IHF Options History — February 2012

In February 2012, IHF traded between $12.35 and $13.02. ATM implied volatility averaged 16.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.8% (HV 20d: 14.4%). Max pain ranged from $11.20 to $12.60. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.29.

Notable Days

2012-02-22: Highest Volume — 255 contracts
2012-02-09: Largest IV spike — 14.9% change
2012-02-10: Highest IV Rank — 11.0%
2012-02-10: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.71	$12.35	$13.02	$12.61	$12.94
Max Pain	$12.22	$11.20	$12.60	$11.20	$12.60
ATM IV	16.2%	13.9%	19.3%	15.8%	14.9%
Expected Move	4.7%	4.2%	5.5%	4.5%	4.3%
HV 20d	14.4%	13.0%	15.0%	13.5%	13.4%
HV 60d	19.9%	15.6%	22.2%	22.1%	15.7%
IV Rank	6.6%	3.3%	11.0%	6.1%	4.7%
IV Percentile	26.4%	9.9%	46.8%	23.8%	16.7%
Term Structure	2.5%	1.5%	4.2%	1.5%	2.4%
VWIV	15.3%	14.6%	15.7%	14.6%	15.6%
Skew 25d	5.7%	3.7%	7.7%	5.0%	4.7%
Skew 10d	10.4%	5.6%	15.4%	6.7%	6.5%
Call IV 25d	13.3%	11.0%	15.4%	12.1%	12.5%
Put IV 25d	19.0%	16.8%	22.3%	17.1%	17.2%
Bid-Ask Spread %	73.80	52.17	86.90	86.90	86.06
Gamma HHI	0.27	0.13	0.46	0.25	0.19
Net GEX	61.6K	1.9K	119.3K	78.1K	21.0K
Net DEX	-1.1M	-2.0M	-231.5K	-1.6M	-355.9K
Net VEX	-4.0K	-4.6K	-3.6K	-4.6K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.43	0.10	0.00
Total Volume	34	0	255	0	0
Total OI	4,030.5	2,055	4,965	4,955	2,405

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
2012-02-01	$12.61	$11.20	15.8%	4.5%	13.5%	6.1%	0.0%	5.0%	1.5%	78.1K	-1.6M	-4.6K	0.00	86.90	N/A	N/A	0	0	2,180	2,775
2012-02-02	$12.54	$11.20	14.5%	4.2%	13.9%	4.1%	14.6%	4.6%	1.6%	86.5K	-1.5M	-4.6K	0.10	52.17	N/A	N/A	50	5	2,180	2,775
2012-02-03	$12.57	$0.00	13.9%	4.5%	13.6%	3.3%	0.0%	5.0%	2.3%	90.2K	-1.6M	-4.5K	0.00	66.56	N/A	N/A	0	0	2,180	2,780
2012-02-06	$12.35	$0.00	16.0%	4.9%	14.6%	6.2%	0.0%	5.2%	2.0%	85.1K	-1.2M	-4.4K	0.00	60.56	N/A	N/A	0	0	2,180	2,780
2012-02-07	$12.47	$0.00	15.0%	4.8%	15.0%	4.9%	15.7%	7.7%	1.7%	104.9K	-1.4M	-4.2K	0.00	67.01	N/A	N/A	155	0	2,180	2,780
2012-02-08	$12.50	$12.20	15.4%	4.9%	14.9%	5.5%	0.0%	5.8%	2.6%	99.0K	-1.4M	-4.3K	0.00	64.12	N/A	N/A	0	0	2,170	2,780
2012-02-09	$12.49	$12.20	17.7%	5.1%	14.9%	8.7%	0.0%	5.9%	2.6%	100.1K	-1.4M	-4.3K	0.00	70.23	N/A	N/A	0	0	2,170	2,780
2012-02-10	$12.47	$12.20	19.3%	5.5%	14.6%	11.0%	0.0%	6.9%	3.0%	92.9K	-1.4M	-4.4K	0.00	63.55	N/A	N/A	20	0	2,170	2,780
2012-02-13	$12.59	$12.20	17.8%	5.1%	14.8%	9.0%	0.0%	5.9%	2.2%	119.3K	-1.6M	-4.0K	0.00	72.81	N/A	N/A	0	0	2,180	2,780
2012-02-14	$12.74	$12.20	17.2%	4.9%	14.8%	8.0%	0.0%	5.8%	2.9%	100.0K	-1.8M	-3.9K	0.00	77.61	N/A	N/A	0	0	2,180	2,780
2012-02-15	$12.74	$12.20	18.3%	5.2%	14.7%	9.6%	0.0%	6.8%	3.1%	97.8K	-1.8M	-3.9K	0.00	69.11	N/A	N/A	0	0	2,180	2,780
2012-02-16	$12.86	$12.20	17.1%	4.9%	14.9%	7.9%	0.0%	6.2%	4.2%	53.2K	-2.0M	-3.7K	0.00	81.40	N/A	N/A	5	0	2,180	2,780
2012-02-17	$12.81	$12.20	16.5%	4.7%	15.0%	7.0%	0.0%	6.0%	4.1%	38.1K	-2.0M	-3.7K	0.00	85.33	N/A	N/A	0	0	2,185	2,780
2012-02-21	$12.81	$12.20	16.6%	4.8%	15.0%	7.2%	15.0%	5.2%	2.4%	1.9K	-234.4K	-3.6K	0.50	75.04	N/A	N/A	100	50	710	1,345
2012-02-22	$12.80	$12.60	16.2%	4.6%	15.0%	6.6%	15.5%	5.4%	2.4%	7.1K	-231.5K	-3.7K	1.43	72.79	N/A	N/A	105	150	810	1,395
2012-02-23	$12.84	$12.60	15.3%	4.4%	15.0%	5.3%	0.0%	3.7%	2.5%	7.9K	-262.3K	-3.7K	0.00	85.18	N/A	N/A	0	0	870	1,495
2012-02-24	$12.96	$12.60	14.6%	4.2%	13.8%	4.3%	0.0%	5.4%	2.0%	12.8K	-329.3K	-3.7K	0.00	78.68	N/A	N/A	0	0	870	1,495
2012-02-27	$12.99	$12.60	15.6%	4.5%	13.6%	5.8%	15.6%	5.9%	2.5%	14.1K	-368.3K	-3.6K	0.00	79.71	N/A	N/A	40	0	870	1,495
2012-02-28	$13.02	$12.60	16.0%	4.6%	13.0%	6.3%	0.0%	7.4%	2.0%	22.4K	-400.4K	-3.6K	0.00	81.23	N/A	N/A	0	0	910	1,495
2012-02-29	$12.94	$12.60	14.9%	4.3%	13.4%	4.7%	0.0%	4.7%	2.4%	21.0K	-355.9K	-3.6K	0.00	86.06	N/A	N/A	0	0	910	1,495