IHF Options History — November 2011

In November 2011, IHF traded between $10.87 and $11.86. ATM implied volatility averaged 28.9%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.1% (HV 20d: 26.8%). Max pain ranged from $11.40 to $11.60. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 19.98.

Notable Days

  • 2011-11-17: Highest Volume — 1,275 contracts
  • 2011-11-09: Largest IV spike — 74.2% change
  • 2011-11-09: Highest IV Rank — 38.9%
  • 2011-11-25: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.44$10.87$11.86$11.27$11.84
Max Pain$11.55$11.40$11.60$11.60$11.40
ATM IV28.9%22.0%38.8%30.5%22.0%
Expected Move8.1%6.3%10.8%8.7%6.3%
HV 20d26.8%23.9%29.8%27.4%29.8%
HV 60d31.9%30.0%36.6%36.6%31.7%
IV Rank24.8%14.9%38.9%27.1%14.9%
IV Percentile72.9%61.9%87.7%76.2%61.9%
Term Structure-0.4%-4.5%2.8%-2.2%0.8%
VWIV26.9%20.5%36.6%24.5%20.5%
Skew 25d10.4%3.2%17.8%11.3%10.2%
Skew 10d12.1%-8.0%25.3%21.8%14.4%
Call IV 25d24.2%13.3%50.3%25.0%13.3%
Put IV 25d34.6%23.5%55.7%36.3%23.5%
Bid-Ask Spread %96.3359.18150.65108.2291.96
Gamma HHI0.160.100.230.110.10
Net GEX33.2K-42.8K89.5K23.5K45.8K
Net DEX-306.9K-1.4M515.2K409.0K-994.3K
Net VEX-8.6K-10.0K-7.1K-10.0K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.980.00254.000.000.05
Total Volume156.42901,2750105
Total OI8,391.9055,32011,3909,3405,520

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$11.27$11.6030.5%8.7%27.4%27.1%0.0%11.3%-2.2%23.5K409.0K-10.0K0.00108.22N/AN/A004,6504,690
2011-11-02$11.40$11.6029.5%8.5%27.4%25.7%0.0%11.5%-2.6%28.4K121.3K-9.7K0.00101.60N/AN/A004,6504,690
2011-11-03$11.45$11.6027.4%7.9%26.2%22.6%0.0%9.7%-0.8%37.2K-34.1K-9.5K0.00106.70N/AN/A25004,6504,690
2011-11-04$11.46$11.4026.6%7.4%25.8%21.5%24.5%9.4%0.9%54.8K-239.5K-9.5K0.0069.03N/AN/A1004,9004,690
2011-11-07$11.62$11.4033.5%7.2%24.2%31.4%23.7%17.8%0.7%52.8K-574.5K-9.3K2.0085.08N/AN/A10204,9104,690
2011-11-08$11.82$11.4022.3%7.7%24.5%15.3%30.5%11.0%-0.9%64.2K-1.3M-8.2K0.63116.48N/AN/A1601004,9204,710
2011-11-09$11.48$11.6038.8%8.5%27.2%38.9%0.0%11.3%0.9%50.9K-353.5K-9.2K0.0059.18N/AN/A004,9304,810
2011-11-10$11.65$11.6026.9%7.7%27.3%21.9%0.0%10.7%2.8%68.8K-762.2K-8.6K15.0072.14N/AN/A101504,9304,810
2011-11-11$11.86$11.6025.3%7.3%27.4%19.7%24.7%9.6%2.2%58.5K-1.4M-8.2K0.8771.34N/AN/A1501304,9404,960
2011-11-14$11.82$11.6026.6%7.6%26.1%21.5%31.6%10.5%1.7%79.6K-1.3M-8.3K0.8397.33N/AN/A30255,0805,090
2011-11-15$11.80$11.6025.8%7.4%26.2%20.4%23.8%7.5%0.7%79.8K-1.3M-8.0K25.0096.23N/AN/A102505,0505,110
2011-11-16$11.46$11.6025.7%7.4%28.9%20.3%23.5%10.9%2.8%85.8K-320.7K-8.5K12.50103.28N/AN/A202505,0605,300
2011-11-17$11.32$11.6032.3%9.3%29.4%29.7%36.6%12.3%-2.5%89.5K82.6K-8.0K254.00119.88N/AN/A51,2705,0805,055
2011-11-18$11.37$11.6032.4%9.3%28.4%29.9%0.0%14.1%-4.1%40.6K260.2K-9.2K5.00131.23N/AN/A15755,0856,305
2011-11-21$11.19$11.6033.5%9.6%26.9%31.3%0.0%8.1%-4.5%-24.6K125.7K-8.7K0.00120.71N/AN/A3502,1853,135
2011-11-22$11.15$11.6027.8%8.0%26.6%23.2%0.0%8.2%-0.1%-27.6K162.2K-8.6K0.0075.00N/AN/A002,2203,135
2011-11-23$10.95$11.6028.4%8.1%25.7%24.1%32.1%7.3%0.1%-42.8K436.3K-8.4K1.6775.51N/AN/A15252,2203,135
2011-11-25$10.87$11.6037.7%10.8%23.9%37.4%0.0%3.2%-2.3%-37.6K515.2K-8.5K0.00150.65N/AN/A002,2303,145
2011-11-28$11.23$11.6027.9%8.0%27.0%23.3%24.9%10.4%-1.4%-24.7K75.4K-8.0K0.0984.53N/AN/A110102,2303,145
2011-11-29$11.32$11.4026.3%7.6%26.9%21.1%26.5%12.3%-0.5%-6.3K-149.9K-8.0K2.0086.91N/AN/A15302,3403,155
2011-11-30$11.84$11.4022.0%6.3%29.8%14.9%20.5%10.2%0.8%45.8K-994.3K-7.1K0.0591.96N/AN/A10052,3503,170