IHF Options History — December 2011

In December 2011, IHF traded between $11.21 and $11.93. ATM implied volatility averaged 21.8%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 5.8% (HV 20d: 27.6%). Max pain ranged from $10.60 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2011-12-12: Highest Volume — 105 contracts
  • 2011-12-29: Largest IV spike — 23.5% change
  • 2011-12-08: Highest IV Rank — 23.8%
  • 2011-12-08: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.62$11.21$11.93$11.80$11.77
Max Pain$11.25$10.60$12.00$11.40$11.40
ATM IV21.8%17.3%28.2%24.0%18.3%
Expected Move6.2%5.0%7.5%6.9%5.3%
HV 20d27.6%20.8%29.9%29.7%20.8%
HV 60d29.1%26.1%30.8%30.8%26.1%
IV Rank14.6%8.2%23.8%17.8%9.7%
IV Percentile53.6%29.4%71.0%65.1%38.1%
Term Structure1.7%-2.3%5.0%-0.8%4.6%
VWIV20.7%17.9%23.1%21.6%19.6%
Skew 25d6.7%3.9%9.5%5.2%6.9%
Skew 10d9.9%3.1%17.5%6.5%3.6%
Call IV 25d17.6%13.3%22.5%19.7%13.3%
Put IV 25d24.3%19.5%29.6%24.8%20.2%
Bid-Ask Spread %82.3651.95151.8292.8398.60
Gamma HHI0.120.090.280.090.11
Net GEX43.1K1.1K70.5K50.4K45.8K
Net DEX-675.6K-1.1M-90.1K-1.0M-941.0K
Net VEX-5.9K-7.2K-4.7K-7.1K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.004.000.670.00
Total Volume29.5240105250
Total OI4,972.3813,9205,7555,5154,135

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$11.80$11.4024.0%6.9%29.7%17.8%0.0%5.2%-0.8%50.4K-1.0M-7.1K0.6792.83N/AN/A15102,3453,170
2011-12-02$11.70$11.4025.7%7.4%29.9%20.2%21.6%5.0%-2.3%42.0K-826.6K-7.2K0.0089.16N/AN/A1502,3603,175
2011-12-05$11.75$10.6024.5%6.6%29.9%18.5%23.1%7.8%1.3%54.7K-917.7K-6.8K0.1056.78N/AN/A5052,3753,175
2011-12-06$11.73$10.6023.4%6.5%29.6%16.9%0.0%8.1%1.2%59.5K-924.5K-6.9K0.0058.43N/AN/A052,4253,180
2011-12-07$11.78$10.6025.9%6.9%29.0%20.5%22.8%7.3%1.3%65.3K-996.7K-6.8K0.0053.75N/AN/A2002,4253,185
2011-12-08$11.43$10.6028.2%7.5%29.1%23.8%0.0%7.1%0.8%31.6K-478.5K-7.0K0.0051.95N/AN/A0202,4453,185
2011-12-09$11.60$10.6022.1%6.6%29.1%15.1%0.0%8.2%1.6%67.4K-707.1K-6.6K0.0065.24N/AN/A002,4453,195
2011-12-12$11.44$10.6024.6%6.8%28.6%18.7%0.0%6.9%1.3%43.8K-421.9K-6.3K2.5071.31N/AN/A30752,4453,195
2011-12-13$11.30$10.6019.6%6.3%28.8%11.5%19.1%7.6%1.8%42.8K-182.3K-6.1K4.0074.96N/AN/A10402,4453,265
2011-12-14$11.21$12.0023.2%6.9%28.9%16.6%0.0%7.2%1.1%20.4K-90.1K-6.0K0.0073.94N/AN/A002,4553,300
2011-12-15$11.32$12.0021.4%6.1%27.3%14.0%0.0%6.7%1.9%47.0K-171.5K-5.9K0.0081.16N/AN/A002,4553,300
2011-12-16$11.37$12.0021.9%6.3%27.0%14.7%0.0%5.9%2.2%70.5K-254.8K-5.9K0.0079.96N/AN/A052,4553,300
2011-12-19$11.28$12.0023.0%6.6%27.1%16.4%21.7%6.9%1.6%1.1K-186.6K-5.7K0.0072.03N/AN/A9501,8452,075
2011-12-20$11.61$11.4019.9%5.7%28.3%11.9%19.8%9.5%5.0%22.1K-602.0K-5.6K0.5087.13N/AN/A1051,9402,075
2011-12-21$11.68$11.4018.5%5.3%28.3%9.9%17.9%5.5%3.2%27.4K-678.5K-5.3K0.0081.58N/AN/A5501,9502,080
2011-12-22$11.84$11.4018.6%5.3%27.5%10.1%19.6%5.8%2.1%39.3K-935.9K-5.1K0.0084.08N/AN/A5502,0002,080
2011-12-23$11.91$11.4017.7%5.1%27.2%8.8%0.0%6.5%3.5%45.5K-1.0M-5.1K0.0099.08N/AN/A002,0552,080
2011-12-27$11.93$11.4018.0%5.2%25.2%9.2%0.0%6.4%1.4%48.7K-1.1M-4.8K0.00101.20N/AN/A002,0552,080
2011-12-28$11.72$11.4017.3%5.0%26.2%8.2%0.0%5.4%2.3%39.9K-832.5K-5.1K0.00104.65N/AN/A002,0552,080
2011-12-29$11.81$11.4021.4%6.1%20.8%14.0%0.0%3.9%1.6%39.5K-948.4K-5.0K0.00151.82N/AN/A01002,0552,080
2011-12-30$11.77$11.4018.3%5.3%20.8%9.7%0.0%6.9%4.6%45.8K-941.0K-4.7K0.0098.60N/AN/A002,0552,080