IHF Options History — August 2011

In August 2011, IHF traded between $10.04 and $11.88. ATM implied volatility averaged 39.5%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 7.6% (HV 20d: 47.1%). Max pain ranged from $11.80 to $12.60. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 2.44.

Notable Days

  • 2011-08-02: Highest Volume — 355 contracts
  • 2011-08-08: Largest IV spike — 82.9% change
  • 2011-08-10: Highest IV Rank — 100.0%
  • 2011-08-25: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.89$10.04$11.88$11.88$11.27
Max Pain$12.34$11.80$12.60$12.40$11.80
ATM IV39.5%25.1%68.4%37.3%39.8%
Expected Move10.7%7.2%15.5%10.7%11.4%
HV 20d47.1%22.4%57.8%22.4%57.4%
HV 60d31.6%19.6%37.2%19.6%37.1%
IV Rank47.9%21.7%100.0%41.4%49.7%
IV Percentile92.1%82.5%100.0%91.7%93.3%
Term Structure-4.5%-17.5%14.1%-2.4%-8.1%
VWIV30.9%18.5%44.5%26.9%37.4%
Skew 25d7.4%-16.7%39.3%39.3%-11.4%
Skew 10d18.0%-28.1%47.8%11.2%16.1%
Call IV 25d36.6%18.1%56.6%18.1%42.4%
Put IV 25d43.9%29.9%61.7%57.4%31.0%
Bid-Ask Spread %114.1876.11146.49104.11129.42
Gamma HHI0.140.070.320.240.10
Net GEX-52.8K-126.7K12.6K-78.7K12.6K
Net DEX3.8M1.1M6.3M2.7M1.2M
Net VEX-8.5K-12.7K-5.2K-12.7K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.440.0017.001.670.00
Total Volume112.3910355160180
Total OI10,442.6095,41013,06512,6406,420

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-08-01$11.88$12.4037.3%10.7%22.4%41.4%26.9%39.3%-2.4%-78.7K2.7M-12.7K1.67104.11N/AN/A601005,0357,605
2011-08-02$11.60$12.4028.1%8.1%23.2%26.7%18.5%-2.1%-3.6%-81.4K3.5M-12.3K6.10104.07N/AN/A503055,0957,650
2011-08-03$11.63$12.4025.1%7.2%23.0%21.7%23.8%8.0%-2.4%-73.8K3.4M-12.0K2.00102.91N/AN/A501005,0957,550
2011-08-04$11.10$12.4030.9%8.8%26.9%31.0%0.0%5.7%6.4%-83.6K4.5M-12.1K1.30113.73N/AN/A50655,0807,600
2011-08-05$11.02$12.6031.4%9.4%26.9%31.9%0.0%22.5%-3.4%-82.0K5.0M-10.5K0.06102.31N/AN/A9055,1307,655
2011-08-08$10.04$12.6057.4%12.6%40.0%73.8%0.0%-11.8%-10.1%-59.3K5.8M-7.4K0.00122.17N/AN/A0505,2107,650
2011-08-09$10.63$12.6053.1%10.8%46.7%66.9%0.0%4.0%-3.4%-70.2K5.5M-9.3K0.00133.75N/AN/A0305,2107,635
2011-08-10$10.17$12.6068.4%12.3%47.9%100.0%0.0%3.4%-7.0%-52.0K5.4M-9.0K0.00129.41N/AN/A005,2107,635
2011-08-11$10.62$12.6037.2%10.7%51.8%45.1%24.5%5.5%-8.1%-67.6K5.7M-7.7K17.00130.84N/AN/A101705,2107,635
2011-08-12$10.77$12.4034.6%9.9%52.5%40.5%0.0%14.3%-3.7%-68.0K5.4M-9.0K0.0081.99N/AN/A005,2207,805
2011-08-15$11.10$12.4030.1%8.6%54.3%32.5%0.0%13.7%-0.6%-76.3K5.3M-8.5K0.0089.20N/AN/A005,2207,805
2011-08-16$11.02$12.4037.8%10.8%54.1%46.1%0.0%15.6%-9.3%-82.5K5.0M-9.5K0.00138.30N/AN/A0505,2207,770
2011-08-17$10.96$12.4028.7%8.2%54.0%30.1%32.3%11.2%-1.5%-66.2K5.6M-7.4K0.0091.69N/AN/A0605,2207,820
2011-08-18$10.52$12.4037.1%10.6%53.8%44.9%44.5%17.8%-3.7%-93.1K6.2M-6.0K0.0076.11N/AN/A01255,2207,780
2011-08-19$10.34$12.4040.0%11.5%53.5%50.1%0.0%17.3%-5.8%-126.7K6.3M-5.5K0.0076.29N/AN/A005,2207,845
2011-08-22$10.30$12.4025.4%7.3%53.5%24.2%31.8%6.4%14.1%-26.2K2.2M-5.2K0.00114.84N/AN/A6002,2003,210
2011-08-23$10.69$12.4034.2%9.8%56.3%39.9%0.0%-16.7%-0.6%-22.1K1.9M-6.6K0.00108.68N/AN/A25002,2603,210
2011-08-24$10.85$12.4039.6%11.4%56.2%49.4%0.0%3.7%-3.0%-14.8K1.7M-7.0K0.00134.91N/AN/A002,5103,210
2011-08-25$10.60$12.4054.0%15.5%56.4%74.7%38.6%14.8%-10.3%-11.6K1.8M-7.0K0.00125.72N/AN/A31502,5103,210
2011-08-26$10.83$11.8043.1%12.4%57.4%55.5%0.0%5.1%-1.8%2.5K1.5M-7.7K0.00131.63N/AN/A5002,8253,210
2011-08-29$11.18$11.8048.7%14.0%57.8%65.4%0.0%2.2%-17.5%3.7K1.2M-7.9K0.80137.55N/AN/A1251002,8753,210
2011-08-30$11.28$11.8045.7%13.1%57.4%60.1%0.0%0.9%-17.2%3.6K1.1M-8.3K2.86146.49N/AN/A351002,9753,310
2011-08-31$11.27$11.8039.8%11.4%57.4%49.7%37.4%-11.4%-8.1%12.6K1.2M-8.0K0.00129.42N/AN/A18003,0103,410