IHF Options History — October 2011

In October 2011, IHF traded between $9.80 and $11.74. ATM implied volatility averaged 35.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.0% (HV 20d: 33.5%). Max pain ranged from $10.20 to $11.60. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 2.75.

Notable Days

  • 2011-10-26: Highest Volume — 425 contracts
  • 2011-10-10: Largest IV spike — 44.4% change
  • 2011-10-05: Highest IV Rank — 67.6%
  • 2011-10-05: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.80$9.80$11.74$9.80$11.56
Max Pain$11.33$10.20$11.60$10.20$11.60
ATM IV35.5%21.8%58.7%51.3%27.0%
Expected Move10.0%6.2%16.8%14.7%7.7%
HV 20d33.5%24.7%36.6%35.9%24.7%
HV 60d41.8%41.0%42.4%41.0%41.1%
IV Rank34.2%14.6%67.6%56.9%22.0%
IV Percentile82.4%63.1%97.2%96.0%72.2%
Term Structure-3.2%-19.6%0.9%-2.2%-0.4%
VWIV27.8%14.6%48.7%31.6%27.9%
Skew 25d13.2%-11.9%36.6%0.4%5.4%
Skew 10d15.6%-2.4%26.3%18.6%6.2%
Call IV 25d27.9%14.8%66.4%57.2%23.6%
Put IV 25d41.1%26.6%64.0%57.6%29.0%
Bid-Ask Spread %107.4187.31144.87138.35103.31
Gamma HHI0.100.070.150.080.12
Net GEX16.7K-14.7K70.6K-9.2K33.0K
Net DEX1.1M-683.3K2.6M2.4M-362.5K
Net VEX-10.8K-12.2K-9.7K-10.8K-9.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0036.000.430.00
Total Volume90.7140425050
Total OI9,620.2388,82510,0509,5559,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$9.80$10.2051.3%14.7%35.9%56.9%0.0%0.4%-2.2%-9.2K2.4M-10.8K0.00138.35N/AN/A004,6754,880
2011-10-04$9.93$10.2043.0%12.3%36.6%45.1%31.6%12.7%0.2%-14.7K2.6M-10.2K0.43116.49N/AN/A115504,6754,880
2011-10-05$10.05$10.2058.7%16.8%33.7%67.6%0.0%-11.9%-17.0%-6.5K2.3M-10.6K0.00144.87N/AN/A504,7904,830
2011-10-06$10.34$10.2033.5%9.6%35.4%31.4%22.0%17.2%-0.3%3.0K1.9M-11.1K0.00105.99N/AN/A5004,7954,830
2011-10-07$10.27$11.6035.2%10.7%33.3%33.8%48.7%-4.2%-2.7%-2.9K2.0M-10.8K0.00108.03N/AN/A1504,7954,830
2011-10-10$10.60$11.6050.8%10.5%35.3%56.1%38.4%9.3%-2.6%21.9K1.3M-11.6K4.00126.19N/AN/A502004,7954,830
2011-10-11$10.61$11.6037.0%10.0%34.5%36.4%0.0%14.6%-3.6%15.5K1.3M-11.6K0.0087.31N/AN/A20504,8454,930
2011-10-12$10.75$11.6030.7%9.2%34.8%27.4%0.0%11.7%-2.9%28.6K1.0M-11.5K0.0090.18N/AN/A004,9454,895
2011-10-13$10.71$11.6030.2%8.7%34.3%26.7%28.3%12.4%-1.0%22.5K1.3M-11.0K36.0088.08N/AN/A51804,9454,895
2011-10-14$10.89$11.6037.2%10.7%34.8%36.6%0.0%24.6%-5.4%32.1K783.5K-12.2K0.00118.89N/AN/A004,9455,055
2011-10-17$10.67$11.6040.1%11.5%35.2%40.9%14.6%22.2%-5.0%14.6K1.2M-11.6K0.00130.53N/AN/A5004,9455,055
2011-10-18$10.74$11.6034.7%10.0%35.1%33.1%0.0%24.9%-3.3%23.4K1.2M-10.9K0.00106.72N/AN/A20004,9955,055
2011-10-19$10.71$11.6030.6%8.8%33.1%27.3%0.0%25.0%-1.2%17.3K1.4M-10.9K0.0093.56N/AN/A004,9955,055
2011-10-20$10.73$11.6030.5%8.7%31.8%27.1%0.0%22.4%-0.1%14.8K1.3M-10.8K0.0097.96N/AN/A054,9955,055
2011-10-21$10.98$11.6028.8%8.3%32.6%24.7%24.6%14.4%-0.1%70.6K892.0K-10.4K0.0088.09N/AN/A6004,9955,050
2011-10-24$11.32$11.6037.5%10.7%33.6%37.1%24.2%36.6%-19.6%-5.7K464.1K-11.0K0.00124.14N/AN/A4504,1954,630
2011-10-25$11.20$11.6036.2%10.4%33.6%35.2%27.8%9.8%-0.1%1.9K623.1K-10.4K0.0099.92N/AN/A18504,2404,630
2011-10-26$11.47$11.6028.2%8.1%31.8%23.9%29.2%8.7%-0.8%19.1K4.1K-10.4K0.8990.04N/AN/A2252004,4254,630
2011-10-27$11.74$11.6022.3%6.4%32.4%15.3%16.3%7.9%0.9%33.7K-665.1K-9.9K0.0096.87N/AN/A1004,6504,690
2011-10-28$11.73$11.6021.8%6.2%31.5%14.6%0.0%12.2%0.7%37.3K-683.3K-9.7K0.00100.13N/AN/A004,6504,690
2011-10-31$11.56$11.6027.0%7.7%24.7%22.0%27.9%5.4%-0.4%33.0K-362.5K-9.7K0.00103.31N/AN/A5004,6504,690