IHF Options History — February 2013

In February 2013, IHF traded between $14.30 and $15.00. ATM implied volatility averaged 16.2%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.7% (HV 20d: 12.5%). Max pain ranged from $14.80 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2013-02-01: Highest Volume — 85 contracts
2013-02-06: Largest IV spike — 284.6% change
2013-02-06: Highest IV Rank — 100.0%
2013-02-06: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.71	$14.30	$15.00	$14.68	$14.52
Max Pain	$14.83	$14.80	$15.00	$15.00	$14.80
ATM IV	16.2%	12.9%	50.1%	13.0%	14.6%
Expected Move	4.3%	3.7%	7.4%	3.9%	4.2%
HV 20d	12.5%	11.6%	13.8%	11.7%	13.7%
HV 60d	13.0%	12.2%	14.1%	14.0%	12.9%
IV Rank	14.4%	5.8%	100.0%	7.5%	10.0%
IV Percentile	24.5%	7.5%	100.0%	7.9%	23.8%
Term Structure	0.1%	-8.9%	2.4%	1.0%	-0.6%
VWIV	12.3%	11.6%	13.0%	11.6%	13.0%
Skew 25d	5.2%	1.8%	8.2%	5.9%	3.1%
Skew 10d	7.6%	2.5%	14.6%	9.2%	2.7%
Call IV 25d	12.8%	8.0%	35.2%	10.5%	12.8%
Put IV 25d	18.0%	15.3%	37.0%	16.5%	16.0%
Bid-Ask Spread %	99.23	90.32	156.39	92.50	104.15
Gamma HHI	0.16	0.12	0.18	0.18	0.16
Net GEX	51.9K	41.7K	74.0K	64.1K	49.4K
Net DEX	-965.2K	-1.4M	-381.3K	-1.2M	-500.0K
Net VEX	-2.4K	-2.9K	-2.2K	-2.4K	-2.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	2.50	0.00	0.00
Total Volume	11.316	0	85	85	0
Total OI	1,341.316	825	1,710	1,625	910

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
2013-02-01	$14.68	$0.00	13.0%	3.9%	11.7%	7.5%	0.0%	5.9%	1.0%	64.1K	-1.2M	-2.4K	0.00	92.50	N/A	N/A	85	0	1,170	455
2013-02-04	$14.56	$0.00	14.1%	4.2%	12.4%	11.1%	0.0%	4.7%	0.1%	74.0K	-1.2M	-2.7K	0.00	90.32	N/A	N/A	0	0	1,255	455
2013-02-05	$14.83	$0.00	13.0%	4.1%	13.6%	7.6%	0.0%	4.9%	0.3%	59.5K	-1.3M	-2.6K	0.00	90.42	N/A	N/A	15	0	1,255	455
2013-02-06	$14.84	$0.00	50.1%	7.4%	12.6%	100.0%	0.0%	1.8%	-8.9%	52.1K	-1.2M	-2.9K	0.00	156.39	N/A	N/A	0	5	1,240	455
2013-02-07	$14.86	$0.00	14.4%	4.1%	12.1%	9.6%	0.0%	5.9%	2.0%	56.4K	-1.4M	-2.4K	0.00	92.60	N/A	N/A	0	0	1,240	455
2013-02-08	$15.00	$0.00	12.9%	3.7%	12.0%	5.8%	0.0%	4.9%	2.1%	46.8K	-1.4M	-2.4K	0.00	94.37	N/A	N/A	0	0	1,240	455
2013-02-11	$14.89	$0.00	14.3%	4.1%	12.6%	9.4%	0.0%	4.8%	0.8%	48.1K	-1.4M	-2.4K	0.00	94.57	N/A	N/A	0	0	1,240	455
2013-02-12	$14.82	$0.00	13.7%	3.9%	12.8%	7.8%	0.0%	4.4%	0.6%	54.3K	-1.4M	-2.3K	0.00	96.79	N/A	N/A	0	0	1,240	455
2013-02-13	$14.89	$0.00	13.0%	3.7%	12.7%	6.2%	0.0%	4.3%	2.4%	48.9K	-1.4M	-2.3K	0.00	96.21	N/A	N/A	0	0	1,240	455
2013-02-14	$14.88	$0.00	13.6%	3.9%	12.7%	7.7%	0.0%	4.7%	1.3%	50.3K	-1.2M	-2.3K	0.00	97.86	N/A	N/A	0	0	1,135	455
2013-02-15	$14.88	$0.00	13.5%	3.9%	11.8%	7.3%	0.0%	3.2%	1.8%	50.3K	-1.2M	-2.3K	0.00	98.79	N/A	N/A	0	0	1,135	455
2013-02-19	$14.88	$0.00	13.6%	3.9%	11.8%	7.5%	11.6%	8.0%	0.1%	51.8K	-665.7K	-2.2K	2.50	98.70	N/A	N/A	10	25	760	65
2013-02-20	$14.68	$15.00	14.7%	4.2%	11.9%	10.5%	13.0%	3.5%	-0.2%	49.4K	-600.5K	-2.4K	0.00	97.66	N/A	N/A	5	0	765	90
2013-02-21	$14.61	$14.80	15.0%	4.3%	11.8%	11.2%	0.0%	5.5%	-0.4%	49.8K	-541.9K	-2.4K	0.00	96.05	N/A	N/A	0	50	770	90
2013-02-22	$14.55	$14.80	14.0%	4.0%	11.6%	8.7%	0.0%	5.1%	1.2%	46.9K	-504.0K	-2.5K	0.00	96.54	N/A	N/A	20	0	770	140
2013-02-25	$14.30	$14.80	20.3%	5.8%	12.9%	24.5%	0.0%	8.2%	-2.4%	41.7K	-404.5K	-2.4K	0.00	93.65	N/A	N/A	0	0	770	140
2013-02-26	$14.33	$14.80	16.1%	4.6%	13.0%	14.0%	0.0%	7.7%	0.0%	43.3K	-381.3K	-2.3K	0.00	94.76	N/A	N/A	0	0	770	140
2013-02-27	$14.51	$14.80	13.2%	3.8%	13.8%	6.6%	0.0%	8.2%	0.5%	49.6K	-453.2K	-2.4K	0.00	102.96	N/A	N/A	0	0	770	140
2013-02-28	$14.52	$14.80	14.6%	4.2%	13.7%	10.0%	0.0%	3.1%	-0.6%	49.4K	-500.0K	-2.4K	0.00	104.15	N/A	N/A	0	0	770	140