IHF Options History — July 2012

In July 2012, IHF traded between $12.42 and $13.23. ATM implied volatility averaged 18.0%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.4% (HV 20d: 18.3%). Max pain ranged from $12.60 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 1.35.

Notable Days

  • 2012-07-20: Highest Volume — 450 contracts
  • 2012-07-20: Largest IV spike — 65.2% change
  • 2012-07-20: Highest IV Rank — 17.8%
  • 2012-07-20: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.87$12.42$13.23$12.92$12.47
Max Pain$12.74$12.60$13.00$13.00$12.80
ATM IV18.0%14.8%24.5%16.3%18.9%
Expected Move5.2%4.2%7.0%4.7%5.4%
HV 20d18.3%15.9%20.2%20.2%19.4%
HV 60d18.6%18.1%19.5%19.5%19.0%
IV Rank8.5%3.9%17.8%6.0%9.8%
IV Percentile26.8%5.6%59.1%16.3%37.3%
Term Structure1.9%-1.5%7.3%2.8%-0.3%
VWIV17.7%13.8%19.8%17.3%18.5%
Skew 25d5.9%3.5%9.3%4.0%3.7%
Skew 10d6.9%-0.8%15.6%4.3%-0.1%
Call IV 25d16.0%11.3%28.7%14.4%16.1%
Put IV 25d21.9%17.3%38.0%18.4%19.9%
Bid-Ask Spread %93.7377.50148.8196.1693.42
Gamma HHI0.180.080.350.170.08
Net GEX31.8K-12.5K111.0K39.3K-7.6K
Net DEX-186.8K-1.3M435.4K-261.2K373.5K
Net VEX-4.9K-7.3K-2.8K-7.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.008.001.003.33
Total Volume85.95204502000
Total OI3,929.2862,3404,9754,9752,370

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$12.92$13.0016.3%4.7%20.2%6.0%17.3%4.0%2.8%39.3K-261.2K-7.3K1.0096.16N/AN/A1001002,3802,595
2012-07-03$12.83$13.0018.6%5.3%19.9%9.4%0.0%3.5%-0.5%38.9K-7.7K-6.9K0.0097.13N/AN/A002,3452,500
2012-07-05$12.82$13.0017.5%5.0%18.8%7.8%16.7%6.1%0.5%38.8K63.6K-6.6K0.0097.56N/AN/A20002,3452,500
2012-07-06$12.73$12.6017.1%5.2%18.7%7.2%0.0%5.9%1.5%14.0K435.4K-6.2K0.0081.97N/AN/A2502,2002,500
2012-07-09$13.00$12.6018.6%5.5%19.3%9.3%19.0%6.8%2.2%34.5K-300.7K-6.3K0.0079.64N/AN/A1502,1752,500
2012-07-10$12.95$12.6018.8%5.7%18.5%9.6%0.0%6.8%1.7%30.2K-177.2K-6.3K0.0077.50N/AN/A002,1852,500
2012-07-11$13.01$12.6017.9%5.4%18.3%8.4%0.0%6.1%2.2%39.1K-417.1K-6.0K0.0082.19N/AN/A002,1852,500
2012-07-12$12.93$12.6018.7%5.4%18.4%9.6%0.0%6.7%1.8%29.8K-126.5K-5.8K1.0084.28N/AN/A25252,1852,500
2012-07-13$13.15$12.6017.2%4.9%18.5%7.4%19.8%5.4%2.1%60.9K-872.7K-5.5K1.5487.07N/AN/A651002,1752,500
2012-07-16$13.11$12.6017.8%5.1%18.5%8.2%0.0%5.3%2.2%67.6K-770.5K-5.2K0.0088.61N/AN/A1502,1902,400
2012-07-17$13.17$12.6015.4%4.4%18.5%4.8%0.0%4.8%7.3%36.9K-769.9K-5.4K0.00130.83N/AN/A002,1902,400
2012-07-18$13.23$12.6016.7%4.8%18.3%6.7%0.0%5.1%3.0%111.0K-1.3M-4.5K0.0093.63N/AN/A5002,1902,400
2012-07-19$13.13$12.8014.8%4.2%18.5%3.9%0.0%6.0%3.6%79.7K-885.9K-4.4K0.0094.50N/AN/A01402,1602,350
2012-07-20$12.98$12.8024.5%7.0%17.1%17.8%18.6%9.3%1.9%26.9K-270.9K-4.1K8.00148.81N/AN/A504002,1602,455
2012-07-23$12.78$12.8017.0%4.9%17.2%7.1%13.8%4.4%3.6%29.1K44.7K-3.8K0.0081.59N/AN/A40001,3351,325
2012-07-24$12.71$12.8018.9%5.4%15.9%9.9%0.0%5.8%1.2%2.8K173.0K-3.5K0.0079.32N/AN/A001,0451,325
2012-07-25$12.43$12.8019.4%5.6%17.6%10.6%18.5%5.4%2.2%-12.5K413.9K-3.1K3.3388.75N/AN/A15501,0451,325
2012-07-26$12.42$12.8016.7%4.8%16.8%6.6%0.0%8.9%2.4%-11.2K414.1K-2.9K0.0095.52N/AN/A0301,0601,280
2012-07-27$12.73$12.8017.6%5.1%18.4%8.0%0.0%7.8%-0.8%9.4K155.0K-3.3K0.0094.91N/AN/A001,0601,310
2012-07-30$12.71$12.8018.7%5.4%18.4%9.5%0.0%5.8%-1.5%9.2K169.6K-3.1K0.0094.88N/AN/A001,0601,310
2012-07-31$12.47$12.8018.9%5.4%19.4%9.8%0.0%3.7%-0.3%-7.6K373.5K-2.8K0.0093.42N/AN/A001,0601,310