IHF Options History — March 2011

In March 2011, IHF traded between $11.71 and $12.38. ATM implied volatility averaged 19.0%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.9% (HV 20d: 16.1%). Max pain ranged from $11.60 to $12.20. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 4.15.

Notable Days

  • 2011-03-14: Highest Volume — 1,550 contracts
  • 2011-03-16: Largest IV spike — 64.1% change
  • 2011-03-16: Highest IV Rank — 17.3%
  • 2011-03-16: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.04$11.71$12.38$11.93$12.38
Max Pain$12.00$11.60$12.20$11.60$12.20
ATM IV19.0%12.9%35.7%19.4%12.9%
Expected Move5.5%3.7%10.2%5.6%3.7%
HV 20d16.1%12.6%18.3%12.9%15.0%
HV 60d14.5%13.1%15.3%13.1%15.0%
IV Rank4.6%0.0%17.3%4.9%0.0%
IV Percentile25.9%0.0%77.0%28.2%0.0%
Term Structure0.6%-14.6%3.0%0.5%3.0%
VWIV16.0%9.6%28.0%20.1%13.3%
Skew 25d8.1%3.3%32.5%7.7%7.5%
Skew 10d6.1%4.0%19.2%4.2%4.6%
Call IV 25d14.3%9.1%18.7%15.2%9.1%
Put IV 25d22.5%12.8%49.4%22.9%16.6%
Bid-Ask Spread %95.0884.42114.4697.78102.85
Gamma HHI0.200.130.260.180.16
Net GEX88.5K17.0K149.3K61.9K52.7K
Net DEX-1.8M-2.9M-455.7K-1.8M-2.6M
Net VEX-10.9K-12.8K-9.2K-10.4K-11.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.150.0020.000.0020.00
Total Volume266.522151,550160105
Total OI10,769.138,91012,3558,91012,355

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$11.93$11.6019.4%5.6%12.9%4.9%0.0%7.7%0.5%61.9K-1.8M-10.4K0.0097.78N/AN/A16003,3205,590
2011-03-02$12.08$11.6020.3%5.8%12.6%5.6%20.1%6.0%2.1%70.9K-2.2M-10.0K0.4296.87N/AN/A120503,4605,590
2011-03-03$12.33$11.6016.2%4.6%13.9%2.5%0.0%8.8%2.1%82.1K-2.7M-9.2K0.63100.82N/AN/A80503,5805,640
2011-03-04$12.28$11.8017.3%5.7%14.0%3.3%0.0%6.9%2.0%91.9K-2.7M-9.6K0.0485.00N/AN/A14053,6605,690
2011-03-07$12.10$11.8018.6%6.0%15.3%4.3%0.0%6.8%0.7%100.6K-2.3M-10.2K0.6084.42N/AN/A50303,7305,695
2011-03-08$12.22$11.8018.9%5.7%15.3%4.5%10.3%6.1%1.2%100.4K-2.7M-9.7K2.0089.56N/AN/A35703,7805,710
2011-03-09$12.34$11.8017.6%5.5%15.0%3.5%0.0%6.6%1.5%104.0K-2.9M-9.3K0.4889.21N/AN/A115553,8155,775
2011-03-10$12.11$11.8020.7%5.9%16.7%5.9%0.0%6.5%1.0%109.2K-2.4M-10.4K2.4086.24N/AN/A1002403,9155,830
2011-03-11$12.10$11.8020.8%6.0%16.7%6.0%0.0%7.9%0.4%123.5K-2.4M-10.5K0.0087.66N/AN/A7504,0156,055
2011-03-14$11.99$11.8021.2%6.1%17.1%6.2%20.2%9.2%-0.2%137.7K-2.1M-11.0K1.0785.76N/AN/A7508004,0756,055
2011-03-15$11.91$12.2021.8%6.2%17.3%6.7%0.0%7.8%0.7%149.3K-1.8M-12.5K2.0090.71N/AN/A5104,8206,755
2011-03-16$11.71$12.2035.7%10.2%18.3%17.3%28.0%32.5%-14.6%119.1K-1.3M-11.4K18.20114.46N/AN/A254554,8256,760
2011-03-17$11.72$12.2022.9%6.6%17.8%7.5%15.8%10.0%-0.7%107.6K-644.3K-12.8K1.6789.31N/AN/A30504,8457,215
2011-03-18$11.74$12.2021.4%6.1%17.7%6.4%12.5%6.6%0.6%110.8K-750.7K-12.2K16.0092.29N/AN/A101604,8607,165
2011-03-21$11.80$12.2018.5%5.3%17.8%4.2%14.3%9.9%1.1%24.8K-561.3K-11.0K12.4092.83N/AN/A506204,0956,850
2011-03-22$11.82$12.2018.2%5.2%16.7%4.0%15.9%4.7%1.1%17.0K-455.7K-11.9K0.0095.91N/AN/A30004,1457,110
2011-03-23$11.79$12.2016.6%4.7%16.4%2.7%19.1%6.6%1.8%54.8K-460.1K-11.4K0.0098.32N/AN/A15504,4457,110
2011-03-24$11.96$12.2015.7%4.5%17.0%2.1%0.0%6.2%0.8%81.6K-1.2M-11.1K5.0099.54N/AN/A251254,5957,110
2011-03-25$12.03$12.2016.0%4.6%16.7%2.3%0.0%7.2%2.5%82.7K-1.4M-11.9K0.0098.81N/AN/A3004,5257,235
2011-03-28$12.08$12.2016.9%4.8%16.6%3.0%9.6%7.2%1.6%87.6K-1.6M-11.3K10.00101.91N/AN/A5504,5557,235
2011-03-29$12.19$12.2015.4%4.4%16.8%1.9%15.4%5.1%1.5%84.9K-1.9M-11.1K1.47102.36N/AN/A2754054,5607,285
2011-03-30$12.33$12.2013.3%3.8%16.6%0.2%14.0%3.3%2.1%79.5K-2.6M-11.3K1.03104.18N/AN/A1551604,7707,485
2011-03-31$12.38$12.2012.9%3.7%15.0%0.0%13.3%7.5%3.0%52.7K-2.6M-11.6K20.00102.85N/AN/A51004,7757,580