IHF Options History — June 2012

In June 2012, IHF traded between $11.93 and $13.01. ATM implied volatility averaged 23.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 3.0% (HV 20d: 20.0%). Max pain ranged from $11.40 to $13.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.27.

Notable Days

  • 2012-06-25: Highest Volume — 1,390 contracts
  • 2012-06-29: Largest IV spike — 38.1% change
  • 2012-06-29: Highest IV Rank — 24.2%
  • 2012-06-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.53$11.93$13.01$11.93$13.01
Max Pain$12.06$11.40$13.00$12.60$13.00
ATM IV23.0%19.3%28.9%27.5%28.9%
Expected Move6.9%5.5%8.3%7.9%8.3%
HV 20d20.0%16.6%22.2%17.4%19.9%
HV 60d18.6%17.5%19.5%17.7%19.5%
IV Rank15.8%10.4%24.2%22.2%24.2%
IV Percentile54.1%38.1%74.2%71.0%74.2%
Term Structure-0.1%-17.1%1.9%1.1%-17.1%
VWIV22.5%18.7%26.1%26.1%19.0%
Skew 25d7.5%2.9%9.7%9.6%3.1%
Skew 10d12.4%-3.0%31.7%17.6%31.7%
Call IV 25d20.0%16.1%23.4%23.0%18.2%
Put IV 25d27.5%21.4%32.5%32.5%21.4%
Bid-Ask Spread %62.6444.89119.6488.98119.64
Gamma HHI0.270.130.720.180.18
Net GEX40.1K-5.2K199.3K-1.9K36.1K
Net DEX224.7K-475.3K853.4K828.2K-475.3K
Net VEX-5.3K-7.9K-4.2K-4.9K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.270.004.652.860.00
Total Volume190.95201,390080
Total OI3,344.7622,2354,9353,1754,935

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$11.93$12.6027.5%7.9%17.4%22.2%0.0%9.6%1.1%-1.9K828.2K-4.9K0.0088.98N/AN/A001,4301,745
2012-06-04$11.93$11.4026.6%7.9%16.6%21.0%0.0%9.0%0.5%-5.2K853.4K-4.6K0.0046.83N/AN/A001,4301,745
2012-06-05$12.13$11.4024.9%7.5%17.9%18.5%0.0%9.4%0.9%11.1K667.3K-4.9K2.8645.73N/AN/A351001,4301,745
2012-06-06$12.39$11.4021.9%7.1%19.5%14.2%0.0%8.7%1.0%39.5K325.9K-5.2K0.0045.51N/AN/A001,4651,845
2012-06-07$12.29$11.4021.3%6.9%19.1%13.2%0.0%9.4%1.0%30.0K526.5K-4.9K0.0048.39N/AN/A001,4651,845
2012-06-08$12.49$11.4020.7%6.8%20.0%12.4%0.0%8.0%1.2%62.1K211.2K-5.1K0.0047.71N/AN/A001,4651,845
2012-06-11$12.32$11.4023.0%7.3%20.6%15.8%26.1%9.7%-0.8%38.3K516.6K-4.7K0.0049.46N/AN/A1001,4651,845
2012-06-12$12.45$11.4019.7%7.2%20.8%11.0%0.0%9.1%0.5%85.3K334.0K-4.7K0.0044.89N/AN/A001,4751,845
2012-06-13$12.39$11.4022.7%7.4%20.7%15.3%0.0%9.7%1.4%59.8K433.6K-4.6K0.0052.48N/AN/A001,4751,845
2012-06-14$12.59$11.4024.5%7.0%21.3%17.9%22.6%8.3%0.6%144.4K36.8K-4.7K0.0051.78N/AN/A3501,4751,845
2012-06-15$12.65$11.4023.4%6.7%20.8%16.3%24.0%9.0%0.8%199.3K-179.1K-4.5K0.8058.57N/AN/A50401,4651,795
2012-06-18$12.71$11.4020.2%5.8%19.8%11.7%21.6%7.8%0.2%249187.3K-4.2K0.0068.08N/AN/A0458401,395
2012-06-19$12.85$12.6019.9%5.7%18.6%11.3%0.0%6.4%1.4%-1.1K97.4K-4.2K0.0063.17N/AN/A16008401,440
2012-06-20$12.81$12.6019.3%5.5%18.6%10.4%18.7%7.4%1.9%4.1K53.1K-4.7K0.5959.56N/AN/A2551501,0001,440
2012-06-21$12.54$12.8025.7%7.4%20.5%19.6%22.2%9.4%-1.2%5.7K247.4K-5.3K0.0099.01N/AN/A12501,2551,590
2012-06-22$12.75$12.8021.7%6.2%21.0%13.8%21.3%8.5%0.9%24.5K68.3K-5.2K1.5854.47N/AN/A1302051,3801,440
2012-06-25$12.51$12.8023.2%6.6%22.2%16.0%23.6%3.5%1.9%14.0K253.2K-5.4K0.9488.14N/AN/A7156751,5101,595
2012-06-26$12.61$12.8023.5%6.7%22.0%16.5%25.5%4.5%0.4%33.4K171.0K-7.0K1.8356.44N/AN/A601102,1752,120
2012-06-27$12.78$12.8024.4%7.0%21.8%17.8%24.2%4.9%-0.5%38.6K-140.4K-7.5K3.2353.01N/AN/A1103552,2252,220
2012-06-28$12.96$13.0020.9%6.0%21.9%12.7%21.1%2.9%1.4%24.7K-296.7K-7.9K4.6573.55N/AN/A1004652,2802,575
2012-06-29$13.01$13.0028.9%8.3%19.9%24.2%19.0%3.1%-17.1%36.1K-475.3K-7.7K0.00119.64N/AN/A8002,3402,595