IHF Options History — December 2010

In December 2010, IHF traded between $10.50 and $10.82. ATM implied volatility averaged 19.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.2% (HV 20d: 14.7%). Max pain ranged from $10.40 to $11.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.96.

Notable Days

  • 2010-12-01: Highest Volume — 12,830 contracts
  • 2010-12-13: Largest IV spike — 21.9% change
  • 2010-12-01: Highest IV Rank — 7.1%
  • 2010-12-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$10.50$10.82$10.51$10.77
Max Pain$10.70$10.40$11.00$10.40$10.80
ATM IV19.9%17.7%21.8%21.8%19.8%
Expected Move5.8%5.4%6.2%6.2%5.7%
HV 20d14.7%9.2%17.1%16.6%9.2%
HV 60d16.4%15.1%16.8%16.7%15.1%
IV Rank5.7%4.0%7.1%7.1%5.6%
IV Percentile29.9%9.1%47.2%47.2%29.0%
Term Structure1.7%0.2%2.9%2.5%2.9%
VWIV19.4%17.2%22.0%21.3%18.3%
Skew 25d7.1%1.9%11.4%6.3%8.9%
Skew 10d8.1%2.9%13.3%5.0%5.7%
Call IV 25d16.2%13.2%19.6%19.6%14.3%
Put IV 25d23.4%18.0%25.9%25.9%23.2%
Bid-Ask Spread %83.6572.3999.9691.7488.69
Gamma HHI0.220.110.930.930.19
Net GEX18.3K-53.4K1.1M1.1M-34.0K
Net DEX-1.1M-6.4M-484.9K-6.4M-967.6K
Net VEX-13.6K-20.5K-9.0K-20.5K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.960.0053.000.000.50
Total Volume805.909012,83012,8300
Total OI9,5356,40518,65018,6509,645

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$10.51$10.4021.8%6.2%16.6%7.1%21.3%6.3%2.5%1.1M-6.4M-20.5K0.0091.74N/AN/A12,830015,0353,615
2010-12-02$10.63$10.4021.8%6.2%17.0%7.1%0.0%8.4%1.3%-5.6K-1.2M-9.4K0.0094.26N/AN/A5002,8353,615
2010-12-03$10.60$10.4018.9%5.4%16.5%5.0%0.0%1.9%1.8%-6.6K-1.2M-9.0K53.0099.96N/AN/A502,6502,7903,615
2010-12-06$10.51$10.8019.6%5.9%16.8%5.5%22.0%6.5%1.7%-47.6K-535.8K-14.5K3.0072.39N/AN/A501502,8406,165
2010-12-07$10.50$10.4021.4%6.1%16.6%6.9%0.0%4.5%0.9%-53.0K-484.9K-14.6K1.0074.38N/AN/A50502,8906,315
2010-12-08$10.52$10.4019.3%5.7%16.3%5.2%0.0%5.8%1.5%-52.2K-663.6K-14.0K0.0077.14N/AN/A5002,9406,265
2010-12-09$10.52$10.4018.1%5.6%16.1%4.3%18.0%4.2%1.4%-53.4K-572.7K-13.5K3.0081.90N/AN/A501502,8656,235
2010-12-10$10.70$11.0017.7%5.7%17.1%4.0%19.7%5.6%0.8%-35.4K-908.3K-13.4K1.0077.94N/AN/A50502,9156,335
2010-12-13$10.65$10.8021.6%6.1%16.4%7.0%21.3%9.6%1.0%-32.7K-840.7K-13.5K1.0080.16N/AN/A1001002,9656,385
2010-12-14$10.75$10.8019.6%5.8%16.3%5.4%17.2%6.8%0.8%-25.2K-1.0M-13.2K1.8280.14N/AN/A551003,0656,485
2010-12-15$10.66$10.8021.7%6.2%15.1%7.1%19.1%5.3%0.2%-25.6K-898.4K-13.7K0.0074.26N/AN/A5003,1206,485
2010-12-16$10.72$10.8019.8%5.7%15.1%5.7%17.2%11.4%0.6%-11.4K-932.1K-13.7K0.0080.68N/AN/A10003,1706,485
2010-12-17$10.74$10.8019.2%5.5%14.8%5.2%19.6%10.9%2.1%-39.0K-957.9K-13.8K2.0085.20N/AN/A501003,2706,485
2010-12-20$10.74$10.8018.9%5.4%14.7%5.0%0.0%6.2%2.3%-35.5K-768.1K-13.7K1.0077.89N/AN/A1001003,0156,125
2010-12-21$10.78$10.8019.7%5.6%14.5%5.5%0.0%7.3%2.1%-32.1K-912.0K-13.7K2.7380.32N/AN/A551503,1156,225
2010-12-22$10.82$10.8019.2%5.5%13.1%5.1%18.3%5.7%2.4%-29.4K-1.0M-13.3K1.2583.36N/AN/A40503,1406,195
2010-12-23$10.80$10.8020.0%5.7%13.1%5.7%0.0%5.6%2.1%-33.1K-952.1K-13.8K0.0083.03N/AN/A003,1756,245
2010-12-27$10.76$10.8020.8%6.0%12.8%6.4%0.0%9.9%2.0%-34.7K-869.4K-13.7K0.0086.57N/AN/A5003,1756,245
2010-12-28$10.75$10.8020.2%5.8%12.9%5.9%0.0%9.1%2.5%-38.0K-828.6K-13.5K0.0085.76N/AN/A003,1506,245
2010-12-29$10.77$10.8019.9%5.7%12.4%5.7%0.0%8.6%2.8%-33.9K-920.6K-13.4K0.0093.09N/AN/A01503,1506,245
2010-12-30$10.77$10.8019.6%5.6%10.0%5.5%0.0%8.6%2.6%-35.1K-918.2K-13.4K0.5091.38N/AN/A100503,1506,345
2010-12-31$10.77$10.8019.8%5.7%9.2%5.6%0.0%8.9%2.9%-34.0K-967.6K-13.8K0.0088.69N/AN/A003,2506,395