IHF Options History — March 2012

In March 2012, IHF traded between $12.59 and $13.38. ATM implied volatility averaged 15.7%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.8% (HV 20d: 13.0%). Max pain ranged from $12.60 to $13.20. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-03-22: Highest Volume — 440 contracts
  • 2012-03-15: Largest IV spike — 34.4% change
  • 2012-03-29: Highest IV Rank — 10.4%
  • 2012-03-06: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.95$12.59$13.38$12.97$13.38
Max Pain$12.79$12.60$13.20$12.60$12.60
ATM IV15.7%12.1%18.8%14.4%18.2%
Expected Move4.7%3.8%5.5%4.1%5.2%
HV 20d13.0%10.8%15.9%11.0%15.9%
HV 60d14.2%13.1%16.1%15.5%13.6%
IV Rank6.0%0.7%10.4%4.0%9.5%
IV Percentile26.6%0.8%50.4%14.7%46.4%
Term Structure2.0%0.4%4.9%2.6%0.8%
VWIV15.9%8.4%21.1%13.0%21.1%
Skew 25d5.7%1.3%9.2%4.0%6.0%
Skew 10d8.5%2.9%15.7%3.1%4.7%
Call IV 25d13.0%10.0%15.3%12.5%14.8%
Put IV 25d18.8%15.3%23.9%16.6%20.8%
Bid-Ask Spread %88.5758.94144.1879.2682.89
Gamma HHI0.200.130.320.190.20
Net GEX53.1K-5.0K127.7K22.6K93.9K
Net DEX-640.2K-1.7M-54.6K-370.9K-1.7M
Net VEX-3.6K-4.5K-2.8K-3.5K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.005.560.000.00
Total Volume96.81804401050
Total OI2,759.0912,3253,6802,4053,680

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$12.97$12.6014.4%4.1%11.0%4.0%0.0%4.0%2.6%22.6K-370.9K-3.5K0.0079.26N/AN/A1009101,495
2012-03-02$12.87$12.6014.3%4.1%11.1%3.8%0.0%5.5%3.1%18.0K-311.6K-3.5K0.0081.79N/AN/A009201,495
2012-03-05$12.81$0.0014.8%4.7%11.3%4.6%0.0%3.0%2.7%9.6K-271.8K-3.2K0.00144.18N/AN/A009201,495
2012-03-06$12.59$0.0017.7%5.5%11.2%8.7%0.0%8.6%1.6%-5.0K-54.6K-3.5K0.0058.94N/AN/A009201,495
2012-03-07$12.67$0.0017.7%4.6%10.8%8.7%0.0%3.1%0.4%1.4K-190.6K-3.0K0.00127.57N/AN/A509201,495
2012-03-08$12.83$0.0015.0%5.0%11.6%4.9%0.0%9.2%2.2%13.0K-268.7K-3.3K0.0064.90N/AN/A009201,495
2012-03-09$12.95$0.0013.2%4.6%11.9%2.4%0.0%6.5%3.1%27.0K-367.7K-3.2K0.0060.91N/AN/A009201,495
2012-03-12$12.80$0.0014.2%4.9%12.8%3.7%0.0%6.6%2.2%231-255.1K-3.1K0.0069.14N/AN/A009201,495
2012-03-13$12.97$0.0013.2%4.5%13.2%2.3%13.0%6.0%2.2%30.8K-422.4K-2.8K0.0079.42N/AN/A2009201,495
2012-03-14$13.04$13.2012.1%4.8%12.7%0.7%15.8%7.2%2.5%54.5K-477.7K-2.8K0.0072.26N/AN/A20009401,495
2012-03-15$13.06$12.8016.3%4.7%12.6%6.7%0.0%6.1%2.7%81.8K-619.8K-3.1K0.0079.38N/AN/A001,1401,495
2012-03-16$13.08$12.8016.3%4.7%12.3%6.7%0.0%6.7%2.9%89.9K-645.3K-3.0K0.0080.85N/AN/A8001,1401,495
2012-03-19$13.09$12.8017.3%4.9%12.1%8.1%18.3%8.1%1.5%25.4K-550.9K-2.9K0.3268.89N/AN/A3151009301,395
2012-03-20$12.89$12.8017.4%5.0%13.4%8.4%8.4%7.7%1.1%28.6K-507.1K-3.8K0.0078.30N/AN/A20001,0951,495
2012-03-21$12.89$12.8017.3%4.9%13.4%8.1%17.2%7.4%1.3%43.1K-564.0K-4.0K0.0083.66N/AN/A15001,2951,495
2012-03-22$12.81$12.8015.1%4.3%13.5%5.0%14.9%2.3%2.7%59.1K-562.9K-4.0K0.00134.06N/AN/A44001,4451,495
2012-03-23$12.80$12.8013.4%3.8%13.1%2.6%0.0%1.3%4.9%123.1K-795.4K-4.5K0.00138.82N/AN/A001,8851,495
2012-03-26$13.09$12.8016.7%4.8%15.3%7.4%0.0%6.4%0.7%113.0K-1.3M-4.4K0.0078.13N/AN/A001,8751,495
2012-03-27$13.04$12.8015.0%4.3%15.4%4.8%16.6%1.5%1.3%127.7K-1.2M-4.2K0.00128.83N/AN/A1501,8751,495
2012-03-28$13.06$12.8018.1%5.2%15.2%9.3%18.1%6.6%1.7%107.3K-1.2M-4.5K0.0081.04N/AN/A25001,8751,495
2012-03-29$13.24$12.8018.8%5.4%15.9%10.4%21.1%6.6%0.6%102.1K-1.5M-4.4K5.5675.39N/AN/A452501,9601,495
2012-03-30$13.38$12.6018.2%5.2%15.9%9.5%0.0%6.0%0.8%93.9K-1.7M-4.4K0.0082.89N/AN/A5001,9851,695