.1%-42.6K-783.8K-9.1K0.0066.39N/AN/A0503,0304,790
2010-10-12$9.94$9.6020.7%6.4%15.0%5.6%29.1%6.7%2.9%-25.4K-826.7K-9.6K0.0074.15N/AN/A0503,0304,790
2010-10-13$10.04$9.6021.4%6.1%15.1%6.1%19.4%4.2%3.9%-12.3K-1.1M-9.3K3.0077.92N/AN/A551653,0304,780
2010-10-14$10.01$9.6023.0%6.6%14.8%7.1%39.3%5.8%2.7%-20.4K-963.8K-9.5K0.5072.14N/AN/A2001003,0354,920
2010-10-15$10.07$9.6022.4%6.4%14.7%7.6%0.0%6.9%0.5%-9.1K-1.2M-9.7K6.0072.99N/AN/A10603,2354,970
2010-10-18$10.14$9.6018.3%5.3%12.9%4.5%16.3%6.7%2.3%-23.3K-895.0K-8.9K0.0072.53N/AN/A4002,4203,870
2010-10-19$9.89$9.6022.2%6.4%16.3%7.4%22.0%6.5%0.5%-29.6K-469.6K-9.7K5.0067.13N/AN/A201002,4603,870
2010-10-20$10.02$9.6020.1%5.8%16.9%5.9%20.2%6.2%1.3%-26.2K-707.8K-9.4K0.0076.02N/AN/A40502,4753,970
2010-10-21$9.96$9.6020.1%5.8%17.1%5.8%18.0%6.9%0.8%-14.4K-613.0K-10.1K50.0071.89N/AN/A52502,6603,970
2010-10-22$10.10$9.8019.4%5.6%17.4%5.3%0.0%6.8%1.5%-19.4K-766.0K-9.6K0.0075.23N/AN/A20002,6604,170
2010-10-25$10.14$9.8020.4%5.9%17.2%6.1%0.0%4.1%1.2%-18.0K-1.0M-9.6K0.0075.68N/AN/A002,8104,170
2010-10-26$10.09$9.8022.4%6.4%17.3%7.6%0.0%6.4%1.2%-19.5K-917.6K-9.6K0.0076.32N/AN/A002,8104,170
2010-10-27$9.97$9.8021.4%6.1%17.9%6.8%21.1%7.4%1.6%-20.3K-651.6K-10.0K0.5072.91N/AN/A100502,8104,170
2010-10-28$10.00$9.8021.2%6.1%17.8%6.7%0.0%6.5%1.4%-19.4K-732.0K-10.0K0.0077.02N/AN/A002,8604,220
2010-10-29$10.02$9.8030.0%8.6%17.8%13.4%0.0%25.8%0.9%-21.7K-848.1K-9.7K0.00105.37N/AN/A0502,8604,220