IHF Options History — April 2012

In April 2012, IHF traded between $12.83 and $13.58. ATM implied volatility averaged 20.2%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.1% (HV 20d: 18.1%). Max pain ranged from $12.40 to $12.60. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 5.91.

Notable Days

  • 2012-04-19: Highest Volume — 635 contracts
  • 2012-04-10: Largest IV spike — 24.3% change
  • 2012-04-10: Highest IV Rank — 19.7%
  • 2012-04-10: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.21$12.83$13.58$13.50$12.83
Max Pain$12.55$12.40$12.60$12.60$12.60
ATM IV20.2%16.4%25.7%16.9%18.4%
Expected Move5.8%4.7%7.4%4.8%5.3%
HV 20d18.1%14.1%20.5%15.9%18.8%
HV 60d15.1%13.3%16.1%13.5%15.6%
IV Rank11.7%6.1%19.7%7.5%9.1%
IV Percentile50.0%26.2%66.7%34.9%42.1%
Term Structure1.4%-0.2%3.1%1.1%1.3%
VWIV20.4%14.2%27.8%14.2%17.4%
Skew 25d8.6%6.0%10.7%9.3%9.4%
Skew 10d12.7%3.7%21.2%3.7%6.6%
Call IV 25d14.9%10.7%19.3%11.4%11.8%
Put IV 25d23.5%19.4%29.3%20.7%21.3%
Bid-Ask Spread %90.5082.72108.66108.6697.33
Gamma HHI0.200.170.260.190.26
Net GEX65.8K-85.3K137.5K94.3K-85.3K
Net DEX-1.2M-2.0M393.6K-1.9M393.6K
Net VEX-5.2K-6.3K-3.8K-3.9K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.910.0030.000.002.67
Total Volume120.250635035
Total OI4,306.753,7305,1703,7304,750

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$13.50$12.6016.9%4.8%15.9%7.5%0.0%9.3%1.1%94.3K-1.9M-3.9K0.00108.66N/AN/A002,0351,695
2012-04-03$13.58$12.6017.2%4.9%14.1%7.4%14.2%7.8%1.4%81.3K-2.0M-3.8K0.0091.10N/AN/A1502,0351,695
2012-04-04$13.45$12.6018.9%5.4%14.8%10.0%14.5%6.0%1.2%93.3K-1.8M-4.1K30.0088.53N/AN/A51502,0501,695
2012-04-05$13.46$12.6018.8%5.4%14.4%9.8%0.0%6.0%1.2%90.3K-1.8M-4.6K0.0090.33N/AN/A002,0551,845
2012-04-09$13.11$12.4020.7%6.1%17.3%12.5%0.0%9.2%1.7%112.3K-1.3M-4.9K0.0083.51N/AN/A002,0551,845
2012-04-10$12.90$12.4025.7%7.4%17.9%19.7%21.1%10.0%-0.2%104.6K-831.1K-5.2K0.5682.72N/AN/A90502,0551,845
2012-04-11$13.02$12.4022.3%6.6%17.6%14.9%27.8%9.3%1.7%125.4K-1.1M-5.1K1.6182.77N/AN/A1552502,1451,895
2012-04-12$13.22$12.4021.4%6.1%18.3%13.6%0.0%8.4%2.1%123.4K-1.5M-5.7K0.0084.89N/AN/A002,2902,145
2012-04-13$13.07$12.4023.3%6.7%18.7%16.2%26.0%9.5%1.6%124.7K-1.2M-5.9K0.0083.70N/AN/A0502,2902,145
2012-04-16$12.98$12.6022.6%6.5%18.9%15.2%0.0%9.3%2.0%137.5K-1.0M-5.7K1.0084.49N/AN/A50502,2902,195
2012-04-17$13.26$12.6021.0%6.0%20.5%12.9%0.0%8.3%2.0%125.6K-1.6M-5.2K0.0086.80N/AN/A002,2902,245
2012-04-18$13.26$12.6021.5%6.2%19.6%13.6%0.0%8.9%1.8%126.4K-1.7M-5.0K0.0088.51N/AN/A002,2902,245
2012-04-19$13.40$12.6021.4%6.1%19.8%13.4%25.9%10.7%2.7%92.9K-2.0M-4.7K0.0090.92N/AN/A06352,2902,245
2012-04-20$13.39$12.6018.6%5.3%19.6%9.4%0.0%8.5%3.1%69.9K-1.8M-5.1K0.0097.64N/AN/A02502,2902,880
2012-04-23$13.24$12.6021.4%6.1%20.2%13.5%0.0%9.6%-0.1%-17.7K-397.2K-6.2K0.0091.70N/AN/A001,3753,030
2012-04-24$13.22$12.6020.8%6.0%18.8%12.5%16.5%9.0%0.6%-15.8K-434.6K-5.9K0.0091.84N/AN/A7501,3753,030
2012-04-25$13.27$12.6018.5%5.3%18.7%9.3%0.0%6.3%0.5%-4.2K-569.6K-5.6K0.0092.47N/AN/A001,4003,030
2012-04-26$13.13$12.6016.4%4.7%19.1%6.1%17.4%7.4%1.6%-10.8K-401.8K-5.6K11.4394.94N/AN/A354001,4003,030
2012-04-27$13.01$12.6017.4%5.0%18.7%7.7%0.0%8.7%0.6%-51.5K-42.3K-6.1K2.6797.18N/AN/A30801,3103,330
2012-04-30$12.83$12.6018.4%5.3%18.8%9.1%0.0%9.4%1.3%-85.3K393.6K-6.3K0.0097.33N/AN/A0351,3403,410