IHF Options History — February 2011

In February 2011, IHF traded between $11.48 and $12.04. ATM implied volatility averaged 17.6%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 1.6% (HV 20d: 16.0%). Max pain ranged from $9.80 to $11.60. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 3.34.

Notable Days

2011-02-03: Highest Volume — 870 contracts
2011-02-22: Largest IV spike — 24.1% change
2011-02-23: Highest IV Rank — 6.2%
2011-02-23: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.78	$11.48	$12.04	$11.53	$12.00
Max Pain	$11.32	$9.80	$11.60	$9.80	$11.60
ATM IV	17.6%	15.1%	21.1%	17.8%	19.6%
Expected Move	5.1%	4.6%	6.0%	5.1%	5.6%
HV 20d	16.0%	12.6%	16.9%	16.2%	12.6%
HV 60d	14.0%	13.1%	14.7%	14.6%	13.1%
IV Rank	3.5%	1.6%	6.2%	3.7%	5.1%
IV Percentile	14.6%	1.6%	47.6%	9.5%	32.9%
Term Structure	2.0%	0.3%	3.8%	0.5%	0.7%
VWIV	18.0%	14.1%	23.7%	15.3%	14.1%
Skew 25d	8.0%	1.6%	33.1%	6.1%	8.0%
Skew 10d	6.4%	4.0%	12.3%	6.1%	4.0%
Call IV 25d	14.0%	11.2%	18.1%	15.2%	13.5%
Put IV 25d	22.0%	15.1%	47.1%	21.2%	21.5%
Bid-Ask Spread %	98.62	88.88	133.92	100.80	98.41
Gamma HHI	0.16	0.13	0.22	0.17	0.20
Net GEX	20.3K	-3.8K	59.1K	-3.8K	59.1K
Net DEX	-2.5M	-3.5M	-1.3M	-2.4M	-1.9M
Net VEX	-10.5K	-12.6K	-8.5K	-8.8K	-10.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.34	0.00	20.00	0.00	0.05
Total Volume	168.684	5	870	50	105
Total OI	10,589.474	8,510	12,210	10,005	8,805

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2011-02-01	$11.53	$9.80	17.8%	5.1%	16.2%	3.7%	0.0%	6.1%	0.5%	-3.8K	-2.4M	-8.8K	0.00	100.80	N/A	N/A	50	0	3,275	6,730
2011-02-02	$11.48	$9.80	18.5%	5.3%	16.3%	4.2%	0.0%	8.4%	0.3%	-28	-2.4M	-8.5K	2.20	101.09	N/A	N/A	50	110	3,325	6,730
2011-02-03	$11.58	$9.80	16.2%	4.6%	16.4%	2.5%	0.0%	1.6%	1.7%	538	-2.5M	-9.2K	0.53	102.63	N/A	N/A	570	300	3,375	6,790
2011-02-04	$11.67	$11.60	15.1%	5.0%	16.3%	1.7%	0.0%	6.4%	3.6%	11.2K	-2.8M	-9.7K	20.00	89.90	N/A	N/A	5	100	3,755	7,090
2011-02-07	$11.61	$11.60	16.6%	5.0%	16.4%	2.8%	0.0%	6.4%	2.1%	11.2K	-2.7M	-9.9K	0.77	94.88	N/A	N/A	65	50	3,760	7,190
2011-02-08	$11.77	$11.60	15.1%	4.9%	16.9%	1.6%	15.3%	5.6%	2.4%	10.9K	-2.9M	-9.5K	0.67	95.25	N/A	N/A	150	100	3,825	7,240
2011-02-09	$11.74	$11.60	15.3%	5.0%	16.8%	1.7%	14.1%	5.2%	1.9%	16.0K	-2.9M	-10.1K	2.30	95.02	N/A	N/A	115	265	3,975	7,340
2011-02-10	$11.75	$11.60	16.8%	4.8%	16.8%	2.9%	21.7%	8.9%	2.9%	12.3K	-2.7M	-12.1K	0.00	94.75	N/A	N/A	0	115	4,090	7,555
2011-02-11	$11.81	$11.60	16.7%	4.8%	16.8%	2.8%	0.0%	5.8%	3.2%	13.5K	-3.0M	-10.8K	0.30	96.16	N/A	N/A	50	15	4,090	7,670
2011-02-14	$11.84	$11.60	17.4%	5.0%	16.4%	3.4%	0.0%	6.4%	2.8%	15.1K	-3.0M	-10.4K	0.08	98.51	N/A	N/A	65	5	4,100	7,675
2011-02-15	$11.81	$11.60	18.0%	5.2%	16.4%	3.8%	0.0%	6.2%	2.5%	14.9K	-3.1M	-10.6K	0.00	96.45	N/A	N/A	5	0	4,165	7,680
2011-02-16	$11.94	$11.60	16.8%	4.8%	15.0%	2.9%	16.7%	8.5%	2.7%	13.5K	-3.3M	-10.2K	0.07	99.68	N/A	N/A	285	20	4,170	7,680
2011-02-17	$11.99	$11.60	16.7%	4.8%	14.8%	2.8%	18.0%	9.5%	3.8%	35.7K	-3.4M	-11.0K	10.00	96.50	N/A	N/A	5	50	4,455	7,700
2011-02-18	$12.04	$11.60	16.7%	4.8%	14.7%	2.8%	23.7%	4.8%	3.3%	32.5K	-3.5M	-11.6K	10.00	107.01	N/A	N/A	5	50	4,460	7,750
2011-02-22	$11.83	$11.60	20.7%	5.9%	16.4%	5.9%	21.2%	7.1%	0.8%	26.2K	-1.4M	-10.9K	0.00	89.56	N/A	N/A	350	0	2,945	5,565
2011-02-23	$11.74	$11.60	21.1%	6.0%	16.6%	6.2%	0.0%	7.3%	0.7%	32.2K	-1.3M	-11.7K	0.00	88.88	N/A	N/A	50	0	3,140	5,565
2011-02-24	$11.81	$11.60	20.9%	6.0%	16.4%	6.0%	17.4%	7.3%	0.9%	42.6K	-1.5M	-11.4K	0.20	94.47	N/A	N/A	25	5	3,190	5,565
2011-02-25	$11.94	$11.60	17.9%	5.1%	16.0%	3.8%	14.1%	33.1%	1.6%	42.9K	-1.5M	-12.6K	13.00	133.92	N/A	N/A	5	65	3,215	5,570
2011-02-28	$12.00	$11.60	19.6%	5.6%	12.6%	5.1%	0.0%	8.0%	0.7%	59.1K	-1.9M	-10.4K	0.05	98.41	N/A	N/A	100	5	3,220	5,585