IHF Options History — June 2011

In June 2011, IHF traded between $12.63 and $13.07. ATM implied volatility averaged 18.9%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 17.8%). Max pain ranged from $13.00 to $15.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 1.55.

Notable Days

  • 2011-06-23: Highest Volume — 1,925 contracts
  • 2011-06-24: Largest IV spike — 23.3% change
  • 2011-06-16: Highest IV Rank — 8.0%
  • 2011-06-16: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.83$12.63$13.07$13.03$13.03
Max Pain$13.48$13.00$15.00$13.20$13.00
ATM IV18.9%15.0%22.3%17.3%15.0%
Expected Move5.4%4.3%6.4%5.0%4.3%
HV 20d17.8%13.8%20.4%13.8%19.9%
HV 60d15.5%14.4%16.6%14.5%16.5%
IV Rank5.5%2.6%8.0%4.3%2.6%
IV Percentile41.7%13.5%70.6%27.4%13.5%
Term Structure0.2%-8.3%5.4%-1.0%2.7%
VWIV17.4%13.0%20.5%16.2%17.7%
Skew 25d5.8%-0.6%10.9%10.9%-0.6%
Skew 10d6.9%1.0%19.5%14.9%1.0%
Call IV 25d15.6%11.3%19.3%11.5%15.4%
Put IV 25d21.4%14.9%27.8%22.3%14.9%
Bid-Ask Spread %96.5184.29138.02104.46106.22
Gamma HHI0.150.110.220.160.11
Net GEX-20.0K-59.2K15.0K9.7K-54.3K
Net DEX-302.3K-1.3M641.2K-1.3M-1.1M
Net VEX-17.2K-21.0K-14.1K-16.0K-19.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.007.501.200.00
Total Volume313.18201,9255550
Total OI11,603.18210,37514,60010,37514,600

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$13.03$13.2017.3%5.0%13.8%4.3%16.2%10.9%-1.0%9.7K-1.3M-16.0K1.20104.46N/AN/A25304,1506,225
2011-06-02$13.07$13.2017.3%4.9%13.9%4.3%16.3%7.5%0.1%15.0K-1.3M-16.1K0.7597.60N/AN/A20154,1756,255
2011-06-03$12.86$13.4016.5%4.9%15.0%3.7%13.0%3.2%0.9%9.7K-851.8K-16.4K7.5088.41N/AN/A302254,1956,270
2011-06-06$12.63$13.4018.4%5.4%15.9%5.2%17.4%4.2%-0.2%-10.6K113.5K-16.7K3.6087.86N/AN/A25904,2256,450
2011-06-07$12.66$13.4018.3%5.0%15.2%5.0%13.2%7.6%1.5%-13.6K77.0K-16.2K0.0091.40N/AN/A01204,2006,520
2011-06-08$12.64$13.4018.2%5.3%14.7%5.0%18.4%9.4%0.2%-22.8K249.1K-16.3K0.6787.85N/AN/A15104,2006,620
2011-06-09$12.91$13.4017.0%4.9%16.8%4.1%19.5%5.5%0.6%6.1K-486.0K-16.3K2.0085.77N/AN/A5104,1956,630
2011-06-10$12.68$13.4019.9%5.7%17.6%6.3%18.6%5.2%0.5%-19.7K217.7K-17.0K0.0085.04N/AN/A10004,2006,630
2011-06-13$12.65$13.4020.2%5.8%17.6%6.5%17.4%5.1%1.8%-22.7K199.9K-16.9K0.0084.29N/AN/A0654,3006,630
2011-06-14$12.86$13.4019.1%5.5%18.9%5.6%0.0%8.6%-3.9%10.8K-390.8K-16.2K0.2093.56N/AN/A50104,3006,635
2011-06-15$12.67$13.4022.2%6.4%19.4%8.0%20.5%6.7%1.5%-30.3K424.4K-18.2K1.0287.11N/AN/A4054154,2956,640
2011-06-16$12.72$15.0022.3%6.4%18.6%8.0%0.0%9.4%-0.1%-18.3K390.1K-17.6K4.5784.72N/AN/A351604,6906,930
2011-06-17$12.71$15.0021.5%6.2%18.5%7.5%19.8%7.5%0.9%-30.0K413.3K-17.4K1.6285.55N/AN/A651054,6657,010
2011-06-20$12.89$14.8021.1%6.0%19.3%7.1%19.5%2.6%-8.3%-47.5K-494.8K-15.4K0.15108.31N/AN/A330503,8556,595
2011-06-21$13.04$13.4019.0%5.5%19.2%5.6%0.0%6.5%0.1%-8.7K-1.0M-15.8K0.0090.14N/AN/A18004,1356,550
2011-06-22$12.93$13.4015.9%4.6%18.9%3.3%16.9%3.9%5.4%-243-738.8K-15.6K1.15102.20N/AN/A3053504,1356,550
2011-06-23$12.84$13.0017.9%5.1%18.9%4.7%16.0%2.6%-5.0%-3.3K-667.0K-14.1K2.41113.34N/AN/A5651,3604,4356,835
2011-06-24$12.64$13.0022.0%6.3%19.4%7.9%17.7%6.0%2.1%-51.8K641.2K-19.5K0.99111.98N/AN/A7357254,8058,140
2011-06-27$12.77$13.0021.0%6.0%19.8%7.1%0.0%-0.1%0.5%-52.2K339.7K-21.0K0.00138.02N/AN/A005,5358,865
2011-06-28$13.01$13.0018.6%5.3%20.4%5.3%0.0%10.1%1.1%-46.5K-663.2K-20.7K0.0091.85N/AN/A02005,5358,865
2011-06-29$13.01$13.0016.0%4.6%19.9%3.3%0.0%6.6%2.7%-59.2K-735.4K-20.3K0.0097.55N/AN/A1005,5359,065
2011-06-30$13.03$13.0015.0%4.3%19.9%2.6%0.0%-0.6%2.7%-54.3K-1.1M-19.0K0.00106.22N/AN/A5005,5359,065