IHF Options History — May 2012

In May 2012, IHF traded between $11.88 and $12.98. ATM implied volatility averaged 22.7%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 5.8% (HV 20d: 16.9%). Max pain ranged from $12.60 to $13.40. Net GEX was positive for 6 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2012-05-22: Highest Volume — 600 contracts
  • 2012-05-30: Largest IV spike — 26.4% change
  • 2012-05-18: Highest IV Rank — 22.2%
  • 2012-05-18: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.38$11.88$12.98$12.98$12.19
Max Pain$13.07$12.60$13.40$12.60$12.60
ATM IV22.7%17.5%27.5%17.5%24.5%
Expected Move6.5%5.0%7.9%5.0%7.0%
HV 20d16.9%12.9%20.2%19.0%17.1%
HV 60d16.4%15.3%17.5%15.8%17.2%
IV Rank15.3%7.9%22.2%7.9%17.9%
IV Percentile57.1%34.5%70.6%34.5%62.7%
Term Structure1.4%0.3%3.7%0.4%1.6%
VWIV22.3%10.3%30.4%10.3%22.7%
Skew 25d8.1%4.8%10.7%5.8%4.8%
Skew 10d15.6%5.6%21.3%11.3%16.2%
Call IV 25d18.3%13.0%22.1%14.4%22.1%
Put IV 25d26.5%20.2%30.8%20.2%26.9%
Bid-Ask Spread %80.3970.48100.2697.1884.54
Gamma HHI0.260.120.340.230.26
Net GEX-84.0K-186.3K30.9K-59.1K18.8K
Net DEX948.1K93.3K2.2M99.6K517.7K
Net VEX-5.1K-6.1K-3.8K-6.1K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.0012.500.0012.50
Total Volume89.773060025135
Total OI4,074.5451,9104,9304,7853,050

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$12.98$12.6017.5%5.0%19.0%7.9%10.3%5.8%0.4%-59.1K99.6K-6.1K0.0097.18N/AN/A2501,3403,445
2012-05-02$12.97$12.6018.1%5.2%18.8%8.6%0.0%7.7%0.3%-60.7K93.3K-6.1K0.0097.38N/AN/A001,3403,445
2012-05-03$12.73$12.6018.3%5.2%19.6%8.9%0.0%6.9%0.8%-107.3K604.0K-6.0K3.00100.26N/AN/A10301,3053,445
2012-05-04$12.50$13.4018.8%5.6%20.2%9.7%21.4%4.8%2.0%-139.2K1.1M-5.9K0.0081.85N/AN/A02601,3153,475
2012-05-07$12.54$13.4020.4%5.9%18.5%12.0%0.0%8.6%1.3%-147.4K1.0M-5.8K0.0070.48N/AN/A001,3153,585
2012-05-08$12.61$13.4021.4%6.2%17.9%13.4%24.3%7.7%1.3%-136.0K841.1K-5.8K0.0070.60N/AN/A3001,3153,585
2012-05-09$12.44$13.4022.7%6.3%18.0%15.3%0.0%6.9%1.5%-156.9K1.2M-5.6K0.0070.90N/AN/A001,3453,585
2012-05-10$12.44$13.4022.0%6.3%16.9%14.3%0.0%7.9%1.5%-165.4K1.2M-5.4K0.0074.89N/AN/A001,3453,585
2012-05-11$12.42$13.4022.7%6.5%16.6%15.2%0.0%8.2%1.1%-169.6K1.2M-5.3K0.0072.41N/AN/A001,3453,585
2012-05-14$12.33$13.4023.5%6.7%16.6%16.5%0.0%9.5%0.6%-186.3K1.5M-4.8K0.0073.36N/AN/A001,3453,585
2012-05-15$12.26$13.4025.2%7.2%13.9%18.9%0.0%9.0%1.2%-175.6K1.7M-4.5K0.0077.66N/AN/A001,3453,585
2012-05-16$12.19$13.4024.7%7.1%13.8%18.2%0.0%9.4%1.3%-141.7K1.8M-4.3K0.0079.00N/AN/A001,3453,585
2012-05-17$12.07$13.4026.2%7.5%12.9%20.4%27.0%10.7%1.3%-112.4K2.0M-4.0K0.0079.71N/AN/A0501,3453,585
2012-05-18$11.88$13.4027.5%7.9%13.3%22.2%0.0%8.9%1.4%-138.4K2.2M-3.8K0.0083.25N/AN/A02451,3453,585
2012-05-21$12.16$13.4023.3%6.7%16.6%16.1%0.0%8.5%1.5%-38.4K839.6K-3.9K0.0078.65N/AN/A11504551,455
2012-05-22$12.13$13.4023.9%6.9%16.6%17.0%20.3%8.3%1.2%-33.5K787.3K-4.1K0.0080.01N/AN/A60005701,455
2012-05-23$12.12$12.6023.5%6.7%16.4%16.4%0.0%8.3%1.4%4.1K635.1K-4.8K0.0079.69N/AN/A25001,1201,455
2012-05-24$12.23$12.6024.5%7.0%16.9%17.9%30.4%8.5%2.0%20.4K439.9K-5.4K0.0076.47N/AN/A0801,3701,455
2012-05-25$12.32$12.6022.7%6.5%17.2%15.3%0.0%9.9%1.7%21.5K379.2K-5.5K0.0078.09N/AN/A0451,3701,535
2012-05-29$12.45$12.6021.0%6.0%17.2%12.9%22.7%8.5%3.7%30.9K263.0K-5.5K0.6783.98N/AN/A60401,3701,580
2012-05-30$12.28$12.6026.6%7.6%17.0%20.9%0.0%9.8%0.5%23.4K431.6K-5.4K0.0078.19N/AN/A001,4301,620
2012-05-31$12.19$12.6024.5%7.0%17.1%17.9%0.0%4.8%1.6%18.8K517.7K-5.1K12.5084.54N/AN/A101251,4301,620