IHF Options History — October 2012

In October 2012, IHF traded between $13.53 and $14.12. ATM implied volatility averaged 18.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 7.2% (HV 20d: 11.4%). Max pain ranged from $13.40 to $13.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2012-10-18: Highest Volume — 230 contracts
  • 2012-10-31: Largest IV spike — 119.1% change
  • 2012-10-31: Highest IV Rank — 100.0%
  • 2012-10-31: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.85$13.53$14.12$13.83$13.53
Max Pain$13.56$13.40$13.60$13.40$13.60
ATM IV18.5%14.3%41.1%15.7%41.1%
Expected Move5.4%4.1%11.8%4.5%11.8%
HV 20d11.4%9.9%13.5%11.0%13.1%
HV 60d13.2%11.6%14.6%14.6%12.0%
IV Rank25.3%9.2%100.0%10.5%100.0%
IV Percentile44.1%9.1%100.0%25.8%100.0%
Term Structure-0.4%-18.1%2.1%0.4%-18.1%
VWIV20.9%15.2%44.2%17.3%44.2%
Skew 25d3.5%1.2%7.7%1.8%1.3%
Skew 10d8.0%-1.0%14.0%3.0%6.2%
Call IV 25d17.6%9.4%56.1%14.4%56.1%
Put IV 25d21.1%16.2%57.4%16.2%57.4%
Bid-Ask Spread %80.1349.38148.6874.79148.68
Gamma HHI0.130.100.160.130.10
Net GEX20.2K7.4K44.7K7.5K7.4K
Net DEX-505.0K-679.8K-202.8K-476.4K-202.8K
Net VEX-3.7K-3.9K-3.5K-3.8K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.007.000.407.00
Total Volume38.0950230040
Total OI2,397.8572,2502,5702,2502,570

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$13.83$13.4015.7%4.5%11.0%10.5%0.0%1.8%0.4%7.5K-476.4K-3.8K0.0074.79N/AN/A009751,275
2012-10-02$13.94$13.4015.7%4.5%11.1%10.7%17.3%4.0%0.1%9.6K-532.5K-3.8K0.4069.75N/AN/A25109751,275
2012-10-03$14.05$13.4016.1%4.6%11.3%11.4%0.0%2.5%0.6%13.4K-652.7K-3.6K0.0052.58N/AN/A2009901,280
2012-10-04$14.12$13.4015.3%4.4%10.6%9.8%0.0%2.4%2.1%11.7K-667.1K-3.7K0.0049.38N/AN/A6001,0001,280
2012-10-05$14.00$13.6014.3%4.7%11.2%9.2%15.2%2.8%1.4%19.6K-631.2K-3.8K0.0075.06N/AN/A1001,0501,280
2012-10-08$13.99$13.6015.5%4.8%9.9%12.3%0.0%3.6%1.6%19.1K-631.3K-3.7K0.0070.50N/AN/A001,0601,280
2012-10-09$13.85$13.6017.5%5.3%10.6%17.3%0.0%4.0%0.8%13.3K-496.0K-3.9K0.0066.72N/AN/A001,0601,280
2012-10-10$13.83$13.6017.7%4.9%10.5%24.1%0.0%1.4%-1.0%14.1K-490.3K-3.7K0.0078.42N/AN/A001,0601,280
2012-10-11$13.97$13.6017.6%5.0%10.4%23.6%0.0%3.3%1.0%18.8K-611.7K-3.6K0.0074.67N/AN/A001,0601,280
2012-10-12$13.91$13.6023.4%6.7%10.4%43.3%0.0%7.7%-3.0%10.2K-504.1K-3.9K0.00129.89N/AN/A5001,0601,280
2012-10-15$13.99$13.6014.4%4.1%10.5%13.0%17.0%1.2%2.0%28.1K-679.8K-3.5K0.0092.92N/AN/A0101,1101,280
2012-10-16$13.97$13.6015.4%4.4%10.5%16.2%0.0%3.8%1.6%30.9K-668.2K-3.5K0.0083.83N/AN/A001,1101,285
2012-10-17$13.88$13.6017.4%5.0%10.8%24.3%21.1%4.3%-0.5%30.2K-584.5K-3.5K0.0084.48N/AN/A0101,1101,285
2012-10-18$13.89$13.6018.3%5.2%10.8%27.4%17.6%2.7%0.7%26.0K-602.3K-3.5K0.7779.30N/AN/A1301001,1101,290
2012-10-19$13.68$13.6018.5%5.3%11.9%28.0%18.5%3.9%-1.1%44.7K-391.9K-3.7K0.6084.30N/AN/A50301,2401,320
2012-10-22$13.81$13.6017.8%5.1%12.4%25.7%16.6%4.6%0.5%34.1K-501.3K-3.7K0.0079.17N/AN/A5001,2401,195
2012-10-23$13.65$13.6020.0%5.7%13.0%33.3%20.7%5.1%0.8%22.0K-304.3K-3.7K3.0062.89N/AN/A501501,2401,195
2012-10-24$13.65$13.6019.8%5.7%12.9%32.8%0.0%3.9%0.2%19.1K-308.0K-3.8K0.0070.27N/AN/A001,2701,295
2012-10-25$13.78$13.6019.0%5.4%12.5%29.7%0.0%4.8%0.1%28.5K-454.2K-3.7K0.0075.74N/AN/A001,2701,295
2012-10-26$13.58$13.6018.8%5.4%13.5%29.0%0.0%4.8%0.4%14.9K-214.9K-3.6K0.0079.49N/AN/A051,2701,295
2012-10-31$13.53$13.6041.1%11.8%13.1%100.0%44.2%1.3%-18.1%7.4K-202.8K-3.7K7.00148.68N/AN/A5351,2701,300