IHF Options History — January 2011

In January 2011, IHF traded between $10.97 and $11.65. ATM implied volatility averaged 20.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 9.2% (HV 20d: 11.1%). Max pain ranged from $9.60 to $10.80. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.15.

Notable Days

  • 2011-01-24: Highest Volume — 450 contracts
  • 2011-01-12: Largest IV spike — 176.2% change
  • 2011-01-12: Highest IV Rank — 25.7%
  • 2011-01-06: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.30$10.97$11.65$10.97$11.36
Max Pain$9.98$9.60$10.80$10.80$9.80
ATM IV20.4%13.0%47.3%18.7%20.2%
Expected Move5.7%3.7%10.0%5.4%5.8%
HV 20d11.1%8.0%16.6%11.0%16.6%
HV 60d14.9%14.2%15.5%15.5%14.5%
IV Rank5.4%0.0%25.7%4.8%5.5%
IV Percentile19.9%0.0%89.3%15.1%34.9%
Term Structure2.6%-5.4%11.2%2.7%0.4%
VWIV20.6%18.5%25.3%19.5%25.3%
Skew 25d6.0%-9.8%10.5%8.4%9.3%
Skew 10d4.2%-9.2%12.0%7.1%11.9%
Call IV 25d15.3%10.7%26.2%15.0%15.2%
Put IV 25d21.4%14.6%24.9%23.4%24.5%
Bid-Ask Spread %105.0183.75162.3493.7094.94
Gamma HHI0.210.170.270.190.19
Net GEX-11.9K-32.1K13.6K-20.9K-16.9K
Net DEX-1.9M-2.6M-1.3M-1.4M-1.9M
Net VEX-10.0K-13.0K-6.8K-12.8K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0030.002.000.00
Total Volume1050450150250
Total OI9,6769,0359,8659,6459,865

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$10.97$10.8018.7%5.4%11.0%4.8%0.0%8.4%2.7%-20.9K-1.4M-12.8K2.0093.70N/AN/A501003,2506,395
2011-01-04$10.98$10.8019.2%5.5%10.3%5.2%0.0%7.1%3.1%-24.3K-1.3M-13.0K0.0097.15N/AN/A003,2506,495
2011-01-05$11.02$10.8018.1%5.2%10.3%4.4%0.0%2.9%3.0%-21.0K-1.3M-12.6K0.00100.97N/AN/A0503,1956,495
2011-01-06$11.14$10.8034.8%10.0%10.7%17.0%0.0%-9.8%0.8%-6.0K-1.9M-10.3K0.00162.34N/AN/A5003,1956,495
2011-01-07$11.15$9.6017.7%5.9%10.7%4.1%0.0%7.8%4.2%-10.9K-1.6M-12.0K0.0083.75N/AN/A0503,2456,495
2011-01-10$11.19$9.6018.5%6.1%9.3%4.6%19.5%7.4%3.5%-11.7K-1.7M-11.7K5.0084.77N/AN/A10503,2456,545
2011-01-11$11.31$9.8017.1%5.6%9.2%2.6%0.0%5.7%4.7%-7.1K-1.9M-10.7K0.0086.48N/AN/A0503,1506,540
2011-01-12$11.33$9.8047.3%9.1%8.9%25.7%0.0%-1.3%-5.4%-27.4K-1.8M-10.6K0.00147.49N/AN/A003,1506,590
2011-01-13$11.39$9.8019.1%5.5%8.0%3.6%0.0%4.4%3.6%-895-2.2M-9.6K0.0091.83N/AN/A0503,1506,590
2011-01-14$11.52$9.8017.4%5.0%8.5%2.2%0.0%7.3%4.2%-4.5K-2.4M-8.3K0.0098.92N/AN/A003,1106,615
2011-01-18$11.58$9.8017.2%4.9%8.5%2.1%0.0%8.3%4.7%-5.3K-2.6M-7.8K0.0098.01N/AN/A003,1106,615
2011-01-19$11.37$9.8019.5%5.6%11.6%3.8%0.0%10.5%3.9%815-2.1M-9.3K0.0094.95N/AN/A01003,1106,615
2011-01-20$11.32$9.8018.2%5.2%11.8%2.9%0.0%8.9%11.2%-1.4K-2.0M-9.4K0.00129.73N/AN/A5003,1106,665
2011-01-21$11.29$9.8013.0%3.7%12.0%0.0%0.0%2.9%3.8%13.6K-2.1M-9.1K0.00149.16N/AN/A0503,1606,665
2011-01-24$11.26$9.8018.6%5.3%12.0%4.3%19.2%7.0%1.8%-26.7K-1.7M-8.8K3.5094.66N/AN/A1003502,7206,315
2011-01-25$11.37$9.8018.5%5.3%12.0%4.2%18.5%8.5%0.5%-32.1K-1.9M-8.8K0.4896.41N/AN/A105502,8156,610
2011-01-26$11.47$9.8017.8%5.1%12.1%3.7%0.0%9.6%0.7%-21.6K-2.1M-8.2K0.00100.13N/AN/A20002,8756,655
2011-01-27$11.65$9.8016.6%4.8%12.9%2.8%0.0%7.1%0.6%2.9K-2.6M-6.8K30.0099.84N/AN/A103003,0756,555
2011-01-28$11.36$9.8020.1%5.8%16.6%5.4%0.0%8.8%-0.1%-15.9K-1.9M-9.5K0.5094.93N/AN/A50253,0856,705
2011-01-31$11.36$9.8020.2%5.8%16.6%5.5%25.3%9.3%0.4%-16.9K-1.9M-10.1K0.0094.94N/AN/A25003,1356,730