IHF Options History — September 2011

In September 2011, IHF traded between $10.30 and $11.25. ATM implied volatility averaged 47.6%, placing in the 54.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 10.6% (HV 20d: 37.0%). Max pain ranged from $9.60 to $11.20. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-09-12: Highest Volume — 2,400 contracts
  • 2011-09-08: Largest IV spike — 129.7% change
  • 2011-09-08: Highest IV Rank — 100.0%
  • 2011-09-13: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.82$10.30$11.25$11.16$10.30
Max Pain$10.18$9.60$11.20$11.20$10.20
ATM IV47.6%31.5%81.4%42.8%40.5%
Expected Move10.8%8.6%12.5%12.3%11.6%
HV 20d37.0%30.8%55.7%54.9%32.7%
HV 60d38.6%37.0%39.8%37.2%39.8%
IV Rank54.2%30.0%100.0%55.0%41.4%
IV Percentile92.2%84.9%100.0%94.4%92.9%
Term Structure-2.3%-9.3%4.8%-8.1%1.2%
VWIV37.6%29.0%48.5%45.6%48.5%
Skew 25d7.1%-14.2%21.2%-13.2%16.6%
Skew 10d15.4%-5.9%31.4%5.5%28.2%
Call IV 25d34.8%18.9%69.4%69.4%33.5%
Put IV 25d41.9%31.9%56.2%56.2%50.0%
Bid-Ask Spread %94.4554.17143.88141.5498.35
Gamma HHI0.100.070.200.090.08
Net GEX15.1K-3.5K42.9K17.4K-3.5K
Net DEX1.2M251.2K2.0M1.2M2.0M
Net VEX-10.5K-12.7K-7.4K-8.1K-11.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0012.000.000.00
Total Volume235.23802,40090100
Total OI8,2656,5459,8506,5459,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-09-01$11.16$11.2042.8%12.3%54.9%55.0%0.0%-13.2%-8.1%17.4K1.2M-8.1K0.00141.54N/AN/A9003,1353,410
2011-09-02$10.87$11.2033.3%9.5%55.7%38.3%0.0%11.5%-1.6%20.2K1.5M-7.4K0.00110.59N/AN/A003,1853,410
2011-09-06$10.83$10.2060.1%11.2%43.8%85.5%45.6%2.3%-8.3%5.7K1.3M-8.4K0.00143.88N/AN/A0503,1853,410
2011-09-07$11.25$9.6031.5%8.6%41.2%35.1%0.0%11.5%1.5%21.3K1.1M-7.8K0.0067.95N/AN/A003,1853,460
2011-09-08$11.06$9.6072.4%9.4%38.1%100.0%0.0%17.6%-0.1%23.3K1.3M-7.4K12.0093.40N/AN/A101203,1853,460
2011-09-09$10.68$9.6079.7%11.8%37.6%100.0%0.0%14.5%-9.3%8.2K1.6M-7.9K0.00133.48N/AN/A02003,1953,580
2011-09-12$10.76$9.6080.8%12.5%37.4%100.0%40.1%-4.1%-2.6%14.8K1.7M-8.1K1.0987.20N/AN/A1,1501,2503,1953,780
2011-09-13$10.96$10.2081.4%12.5%36.4%100.0%0.0%-14.2%-5.7%10.8K1.2M-12.0K0.0086.23N/AN/A18004,3204,880
2011-09-14$11.03$10.2070.3%10.2%36.4%84.2%31.2%10.8%-0.3%23.2K892.6K-12.1K0.0077.16N/AN/A45004,5004,880
2011-09-15$11.20$10.2033.6%9.6%36.7%31.5%0.0%10.5%-1.4%34.8K331.3K-12.7K0.0081.84N/AN/A0804,9004,880
2011-09-16$11.24$10.2033.2%9.5%33.1%31.0%29.0%10.5%0.2%42.9K251.2K-12.6K0.0084.87N/AN/A7504,9004,950
2011-09-19$11.09$10.2032.5%9.3%32.9%30.0%31.1%12.3%-0.4%8.4K584.8K-12.1K0.0054.55N/AN/A26504,1554,405
2011-09-20$10.97$10.2032.5%9.3%33.2%30.0%0.0%11.7%-0.3%19.3K653.6K-12.0K0.0054.17N/AN/A004,3804,405
2011-09-21$10.62$10.2035.6%10.2%32.9%34.4%0.0%-2.0%-3.0%10.8K1.1M-12.0K0.00128.19N/AN/A004,3804,405
2011-09-22$10.36$10.2040.0%11.5%33.4%40.6%0.0%21.2%4.8%5.3K1.5M-11.8K0.0084.86N/AN/A004,3804,405
2011-09-23$10.45$10.2039.6%11.4%32.6%40.1%0.0%12.5%0.5%5.6K1.5M-11.1K0.0088.03N/AN/A0404,3804,405
2011-09-26$10.67$10.2039.0%11.2%32.5%39.3%48.5%11.3%-8.1%11.4K1.1M-11.4K1.36116.56N/AN/A55754,3804,315
2011-09-27$10.82$10.2041.2%11.8%30.8%42.4%0.0%-11.4%0.0%14.6K776.3K-11.6K0.50100.55N/AN/A2001004,3904,330
2011-09-28$10.46$10.2040.3%11.6%32.5%41.2%0.0%11.4%-2.7%14.0K1.5M-10.8K0.0059.63N/AN/A004,5754,430
2011-09-29$10.47$10.2038.7%11.1%32.5%38.8%0.0%7.8%-3.8%9.5K1.4M-11.2K0.0090.32N/AN/A04504,5754,430
2011-09-30$10.30$10.2040.5%11.6%32.7%41.4%0.0%16.6%1.2%-3.5K2.0M-11.8K0.0098.35N/AN/A10004,5754,880