IHF Options History — May 2011

In May 2011, IHF traded between $12.97 and $13.47. ATM implied volatility averaged 15.6%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.0% (HV 20d: 14.6%). Max pain ranged from $11.80 to $13.20. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 2.14.

Notable Days

  • 2011-05-05: Highest Volume — 580 contracts
  • 2011-05-27: Largest IV spike — 150.6% change
  • 2011-05-27: Highest IV Rank — 17.0%
  • 2011-05-27: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.20$12.97$13.47$13.15$13.19
Max Pain$12.95$11.80$13.20$11.80$13.20
ATM IV15.6%12.7%34.1%14.4%14.2%
Expected Move4.5%3.6%9.8%4.1%4.1%
HV 20d14.6%12.9%16.0%15.3%13.7%
HV 60d14.8%14.4%15.1%14.7%14.6%
IV Rank3.0%0.8%17.0%2.1%2.0%
IV Percentile14.1%1.2%80.2%7.9%10.7%
Term Structure1.4%-10.4%5.6%0.5%1.2%
VWIV14.6%9.1%17.6%15.5%9.1%
Skew 25d3.9%-18.1%24.4%-3.6%24.4%
Skew 10d3.3%-11.2%11.4%-0.8%-11.2%
Call IV 25d13.5%9.3%30.1%14.7%11.0%
Put IV 25d17.4%11.1%35.5%11.1%35.5%
Bid-Ask Spread %105.5488.11151.18111.75117.33
Gamma HHI0.140.110.200.150.17
Net GEX3.4K-49.4K38.5K-9.2K18.1K
Net DEX-4.1M-6.1M-1.1M-4.9M-1.7M
Net VEX-15.0K-18.0K-12.8K-12.8K-15.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.140.007.002.440.00
Total Volume257.38105801555
Total OI14,308.0959,43017,29014,86510,375

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$13.15$11.8014.4%4.1%15.3%2.1%15.5%-3.6%0.5%-9.2K-4.9M-12.8K2.44111.75N/AN/A451105,4659,400
2011-05-03$13.00$11.8013.9%4.0%16.0%1.7%14.0%1.8%2.5%-4.6K-4.3M-14.7K1.54102.52N/AN/A1302005,4859,510
2011-05-04$12.97$12.0014.2%4.1%15.7%2.0%14.7%1.0%1.6%6.3K-3.8M-15.7K0.21102.25N/AN/A120255,3609,600
2011-05-05$13.00$12.0012.7%3.6%15.6%0.8%14.3%-18.1%4.1%5.4K-4.0M-15.0K0.21131.66N/AN/A4801005,4709,625
2011-05-06$13.11$13.2015.7%4.6%15.5%3.1%16.8%5.1%1.6%27.8K-4.7M-15.2K0.0088.11N/AN/A32005,8359,675
2011-05-09$13.26$13.2015.2%4.5%15.6%2.7%11.1%6.3%3.0%38.5K-5.5M-14.0K2.2592.53N/AN/A601356,1459,675
2011-05-10$13.38$13.2013.4%4.1%14.9%1.3%0.0%6.9%1.8%20.5K-5.6M-13.2K0.0095.33N/AN/A005,9809,805
2011-05-11$13.29$13.2014.8%4.5%15.3%2.4%16.5%7.2%2.0%28.2K-5.3M-13.9K0.0291.18N/AN/A21055,9809,805
2011-05-12$13.34$13.2014.3%4.1%15.0%2.1%13.6%6.6%2.3%29.0K-5.8M-13.3K6.8397.41N/AN/A604106,1609,810
2011-05-13$13.32$13.2015.4%4.4%15.2%2.9%0.0%7.3%1.2%12.6K-5.5M-14.5K4.0093.13N/AN/A251006,20010,200
2011-05-16$13.32$13.2015.5%4.4%15.2%2.9%16.7%7.8%1.4%-660-5.6M-14.2K5.2594.85N/AN/A402106,22510,300
2011-05-17$13.26$13.2017.7%5.1%13.4%4.6%16.4%7.2%0.7%618-5.3M-15.4K3.1393.71N/AN/A1203756,25510,440
2011-05-18$13.44$13.2015.3%4.4%13.6%2.8%15.2%-11.1%1.8%-22.6K-6.0M-13.6K0.89125.48N/AN/A1801606,29010,800
2011-05-19$13.47$13.2013.7%3.9%13.5%1.6%12.4%6.8%2.8%-14.6K-6.1M-14.0K2.43100.61N/AN/A701706,37010,735
2011-05-20$13.33$13.2014.2%4.1%12.9%2.0%0.0%4.2%2.7%-49.4K-5.7M-15.0K7.0097.80N/AN/A151056,44010,850
2011-05-23$13.14$13.2015.7%4.5%14.1%3.1%17.6%8.1%0.4%-972-1.6M-16.8K1.8697.35N/AN/A1753253,8605,570
2011-05-24$12.97$13.2016.2%4.6%14.9%3.4%0.0%4.5%1.1%-3.5K-1.3M-18.0K0.00105.92N/AN/A04253,9955,820
2011-05-25$13.03$13.2013.5%3.9%14.3%1.4%14.2%2.2%5.6%-11.8K-1.1M-17.6K0.00118.75N/AN/A31503,9956,175
2011-05-26$13.11$13.2013.6%3.9%13.1%1.5%0.0%-0.3%1.5%18.4K-1.4M-17.4K0.48107.39N/AN/A105504,2406,175
2011-05-27$13.03$13.2034.1%9.8%13.3%17.0%9.1%6.9%-10.4%-16.9K-1.4M-15.1K0.00151.18N/AN/A2504,1506,225
2011-05-31$13.19$13.2014.2%4.1%13.7%2.0%0.0%24.4%1.2%18.1K-1.7M-15.5K0.00117.33N/AN/A054,1506,225