IHF Options History — November 2012

In November 2012, IHF traded between $12.78 and $13.84. ATM implied volatility averaged 20.0%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.9% (HV 20d: 17.1%). Max pain ranged from $13.20 to $13.80. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2012-11-13: Highest Volume — 125 contracts
  • 2012-11-02: Largest IV drop — 45.1% change
  • 2012-11-01: Highest IV Rank — 100.0%
  • 2012-11-01: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.28$12.78$13.84$13.84$13.38
Max Pain$13.52$13.20$13.80$13.60$13.40
ATM IV20.0%15.9%42.5%42.5%15.9%
Expected Move5.6%4.6%12.2%12.2%4.6%
HV 20d17.1%15.2%19.2%15.3%16.4%
HV 60d13.3%11.8%14.4%12.7%14.4%
IV Rank29.6%16.7%100.0%100.0%16.7%
IV Percentile55.9%29.8%100.0%100.0%29.8%
Term Structure-1.3%-18.2%0.9%-18.2%0.2%
VWIV18.5%14.9%19.6%19.6%14.9%
Skew 25d2.7%-2.9%5.3%2.2%2.1%
Skew 10d7.1%1.6%15.9%7.6%3.9%
Call IV 25d19.1%12.5%57.9%57.9%15.0%
Put IV 25d21.8%17.1%60.1%60.1%17.1%
Bid-Ask Spread %76.8846.86148.24148.2497.49
Gamma HHI0.140.100.370.100.10
Net GEX-12.5K-82.3K36.6K12.6K3.2K
Net DEX48.9K-543.7K854.5K-453.2K-155.9K
Net VEX-2.4K-3.6K-2.0K-3.6K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.004.001.000.00
Total Volume27.8570125015
Total OI1,983.811,0452,7852,6101,120

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$13.84$13.6042.5%12.2%15.3%100.0%0.0%2.2%-18.2%12.6K-453.2K-3.6K0.00148.24N/AN/A001,2751,335
2012-11-02$13.72$13.6023.3%6.7%15.2%39.8%0.0%-2.9%-8.7%21.5K-427.0K-3.3K0.00144.88N/AN/A001,2751,335
2012-11-05$13.83$13.2021.7%5.7%15.4%34.8%19.6%4.6%-0.2%36.6K-543.7K-3.0K1.0046.86N/AN/A551,2751,335
2012-11-06$13.70$13.8022.9%5.9%15.5%38.6%0.0%4.1%-1.0%25.3K-368.8K-3.0K0.0052.16N/AN/A2501,2801,340
2012-11-07$13.52$13.8019.8%5.6%16.1%28.9%19.1%3.4%-0.1%11.7K-181.5K-2.8K0.4552.29N/AN/A55251,2901,340
2012-11-08$13.27$13.8020.7%5.7%16.9%31.8%19.6%2.7%0.8%-15.5K164.7K-2.5K0.0051.29N/AN/A01001,2451,315
2012-11-09$13.20$13.8019.2%5.5%16.9%27.0%0.0%3.3%-0.1%-29.6K319.2K-2.5K0.0050.50N/AN/A051,2451,415
2012-11-12$13.15$13.8019.4%5.3%16.3%27.8%0.0%3.3%0.9%-40.3K449.8K-2.1K0.0054.55N/AN/A001,2451,415
2012-11-13$13.05$13.8016.9%5.4%16.4%19.7%19.4%2.0%0.7%-49.3K558.4K-2.0K4.0050.04N/AN/A251001,2451,415
2012-11-14$12.78$13.4023.7%5.6%17.1%41.0%0.0%2.9%0.8%-71.6K854.5K-2.0K0.3954.33N/AN/A90351,2701,515
2012-11-15$12.85$13.4019.9%5.7%17.4%29.2%0.0%3.7%0.5%-72.4K667.0K-2.1K0.0054.70N/AN/A2001,2301,450
2012-11-16$12.96$13.4019.1%5.5%18.0%26.7%0.0%2.2%0.5%-82.3K555.6K-2.1K0.0058.10N/AN/A001,2301,450
2012-11-19$13.17$13.4017.4%5.0%19.2%21.3%0.0%3.1%-0.2%-4.2K-563-2.1K0.3364.63N/AN/A155565480
2012-11-20$13.17$13.4016.4%4.7%18.6%18.2%0.0%2.4%0.4%-3.8K-15.8K-2.0K0.0072.11N/AN/A100580480
2012-11-21$13.20$13.4016.9%4.8%18.2%19.7%0.0%3.3%-0.6%-2.6K-28.1K-2.0K0.0093.53N/AN/A500590480
2012-11-23$13.31$13.4016.4%4.7%18.1%18.1%0.0%5.3%-0.0%2.0K-112.2K-2.2K0.0096.42N/AN/A00640480
2012-11-26$13.19$13.4017.3%5.0%18.3%21.1%0.0%3.6%-1.7%-1.1K-48.7K-2.1K0.0092.88N/AN/A00640480
2012-11-27$13.13$13.4017.2%4.9%17.9%20.8%0.0%1.6%0.0%-2.3K-33.0K-2.1K0.0091.83N/AN/A00640480
2012-11-28$13.15$13.4017.2%4.9%17.3%20.8%0.0%2.6%-0.3%-1.6K-32.3K-2.0K0.0093.92N/AN/A00640480
2012-11-29$13.37$13.4016.7%4.8%18.5%19.0%0.0%1.9%-0.7%2.3K-141.5K-2.0K0.0093.62N/AN/A00640480
2012-11-30$13.38$13.4015.9%4.6%16.4%16.7%14.9%2.1%0.2%3.2K-155.9K-2.0K0.0097.49N/AN/A150640480