IHF Options History — December 2012

In December 2012, IHF traded between $13.36 and $13.93. ATM implied volatility averaged 16.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 4.0% (HV 20d: 12.3%). Max pain ranged from $13.00 to $13.40. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.88.

Notable Days

  • 2012-12-21: Highest Volume — 215 contracts
  • 2012-12-17: Largest IV drop — 18.9% change
  • 2012-12-28: Highest IV Rank — 24.3%
  • 2012-12-28: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.63$13.36$13.93$13.36$13.69
Max Pain$13.18$13.00$13.40$13.40$13.40
ATM IV16.3%13.6%18.4%16.8%17.7%
Expected Move4.7%3.9%5.3%4.8%5.1%
HV 20d12.3%9.8%16.2%16.2%11.6%
HV 60d14.1%13.7%14.4%14.4%14.4%
IV Rank17.8%9.5%24.3%19.3%22.2%
IV Percentile36.0%5.2%64.3%37.7%57.5%
Term Structure0.7%-0.3%1.8%0.8%0.1%
VWIV16.9%16.4%17.5%16.4%17.5%
Skew 25d3.8%1.0%7.2%3.0%3.7%
Skew 10d9.0%2.2%15.2%2.2%14.7%
Call IV 25d14.8%11.9%16.8%15.6%16.0%
Put IV 25d18.6%16.1%20.1%18.6%19.7%
Bid-Ask Spread %86.4476.72104.4386.3290.46
Gamma HHI0.120.100.180.110.11
Net GEX14.4K18530.8K4.3K30.8K
Net DEX-336.0K-599.8K-141.8K-159.9K-441.3K
Net VEX-2.2K-3.1K-1.8K-2.0K-3.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.880.0013.331.090.00
Total Volume50.7502151150
Total OI1,284.51,1151,6351,1351,635

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$13.36$13.4016.8%4.8%16.2%19.3%0.0%3.0%0.8%4.3K-159.9K-2.0K1.0986.32N/AN/A5560655480
2012-12-04$13.37$13.4016.5%4.7%15.8%18.5%0.0%1.0%1.0%185-141.8K-2.0K0.0091.93N/AN/A00615500
2012-12-05$13.41$13.4016.0%4.6%15.6%16.9%0.0%1.9%1.0%992-152.7K-1.9K0.0092.13N/AN/A00615500
2012-12-06$13.43$13.4016.5%4.7%15.0%18.4%0.0%7.2%0.4%1.5K-158.9K-1.9K0.0090.98N/AN/A00615500
2012-12-07$13.52$13.0015.0%4.6%13.5%13.9%0.0%4.5%1.0%4.1K-215.0K-1.9K0.0076.72N/AN/A00615500
2012-12-10$13.58$13.0014.9%4.9%13.4%13.4%0.0%4.4%0.7%7.2K-250.4K-1.8K0.0076.93N/AN/A500615500
2012-12-11$13.67$13.0015.7%4.7%13.3%15.9%0.0%2.6%1.0%13.8K-324.1K-1.9K0.0078.30N/AN/A00665500
2012-12-12$13.71$13.0015.3%4.4%12.8%14.6%16.4%2.7%0.6%15.4K-351.2K-1.9K0.1081.07N/AN/A505665500
2012-12-13$13.64$13.0016.7%4.8%10.0%19.2%0.0%3.5%0.8%16.7K-356.8K-2.0K0.0077.88N/AN/A00715505
2012-12-14$13.61$13.0016.8%4.8%10.2%19.4%0.0%3.4%0.7%12.2K-338.3K-2.0K0.0081.36N/AN/A00715505
2012-12-17$13.75$13.0013.6%3.9%10.3%9.5%16.8%3.8%0.7%25.4K-423.5K-1.8K0.55104.43N/AN/A10055715505
2012-12-18$13.93$13.0015.3%4.4%9.8%14.9%0.0%4.1%0.6%26.3K-599.8K-1.8K0.0084.40N/AN/A05805560
2012-12-19$13.76$13.0017.4%5.0%11.0%21.4%0.0%4.7%0.4%8.7K-398.0K-1.9K0.0081.20N/AN/A2000730560
2012-12-20$13.89$13.0017.1%4.9%11.3%20.2%0.0%4.3%1.1%22.7K-570.0K-2.5K0.0081.10N/AN/A010930560
2012-12-21$13.81$13.0014.7%4.2%11.4%12.9%17.5%4.2%1.8%18.8K-491.8K-2.5K13.33101.41N/AN/A15200930570
2012-12-24$13.73$13.4017.0%4.9%11.1%20.0%0.0%5.2%0.6%22.0K-395.0K-2.7K0.0083.95N/AN/A00920505
2012-12-26$13.64$13.4017.0%4.9%11.2%20.0%0.0%4.3%0.3%20.4K-360.0K-2.6K0.0089.80N/AN/A00920505
2012-12-27$13.62$13.4017.6%5.0%11.3%21.9%0.0%4.9%-0.3%20.3K-330.3K-2.6K0.0086.36N/AN/A100920505
2012-12-28$13.50$13.4018.4%5.3%10.5%24.3%0.0%3.3%1.1%16.3K-261.4K-2.6K0.0092.15N/AN/A2000930505
2012-12-31$13.69$13.4017.7%5.1%11.6%22.2%0.0%3.7%0.1%30.8K-441.3K-3.1K0.0090.46N/AN/A001,130505