IHF Options History — April 2011

In April 2011, IHF traded between $12.12 and $13.08. ATM implied volatility averaged 13.6%, placing in the 1.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.4% (HV 20d: 13.2%). Max pain ranged from $11.40 to $12.20. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 7.99.

Notable Days

  • 2011-04-11: Highest Volume — 1,445 contracts
  • 2011-04-11: Largest IV spike — 28.9% change
  • 2011-04-14: Highest IV Rank — 3.2%
  • 2011-04-11: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.49$12.12$13.08$12.51$13.04
Max Pain$11.46$11.40$12.20$12.20$11.80
ATM IV13.6%11.6%15.8%11.6%13.0%
Expected Move4.2%3.3%4.8%3.3%3.7%
HV 20d13.2%10.2%15.4%15.4%15.4%
HV 60d15.1%14.5%15.7%15.1%14.7%
IV Rank1.5%0.0%3.2%0.0%1.1%
IV Percentile2.9%0.0%8.7%0.0%3.2%
Term Structure2.2%0.9%3.4%3.0%1.9%
VWIV13.0%10.3%16.7%11.7%12.0%
Skew 25d5.6%1.8%8.6%1.8%3.1%
Skew 10d4.1%2.8%7.2%3.3%3.3%
Call IV 25d10.6%8.1%13.4%10.1%10.0%
Put IV 25d16.2%11.9%19.3%11.9%13.1%
Bid-Ask Spread %98.5293.27106.07105.24101.43
Gamma HHI0.170.130.280.160.14
Net GEX12.7K-146.7K71.9K31.0K4.5K
Net DEX-2.8M-4.7M-750.5K-3.3M-4.6M
Net VEX-12.8K-14.9K-10.0K-10.7K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.990.0095.330.5020.00
Total Volume32051,445150105
Total OI13,32212,22014,81512,45514,790

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$12.51$12.2011.6%3.3%15.4%0.0%11.7%1.8%3.0%31.0K-3.3M-10.7K0.50105.24N/AN/A100504,7757,680
2011-04-04$12.57$11.4013.9%4.4%14.2%1.7%16.7%5.9%2.4%53.9K-3.5M-10.2K8.00106.07N/AN/A151204,8007,630
2011-04-05$12.49$11.4014.1%4.6%14.2%1.9%15.0%7.8%2.2%50.4K-3.3M-10.5K0.0093.27N/AN/A054,8057,620
2011-04-06$12.46$11.4014.1%4.5%14.0%1.9%0.0%7.3%3.0%48.0K-3.2M-10.0K1.3394.49N/AN/A45604,8057,615
2011-04-07$12.40$11.4014.1%4.7%12.2%1.9%10.3%6.3%2.6%43.0K-2.8M-10.7K0.7695.49N/AN/A105804,8507,675
2011-04-08$12.35$11.4012.2%4.5%12.3%0.5%14.7%8.6%3.4%47.1K-2.5M-10.6K0.5794.02N/AN/A3451954,8957,700
2011-04-11$12.23$11.4015.8%4.8%12.4%3.1%0.0%5.3%2.2%71.9K-2.1M-10.8K95.3395.40N/AN/A151,4305,1507,720
2011-04-12$12.32$11.4012.0%4.7%12.3%0.3%0.0%8.3%2.7%-3.5K-1.9M-14.3K2.0997.09N/AN/A551155,1659,150
2011-04-13$12.28$11.4014.2%4.8%10.3%2.0%0.0%5.9%1.8%-33.9K-1.7M-13.8K1.0096.26N/AN/A1801805,1209,255
2011-04-14$12.30$11.4015.8%4.5%10.2%3.2%0.0%6.0%2.5%-64.5K-1.8M-14.8K15.00100.37N/AN/A5755,3009,435
2011-04-15$12.34$11.4013.8%3.9%10.3%1.6%13.1%3.9%3.3%-146.7K-2.3M-13.9K0.1599.68N/AN/A65105,3059,510
2011-04-18$12.12$11.4014.9%4.3%12.4%2.5%15.1%7.0%2.3%-29.0K-750.5K-14.1K0.1294.39N/AN/A545653,8008,420
2011-04-19$12.26$11.4013.9%4.0%12.9%1.7%0.0%7.2%2.2%11.1K-1.6M-14.9K1.6796.89N/AN/A15254,3458,485
2011-04-20$12.36$11.4012.8%3.7%13.0%0.9%0.0%5.0%2.3%7.6K-1.9M-14.3K0.1598.48N/AN/A130204,3208,510
2011-04-21$12.63$11.4013.1%3.8%14.1%1.1%11.8%5.2%1.6%2.2K-2.9M-13.7K0.0099.31N/AN/A7504,3758,530
2011-04-25$12.58$11.4012.8%3.7%14.2%0.9%13.0%3.4%1.5%10.6K-2.8M-13.1K0.0199.52N/AN/A830104,4458,530
2011-04-26$12.69$11.4013.1%3.8%14.4%1.2%11.0%4.5%1.4%63.7K-3.7M-14.1K0.04101.71N/AN/A11555,1008,540
2011-04-27$12.86$11.4013.4%3.8%14.7%1.4%0.0%3.7%0.9%55.2K-4.2M-13.5K2.12100.45N/AN/A2856055,1608,540
2011-04-28$13.08$11.4012.8%3.7%15.3%0.9%11.2%4.6%1.4%31.8K-4.7M-14.4K3.00100.84N/AN/A802405,4459,145
2011-04-29$13.04$11.8013.0%3.7%15.4%1.1%12.0%3.1%1.9%4.5K-4.6M-13.7K20.00101.43N/AN/A51005,4709,320