IHF Options History — January 2012

In January 2012, IHF traded between $11.90 and $12.43. ATM implied volatility averaged 16.3%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 15.6%). Max pain ranged from $11.00 to $11.40. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 2.86.

Notable Days

2012-01-26: Highest Volume — 350 contracts
2012-01-30: Largest IV spike — 49.4% change
2012-01-30: Highest IV Rank — 15.3%
2012-01-30: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.25	$11.90	$12.43	$11.90	$12.33
Max Pain	$11.13	$11.00	$11.40	$11.40	$11.20
ATM IV	16.3%	12.9%	22.3%	17.5%	16.4%
Expected Move	4.9%	4.1%	6.4%	5.0%	4.7%
HV 20d	15.6%	11.5%	21.5%	20.9%	11.7%
HV 60d	23.9%	21.7%	25.7%	25.7%	21.7%
IV Rank	6.8%	1.9%	15.3%	8.5%	6.9%
IV Percentile	25.3%	3.6%	61.1%	31.7%	27.0%
Term Structure	1.1%	-4.4%	3.7%	2.3%	1.1%
VWIV	14.8%	12.8%	16.4%	16.2%	14.9%
Skew 25d	6.6%	2.2%	10.9%	7.3%	3.7%
Skew 10d	5.0%	2.9%	11.4%	3.8%	4.3%
Call IV 25d	12.6%	9.9%	15.0%	11.2%	13.3%
Put IV 25d	19.2%	15.6%	24.5%	18.5%	16.9%
Bid-Ask Spread %	106.72	94.23	121.02	101.02	120.86
Gamma HHI	0.18	0.11	0.27	0.11	0.20
Net GEX	63.7K	49.3K	78.6K	53.3K	71.2K
Net DEX	-1.4M	-1.7M	-1.0M	-1.1M	-1.3M
Net VEX	-3.9K	-4.9K	-3.1K	-4.3K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.86	0.00	16.67	0.00	0.00
Total Volume	62	0	350	0	50
Total OI	4,412.5	4,135	4,905	4,135	4,905

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-01-03	$11.90	$11.40	17.5%	5.0%	20.9%	8.5%	0.0%	7.3%	2.3%	53.3K	-1.1M	-4.3K	0.00	101.02	N/A	N/A	0	0	2,055	2,080
2012-01-04	$11.91	$11.40	15.1%	4.3%	20.8%	5.0%	0.0%	8.3%	2.8%	56.1K	-1.1M	-4.2K	0.00	100.51	N/A	N/A	0	0	2,055	2,080
2012-01-05	$12.03	$11.40	15.1%	4.3%	21.1%	5.0%	0.0%	3.7%	3.1%	62.3K	-1.2M	-3.9K	0.00	100.89	N/A	N/A	0	0	2,055	2,080
2012-01-06	$12.20	$11.00	12.9%	6.0%	21.5%	1.9%	16.2%	9.4%	-4.4%	57.8K	-1.5M	-3.8K	0.00	105.33	N/A	N/A	20	0	2,055	2,080
2012-01-09	$12.19	$11.00	15.3%	5.1%	18.0%	5.2%	0.0%	6.4%	0.9%	66.8K	-1.5M	-3.4K	0.00	94.23	N/A	N/A	0	0	2,075	2,080
2012-01-10	$12.26	$11.00	15.1%	5.0%	17.6%	5.0%	0.0%	6.8%	1.6%	69.3K	-1.6M	-3.2K	4.00	99.40	N/A	N/A	50	200	2,075	2,080
2012-01-11	$12.29	$11.00	13.6%	5.0%	16.5%	2.8%	0.0%	8.6%	1.3%	62.5K	-1.6M	-4.0K	0.00	99.21	N/A	N/A	0	0	2,125	2,280
2012-01-12	$12.19	$11.00	17.9%	5.1%	16.1%	9.0%	0.0%	5.5%	1.5%	63.9K	-1.4M	-4.0K	0.00	98.26	N/A	N/A	0	0	2,125	2,280
2012-01-13	$12.16	$11.00	17.6%	5.0%	15.6%	8.6%	0.0%	10.9%	2.2%	64.5K	-1.4M	-4.1K	0.00	98.05	N/A	N/A	0	0	2,125	2,280
2012-01-17	$12.31	$11.00	17.5%	5.0%	15.7%	8.4%	0.0%	7.8%	1.7%	65.1K	-1.6M	-3.7K	0.00	101.83	N/A	N/A	0	0	2,125	2,280
2012-01-18	$12.40	$11.00	17.0%	4.9%	15.8%	7.7%	0.0%	9.9%	2.4%	66.2K	-1.7M	-3.5K	0.00	100.88	N/A	N/A	5	0	2,125	2,280
2012-01-19	$12.36	$11.00	14.8%	4.2%	15.4%	4.5%	0.0%	5.9%	2.9%	75.7K	-1.7M	-3.2K	0.00	106.14	N/A	N/A	0	0	2,120	2,280
2012-01-20	$12.35	$11.00	14.3%	4.1%	12.5%	3.8%	13.4%	5.8%	3.7%	78.6K	-1.7M	-3.1K	1.50	106.15	N/A	N/A	100	150	2,120	2,280
2012-01-23	$12.35	$11.20	19.4%	5.6%	12.5%	11.3%	16.4%	10.1%	-0.8%	55.5K	-1.3M	-3.9K	16.67	110.21	N/A	N/A	15	250	1,940	2,380
2012-01-24	$12.38	$11.20	15.6%	4.5%	11.8%	5.7%	0.0%	2.3%	1.6%	63.7K	-1.2M	-3.9K	0.00	119.31	N/A	N/A	0	0	1,955	2,575
2012-01-25	$12.43	$11.20	17.2%	4.9%	11.8%	8.0%	0.0%	2.2%	-0.2%	61.9K	-1.3M	-3.8K	0.00	121.02	N/A	N/A	0	0	1,955	2,575
2012-01-26	$12.24	$11.20	17.2%	4.9%	13.3%	8.1%	0.0%	2.9%	0.8%	54.6K	-1.1M	-4.0K	0.75	117.67	N/A	N/A	200	150	1,955	2,575
2012-01-27	$12.36	$11.20	14.9%	4.3%	11.5%	4.8%	12.8%	3.0%	2.3%	75.5K	-1.3M	-4.5K	0.00	117.81	N/A	N/A	5	0	2,155	2,725
2012-01-30	$12.26	$11.20	22.3%	6.4%	11.8%	15.3%	14.9%	10.8%	-3.7%	49.3K	-1.0M	-4.9K	0.00	115.68	N/A	N/A	45	0	2,155	2,725
2012-01-31	$12.33	$11.20	16.4%	4.7%	11.7%	6.9%	0.0%	3.7%	1.1%	71.2K	-1.3M	-4.7K	0.00	120.86	N/A	N/A	0	50	2,180	2,725