IHF Options History — September 2012

In September 2012, IHF traded between $13.34 and $13.77. ATM implied volatility averaged 14.4%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 4.8% (HV 20d: 9.7%). Max pain ranged from $13.40 to $13.40. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 5.49.

Notable Days

2012-09-10: Highest Volume — 490 contracts
2012-09-19: Largest IV spike — 35.7% change
2012-09-19: Highest IV Rank — 16.5%
2012-09-19: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.59	$13.34	$13.77	$13.41	$13.72
Max Pain	$13.40	$13.40	$13.40	$13.40	$13.40
ATM IV	14.4%	12.2%	18.5%	14.7%	14.3%
Expected Move	4.2%	3.5%	5.3%	4.2%	4.1%
HV 20d	9.7%	7.8%	10.9%	10.9%	10.8%
HV 60d	15.6%	14.4%	16.6%	16.6%	14.6%
IV Rank	7.0%	2.3%	16.5%	5.8%	7.7%
IV Percentile	11.8%	1.2%	46.4%	9.5%	9.1%
Term Structure	1.4%	0.2%	2.3%	1.0%	2.2%
VWIV	15.2%	15.2%	15.2%	15.2%	15.2%
Skew 25d	3.6%	2.4%	5.4%	5.4%	3.2%
Skew 10d	7.1%	2.1%	12.2%	7.6%	4.2%
Call IV 25d	12.5%	10.5%	14.0%	11.3%	12.7%
Put IV 25d	16.1%	12.9%	18.4%	16.7%	16.0%
Bid-Ask Spread %	86.34	49.79	122.97	96.23	79.52
Gamma HHI	0.15	0.12	0.21	0.17	0.13
Net GEX	-17.2K	-41.3K	2.3K	-25.9K	681
Net DEX	-200.3K	-493.2K	203.8K	13.1K	-301.4K
Net VEX	-4.0K	-5.1K	-2.3K	-2.6K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	5.49	0.00	34.00	34.00	0.00
Total Volume	86.579	0	490	0	20
Total OI	2,227.632	1,535	2,710	1,535	2,265

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2012-09-04	$13.41	$13.40	14.7%	4.2%	10.9%	5.8%	0.0%	5.4%	1.0%	-25.9K	13.1K	-2.6K	0.00	96.23	N/A	N/A	0	0	590	945
2012-09-05	$13.43	$13.40	14.9%	4.3%	9.3%	6.0%	0.0%	4.7%	0.2%	-27.5K	-12.2K	-2.5K	0.00	96.52	N/A	N/A	0	0	590	945
2012-09-06	$13.61	$13.40	12.7%	3.6%	7.8%	3.0%	0.0%	2.4%	0.4%	-22.8K	-189.0K	-2.3K	0.00	99.54	N/A	N/A	0	0	590	945
2012-09-07	$13.61	$13.40	12.3%	3.8%	7.8%	2.3%	0.0%	4.4%	0.6%	-23.2K	-189.0K	-2.3K	34.00	89.70	N/A	N/A	5	170	590	945
2012-09-10	$13.44	$13.40	15.3%	4.6%	9.5%	6.7%	15.2%	4.4%	1.3%	-41.3K	122.9K	-2.8K	1.45	49.79	N/A	N/A	200	290	595	1,115
2012-09-11	$13.38	$13.40	15.0%	4.5%	9.4%	6.3%	0.0%	4.6%	0.9%	-35.7K	138.8K	-3.4K	2.80	62.11	N/A	N/A	50	140	795	1,305
2012-09-12	$13.34	$13.40	14.9%	4.3%	9.5%	6.1%	0.0%	2.5%	1.8%	-41.2K	203.8K	-3.8K	0.38	82.71	N/A	N/A	320	120	845	1,395
2012-09-13	$13.49	$13.40	14.8%	4.2%	9.8%	7.0%	0.0%	4.0%	1.8%	-26.8K	-138.8K	-5.1K	0.00	83.73	N/A	N/A	20	0	1,140	1,515
2012-09-14	$13.59	$13.40	16.2%	4.7%	9.7%	11.7%	0.0%	4.2%	0.7%	-19.1K	-289.0K	-5.1K	0.00	81.80	N/A	N/A	0	0	1,160	1,515
2012-09-17	$13.63	$13.40	15.4%	4.4%	9.7%	10.0%	0.0%	3.7%	0.7%	-19.3K	-368.1K	-4.9K	0.31	82.29	N/A	N/A	160	50	1,160	1,515
2012-09-18	$13.69	$13.40	13.7%	3.9%	9.7%	6.4%	0.0%	3.5%	2.2%	-15.0K	-449.9K	-4.8K	0.00	88.22	N/A	N/A	0	0	1,145	1,565
2012-09-19	$13.69	$13.40	18.5%	5.3%	9.7%	16.5%	0.0%	3.8%	1.5%	-16.1K	-360.6K	-4.9K	0.00	122.97	N/A	N/A	0	0	1,145	1,565
2012-09-20	$13.66	$13.40	13.8%	4.0%	9.7%	6.7%	0.0%	3.1%	1.6%	-13.7K	-398.8K	-4.8K	0.00	88.44	N/A	N/A	0	0	1,145	1,565
2012-09-21	$13.76	$13.40	12.2%	3.5%	9.8%	3.3%	0.0%	3.6%	1.9%	1.7K	-493.2K	-4.5K	5.00	93.40	N/A	N/A	10	50	1,110	1,565
2012-09-24	$13.73	$13.40	13.1%	3.8%	9.9%	5.3%	0.0%	2.9%	1.4%	2.3K	-315.4K	-4.4K	0.00	93.08	N/A	N/A	0	0	990	1,275
2012-09-25	$13.66	$13.40	14.1%	4.0%	10.0%	7.3%	0.0%	2.4%	2.1%	-1.8K	-236.4K	-4.5K	0.00	87.65	N/A	N/A	0	40	990	1,275
2012-09-26	$13.60	$13.40	13.8%	4.0%	10.2%	6.7%	0.0%	2.6%	2.3%	-3.8K	-187.0K	-4.5K	0.00	90.53	N/A	N/A	0	0	990	1,275
2012-09-27	$13.77	$13.40	14.6%	4.2%	10.7%	8.3%	0.0%	2.9%	2.0%	2.2K	-354.7K	-4.4K	0.00	72.15	N/A	N/A	0	0	990	1,275
2012-09-28	$13.72	$13.40	14.3%	4.1%	10.8%	7.7%	0.0%	3.2%	2.2%	681	-301.4K	-4.3K	0.00	79.52	N/A	N/A	20	0	990	1,275