IHF Options History — July 2011

In July 2011, IHF traded between $12.31 and $13.32. ATM implied volatility averaged 19.7%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 1.5% (HV 20d: 18.2%). Max pain ranged from $12.20 to $13.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 4.62.

Notable Days

  • 2011-07-15: Highest Volume — 620 contracts
  • 2011-07-29: Largest IV spike — 94.3% change
  • 2011-07-29: Highest IV Rank — 53.3%
  • 2011-07-29: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.95$12.31$13.32$13.26$12.31
Max Pain$12.37$12.20$13.00$13.00$12.40
ATM IV19.7%12.3%44.7%14.0%44.7%
Expected Move5.8%4.0%12.8%4.0%12.8%
HV 20d18.2%15.8%20.7%19.9%20.7%
HV 60d17.1%16.3%18.2%16.8%18.2%
IV Rank11.6%0.6%53.3%1.8%53.3%
IV Percentile43.5%1.2%94.4%8.7%94.4%
Term Structure-0.6%-31.8%7.4%2.7%-31.8%
VWIV18.3%15.3%23.7%15.6%23.7%
Skew 25d9.0%-11.4%32.7%-11.4%32.7%
Skew 10d8.1%-17.7%41.1%2.0%41.1%
Call IV 25d15.9%9.9%29.9%27.1%29.9%
Put IV 25d25.0%15.7%62.6%15.7%62.6%
Bid-Ask Spread %100.8181.71138.46117.06138.46
Gamma HHI0.130.100.150.100.14
Net GEX-31.0K-66.5K-190-60.6K-47.7K
Net DEX-1.1M-3.1M1.2M-2.5M863.2K
Net VEX-15.3K-16.8K-13.0K-16.8K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.620.0030.000.008.50
Total Volume1250620500
Total OI13,42911,49514,61514,60012,640

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$13.26$13.0014.0%4.0%19.9%1.8%0.0%-11.4%2.7%-60.6K-2.5M-16.8K0.00117.06N/AN/A5005,5359,065
2011-07-05$13.24$12.2017.1%4.8%18.5%4.2%15.6%8.5%2.5%-57.7K-2.4M-16.0K0.0099.54N/AN/A1505,5459,065
2011-07-06$13.32$12.2013.0%4.6%18.6%1.1%18.4%6.6%3.0%-58.4K-2.6M-16.2K0.2587.96N/AN/A60155,4059,065
2011-07-07$13.30$12.2012.3%4.4%18.6%0.6%18.2%7.8%2.8%-37.1K-2.8M-15.5K0.0092.89N/AN/A1505,4609,065
2011-07-08$13.21$12.2014.1%4.7%17.6%1.9%0.0%5.7%3.2%-20.7K-2.3M-15.0K0.0092.51N/AN/A005,4609,065
2011-07-11$12.90$12.2019.2%5.3%18.5%5.7%0.0%4.7%1.8%-48.6K147.1K-16.7K0.0086.70N/AN/A005,4609,065
2011-07-12$12.94$12.2019.3%5.3%18.5%5.8%15.3%11.0%-1.2%-37.2K-442.7K-16.2K0.05117.23N/AN/A10055,4609,065
2011-07-13$13.00$12.4017.5%5.6%17.6%4.5%0.0%9.5%1.5%-9.0K-596.4K-16.1K0.0088.53N/AN/A005,4009,060
2011-07-14$12.94$12.4020.1%5.8%16.8%13.7%18.2%4.2%1.2%-4.6K-76.2K-15.4K30.00106.76N/AN/A51505,4009,060
2011-07-15$12.88$12.4020.0%5.7%16.9%13.5%21.4%10.7%1.8%-1901.2M-15.4K0.8291.00N/AN/A3402805,4059,210
2011-07-18$12.80$12.4019.5%5.6%17.1%12.7%17.9%6.3%0.7%-56.7K-442.0K-15.2K20.0081.71N/AN/A102004,1907,305
2011-07-19$12.84$12.4018.3%5.2%16.4%10.8%17.7%8.0%0.3%-66.5K-492.0K-14.9K0.0086.28N/AN/A36504,2007,505
2011-07-20$12.86$12.4018.5%5.3%15.8%11.2%16.8%7.7%0.1%-29.1K-891.4K-15.0K0.0190.20N/AN/A38554,5657,505
2011-07-21$13.17$12.4015.7%4.5%17.8%6.6%16.3%4.8%-4.0%-19.0K-2.7M-14.4K0.4092.63N/AN/A225904,9357,510
2011-07-22$13.24$12.4016.1%4.6%17.6%7.2%0.0%27.0%7.4%-15.5K-3.1M-13.0K0.00128.91N/AN/A0605,0457,580
2011-07-25$12.97$12.4027.3%7.8%18.4%25.3%16.5%20.2%-1.5%-4.4K-2.0M-13.9K0.00110.98N/AN/A0155,0457,530
2011-07-26$12.88$12.4021.1%6.1%18.3%15.4%0.0%3.7%0.2%-5.0K-1.6M-14.2K0.00106.56N/AN/A005,0457,530
2011-07-27$12.46$12.4022.9%6.6%20.5%18.1%21.5%6.7%-1.1%-19.6K172.0K-14.9K0.0097.26N/AN/A1505,0457,530
2011-07-28$12.46$12.4023.0%6.6%20.5%18.4%23.7%6.2%-0.9%-23.1K293.0K-14.9K8.50102.97N/AN/A10855,0307,530
2011-07-29$12.31$12.4044.7%12.8%20.7%53.3%0.0%32.7%-31.8%-47.7K863.2K-15.9K0.00138.46N/AN/A005,0357,605