IHF Options History — November 2010

In November 2010, IHF traded between $9.99 and $10.60. ATM implied volatility averaged 24.6%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 6.1% (HV 20d: 18.5%). Max pain ranged from $9.80 to $10.40. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.76.

Notable Days

  • 2010-11-19: Highest Volume — 12,550 contracts
  • 2010-11-24: Largest IV spike — 58.4% change
  • 2010-11-26: Highest IV Rank — 22.0%
  • 2010-11-26: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.37$9.99$10.60$9.99$10.28
Max Pain$10.27$9.80$10.40$9.80$10.40
ATM IV24.6%19.8%41.4%22.7%28.0%
Expected Move7.1%5.8%11.9%6.5%8.0%
HV 20d18.5%16.6%19.8%16.6%18.7%
HV 60d18.0%16.2%19.8%18.7%16.2%
IV Rank9.3%5.7%22.0%7.8%11.8%
IV Percentile55.7%29.4%81.0%56.7%68.7%
Term Structure-0.2%-23.9%13.0%-0.1%-1.3%
VWIV22.8%18.7%27.7%23.7%18.7%
Skew 25d5.6%-28.4%14.5%5.3%8.1%
Skew 10d8.5%-30.2%21.1%14.5%19.4%
Call IV 25d24.1%14.2%72.7%20.6%24.1%
Put IV 25d29.8%22.2%68.4%25.8%32.2%
Bid-Ask Spread %87.8866.34176.9175.4675.35
Gamma HHI0.520.120.920.120.91
Net GEX146.1K-223.5K895.8K-21.8K805.2K
Net DEX-2.6M-6.7M-741.9K-741.9K-4.4M
Net VEX-13.0K-23.2K-7.9K-9.5K-20.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.0025.000.000.00
Total Volume755.952012,5501000
Total OI11,245.9527,13018,6607,13018,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$9.99$9.8022.7%6.5%16.6%7.8%23.7%5.3%-0.1%-21.8K-741.9K-9.5K0.0075.46N/AN/A10002,8604,270
2010-11-02$10.32$9.8020.6%5.9%19.1%6.2%20.8%7.8%1.2%-11.4K-1.5M-8.4K2.9189.96N/AN/A551602,9354,270
2010-11-03$10.29$9.8022.0%6.3%18.2%7.3%21.7%7.9%1.0%-21.3K-1.4M-8.5K0.2299.08N/AN/A115252,9154,430
2010-11-04$10.43$9.8021.7%6.2%18.5%7.1%22.1%7.5%-0.7%-22.1K-1.6M-8.2K6.4490.99N/AN/A905802,9754,455
2010-11-05$10.46$10.2020.5%6.3%18.5%6.2%0.0%3.4%3.1%-67.3K-1.6M-8.3K0.0068.76N/AN/A503,0005,000
2010-11-08$10.54$10.2019.8%5.8%18.5%5.7%22.7%3.2%5.7%-69.5K-1.7M-7.9K25.0066.34N/AN/A51252,9955,000
2010-11-09$10.45$10.4025.4%6.9%19.0%9.8%0.0%6.6%9.2%-63.3K-1.3M-9.5K1.6973.91N/AN/A1302203,0005,120
2010-11-10$10.53$10.4022.5%6.8%18.9%7.7%0.0%5.7%0.2%-64.7K-1.5M-9.4K1.2271.81N/AN/A1151403,1255,245
2010-11-11$10.60$10.4022.4%6.4%18.8%7.6%0.0%6.4%13.0%-57.5K-1.5M-10.8K1.5272.16N/AN/A1151753,2355,375
2010-11-12$10.45$10.4024.4%7.0%19.7%9.1%27.7%14.5%2.2%-63.0K-1.4M-10.4K6.2969.51N/AN/A352203,3355,515
2010-11-15$10.38$10.4023.2%6.7%19.8%8.2%23.1%6.7%-2.3%-85.8K-1.4M-9.8K0.0084.76N/AN/A20003,3505,700
2010-11-16$10.19$10.4027.2%7.8%18.6%11.2%24.5%6.6%0.4%-59.6K-811.9K-10.2K1.1080.85N/AN/A1001103,4755,700
2010-11-17$10.24$10.4025.4%7.3%18.1%9.9%0.0%12.7%1.5%-74.1K-794.5K-10.5K0.0088.47N/AN/A0503,4755,710
2010-11-18$10.34$10.4021.4%6.1%18.1%6.8%0.0%10.6%1.9%-133.9K-1.1M-10.0K0.0087.88N/AN/A003,4755,710
2010-11-19$10.41$10.4020.7%5.9%17.7%6.3%18.7%5.7%2.8%-223.5K-1.4M-9.8K0.0078.61N/AN/A12,500503,4755,710
2010-11-22$10.50$10.4020.9%6.0%17.9%6.5%0.0%8.0%0.8%889.7K-6.5M-22.5K0.5076.47N/AN/A20010014,7603,515
2010-11-23$10.34$10.4023.9%6.9%18.7%8.8%0.0%6.9%-0.5%793.1K-5.2M-22.4K0.0072.25N/AN/A0014,9503,615
2010-11-24$10.40$10.4037.9%10.9%18.1%19.4%0.0%3.1%-19.1%394.8K-6.7M-23.2K0.00176.91N/AN/A50014,9503,615
2010-11-26$10.33$10.4041.4%11.9%18.4%22.0%0.0%-28.4%-23.9%327.5K-6.5M-22.9K0.00170.56N/AN/A50015,0003,615
2010-11-29$10.36$10.4025.2%7.2%18.4%9.7%0.0%10.2%-0.1%895.8K-4.9M-20.7K0.0075.26N/AN/A55015,0453,615
2010-11-30$10.28$10.4028.0%8.0%18.7%11.8%0.0%8.1%-1.3%805.2K-4.4M-20.0K0.0075.35N/AN/A0015,0353,615