IHF Options History — August 2012

In August 2012, IHF traded between $12.40 and $13.38. ATM implied volatility averaged 15.4%, placing in the 6.3% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 1.8% (HV 20d: 17.3%). Max pain ranged from $12.60 to $12.80. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2012-08-31: Highest Volume — 490 contracts
  • 2012-08-02: Largest IV drop — 47.8% change
  • 2012-08-01: Highest IV Rank — 29.8%
  • 2012-08-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.98$12.40$13.38$12.47$13.34
Max Pain$12.65$12.60$12.80$12.80$12.80
ATM IV15.4%10.6%32.7%32.7%14.2%
Expected Move4.7%4.0%9.4%9.4%4.1%
HV 20d17.3%11.4%20.6%19.3%11.4%
HV 60d18.6%16.9%19.7%19.0%16.9%
IV Rank6.3%0.0%29.8%29.8%5.1%
IV Percentile13.0%0.0%80.6%80.6%4.4%
Term Structure0.5%-25.1%3.6%-25.1%1.5%
VWIV15.0%14.4%15.9%15.5%14.4%
Skew 25d3.5%-28.9%7.5%-28.9%4.0%
Skew 10d5.6%-5.9%10.9%3.1%4.2%
Call IV 25d15.1%10.2%49.4%49.4%11.9%
Put IV 25d18.6%16.0%33.9%20.6%16.0%
Bid-Ask Spread %94.7681.98144.44123.6194.29
Gamma HHI0.130.080.200.080.13
Net GEX12.9K-20.9K59.2K-8.1K2.8K
Net DEX46.2K-224.5K459.6K376.4K-80.0K
Net VEX-2.5K-2.9K-2.1K-2.8K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.004.440.004.44
Total Volume32.17404900490
Total OI1,863.6961,0852,4752,3701,095

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$12.47$12.8032.7%9.4%19.3%29.8%0.0%-28.9%-25.1%-8.1K376.4K-2.8K0.00123.61N/AN/A001,0601,310
2012-08-02$12.40$12.8017.1%4.9%19.3%7.2%0.0%6.3%1.7%-16.1K458.9K-2.6K0.0096.48N/AN/A0501,0601,310
2012-08-03$12.52$12.8015.7%4.5%19.6%5.2%0.0%2.5%1.6%-9.2K370.9K-2.7K0.00102.46N/AN/A001,0601,360
2012-08-06$12.44$12.6014.6%4.8%17.8%3.7%15.5%4.2%2.4%-20.9K459.6K-2.4K0.0082.67N/AN/A5001,0601,360
2012-08-07$12.67$12.6015.3%4.9%19.3%4.6%0.0%5.4%1.5%7.4K229.5K-2.7K0.0084.93N/AN/A001,1101,360
2012-08-08$12.93$12.6014.5%4.6%20.6%3.5%0.0%4.2%2.2%33.7K-30.2K-2.9K0.0081.98N/AN/A001,1101,360
2012-08-09$12.92$12.6012.7%4.6%20.5%0.8%0.0%4.4%2.1%35.3K-13.9K-2.8K0.0085.11N/AN/A001,1101,360
2012-08-10$12.91$12.6010.6%6.0%19.6%0.0%0.0%7.5%-7.2%30.9K-12.8K-2.8K0.00144.44N/AN/A001,1101,360
2012-08-13$12.86$12.6014.8%4.4%19.6%5.9%0.0%6.5%2.1%31.2K62.7K-2.5K0.0090.78N/AN/A001,1101,360
2012-08-14$12.82$12.6014.8%4.6%19.5%5.9%0.0%4.9%2.2%29.2K91.4K-2.5K0.0092.38N/AN/A001,1101,360
2012-08-15$12.93$12.6011.3%4.3%19.7%1.0%14.5%4.3%2.9%44.8K-12.0K-2.5K0.0091.22N/AN/A501,1101,360
2012-08-16$13.04$12.6014.8%4.2%19.8%5.9%0.0%4.9%3.6%56.5K-143.5K-2.5K0.0091.44N/AN/A001,1151,360
2012-08-17$13.07$12.6014.4%4.1%19.4%5.4%0.0%4.5%3.5%59.2K-224.5K-2.5K0.0097.34N/AN/A4501,1151,330
2012-08-20$13.15$12.6013.9%4.0%18.6%4.6%0.0%6.3%2.5%892-22.5K-2.4K0.0091.27N/AN/A00525585
2012-08-21$13.15$12.6014.4%4.1%18.4%5.4%14.7%4.8%1.7%861-23.5K-2.4K0.0090.21N/AN/A100525585
2012-08-22$13.21$12.6014.5%4.1%16.1%5.5%0.0%5.2%2.0%2.7K-51.0K-2.4K0.0090.36N/AN/A50535585
2012-08-23$13.17$12.6015.2%4.4%16.2%6.5%0.0%3.7%1.9%2.6K-39.6K-2.4K0.0092.87N/AN/A00540585
2012-08-24$13.18$12.6014.6%4.2%13.9%5.7%0.0%6.6%2.1%3.1K-45.7K-2.4K0.0093.61N/AN/A00540585
2012-08-27$13.28$12.6015.4%4.4%14.0%6.9%0.0%4.5%1.6%3.8K-84.2K-2.3K0.0096.33N/AN/A400540585
2012-08-28$13.26$12.6016.0%4.6%11.6%7.6%15.9%4.7%1.4%2.5K-43.0K-2.2K0.0088.87N/AN/A010500585
2012-08-29$13.38$12.8015.7%4.5%11.7%7.2%0.0%4.9%1.9%2.6K-96.5K-2.2K0.0090.30N/AN/A250500595
2012-08-30$13.34$12.8018.2%5.2%11.6%10.7%0.0%5.2%0.6%669-64.0K-2.2K0.0086.57N/AN/A100490595
2012-08-31$13.34$12.8014.2%4.1%11.4%5.1%14.4%4.0%1.5%2.8K-80.0K-2.1K4.4494.29N/AN/A90400500595