IHF Options History — January 2013

In January 2013, IHF traded between $13.65 and $14.68. ATM implied volatility averaged 12.9%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 1.3% (HV 20d: 14.3%). Max pain ranged from $13.00 to $13.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2013-01-02: Highest Volume — 250 contracts
  • 2013-01-04: Largest IV drop — 17.4% change
  • 2013-01-03: Highest IV Rank — 14.6%
  • 2013-01-03: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.20$13.65$14.68$13.88$14.52
Max Pain$13.04$13.00$13.40$13.40$13.00
ATM IV12.9%11.4%15.3%14.6%13.1%
Expected Move3.8%3.3%4.4%4.2%3.7%
HV 20d14.3%12.3%15.1%12.3%12.9%
HV 60d14.9%13.9%15.4%14.6%13.9%
IV Rank7.3%2.5%14.6%12.7%7.8%
IV Percentile6.1%0.8%25.0%14.7%7.9%
Term Structure2.0%-0.2%5.2%1.2%1.5%
VWIV13.5%12.4%14.4%12.4%13.1%
Skew 25d5.1%3.0%7.5%6.9%3.0%
Skew 10d4.1%2.3%10.2%4.2%2.8%
Call IV 25d10.2%7.6%13.1%9.9%11.9%
Put IV 25d15.3%13.7%17.4%16.8%14.9%
Bid-Ask Spread %98.5385.81106.0499.77102.70
Gamma HHI0.140.110.170.110.17
Net GEX59.2K30.1K70.1K39.6K68.6K
Net DEX-919.5K-1.2M-440.6K-615.1K-1.1M
Net VEX-2.9K-3.3K-2.5K-3.0K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.001.000.670.00
Total Volume32.14302502500
Total OI1,810.7141,6251,9951,6351,625

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$13.88$13.4014.6%4.2%12.3%12.7%0.0%6.9%1.2%39.6K-615.1K-3.0K0.6799.77N/AN/A1501001,130505
2013-01-03$13.68$13.4015.3%4.4%13.6%14.6%0.0%4.5%0.8%30.1K-440.6K-3.3K0.00104.32N/AN/A10001,230605
2013-01-04$13.74$13.0012.6%4.2%13.6%6.3%0.0%4.3%1.8%32.7K-510.6K-3.2K0.0085.81N/AN/A6001,230605
2013-01-07$13.80$13.0011.5%4.3%13.7%2.8%0.0%3.9%1.9%48.7K-598.7K-3.0K0.0086.40N/AN/A01051,280605
2013-01-08$13.65$13.0012.6%4.1%14.1%6.2%0.0%4.4%2.0%38.9K-456.4K-2.9K1.0097.84N/AN/A50501,280610
2013-01-09$13.83$13.0013.9%3.9%14.8%10.2%12.4%5.8%2.0%54.5K-630.7K-3.3K0.0095.60N/AN/A2501,330660
2013-01-10$13.98$13.0012.9%3.7%15.1%7.3%0.0%7.5%3.3%63.9K-829.4K-3.2K0.0097.56N/AN/A001,330660
2013-01-11$13.96$13.0013.8%3.9%15.1%9.9%14.4%6.0%2.9%64.0K-850.4K-3.2K0.0099.55N/AN/A501,330660
2013-01-14$14.03$13.0012.4%3.6%15.0%5.8%0.0%3.2%5.2%68.5K-907.9K-3.1K0.00106.04N/AN/A001,335660
2013-01-15$14.14$13.0013.5%3.9%15.1%9.2%14.0%6.3%1.9%67.6K-989.5K-3.1K0.0094.12N/AN/A2501,335660
2013-01-16$14.12$13.0012.8%3.7%14.8%6.9%0.0%4.5%2.4%70.1K-1.0M-3.1K0.0096.81N/AN/A001,335660
2013-01-17$14.34$13.0012.8%3.7%15.1%7.0%0.0%5.6%2.5%66.3K-1.2M-3.0K0.0095.58N/AN/A001,335660
2013-01-18$14.37$13.0011.4%3.3%14.3%2.5%0.0%4.2%4.0%69.5K-1.2M-3.0K0.00100.59N/AN/A001,335660
2013-01-22$14.58$13.0011.9%3.4%14.8%4.2%13.1%4.9%1.7%66.4K-1.1M-2.7K0.0098.38N/AN/A501,170455
2013-01-23$14.49$13.0012.3%3.5%14.9%5.2%0.0%6.3%1.9%69.8K-1.1M-2.8K0.00102.06N/AN/A001,170455
2013-01-24$14.60$13.0012.6%3.6%14.7%6.4%0.0%4.8%0.7%65.4K-1.1M-2.7K0.0099.69N/AN/A001,170455
2013-01-25$14.68$13.0012.7%3.6%14.3%6.5%0.0%5.9%-0.2%62.2K-1.2M-2.7K0.00103.16N/AN/A001,170455
2013-01-28$14.66$13.0013.2%3.8%14.2%8.1%0.0%5.7%1.2%63.2K-1.2M-2.6K0.0099.59N/AN/A001,170455
2013-01-29$14.64$13.0012.7%3.6%13.6%6.5%0.0%4.8%1.1%65.8K-1.2M-2.5K0.00102.34N/AN/A001,170455
2013-01-30$14.57$13.0013.1%3.8%13.3%7.8%0.0%5.1%1.3%66.5K-1.1M-2.6K0.00101.31N/AN/A001,170455
2013-01-31$14.52$13.0013.1%3.7%12.9%7.8%0.0%3.0%1.5%68.6K-1.1M-2.6K0.00102.70N/AN/A001,170455