IHF Options History — May 2013

In May 2013, IHF traded between $15.67 and $16.84. ATM implied volatility averaged 14.9%, placing in the 12.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 1.2% (HV 20d: 13.8%). Max pain ranged from $14.00 to $16.20. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2013-05-30: Highest Volume — 350 contracts
  • 2013-05-16: Largest IV spike — 20.8% change
  • 2013-05-31: Highest IV Rank — 21.9%
  • 2013-05-31: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.30$15.67$16.84$15.67$16.55
Max Pain$15.89$14.00$16.20$14.00$16.20
ATM IV14.9%11.6%18.7%17.2%18.7%
Expected Move4.4%4.0%5.4%4.9%5.4%
HV 20d13.8%9.6%18.3%17.0%14.6%
HV 60d13.6%12.9%14.5%13.9%14.5%
IV Rank12.4%4.1%21.9%18.1%21.9%
IV Percentile39.4%4.4%80.2%61.9%80.2%
Term Structure0.6%-0.1%1.1%0.3%0.0%
VWIV15.0%13.9%16.9%16.6%16.9%
Skew 25d3.3%2.2%5.2%5.2%3.5%
Skew 10d8.3%5.3%20.0%12.3%5.3%
Call IV 25d14.6%13.1%17.9%14.8%17.9%
Put IV 25d17.8%16.2%21.4%20.1%21.4%
Bid-Ask Spread %53.9337.1767.0766.0357.54
Gamma HHI0.340.150.420.150.42
Net GEX57.6K33.7K69.2K44.5K53.0K
Net DEX-1.2M-1.8M-648.1K-1.2M-648.1K
Net VEX-2.0K-2.2K-1.7K-2.0K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.001.000.001.00
Total Volume45.90903500200
Total OI1,188.1828251,6301,330825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$15.67$14.0017.2%4.9%17.0%18.1%0.0%5.2%0.3%44.5K-1.2M-2.0K0.0066.03N/AN/A001,055275
2013-05-02$15.89$14.0015.7%4.5%17.7%14.4%0.0%4.5%0.6%37.2K-1.3M-1.8K0.0067.07N/AN/A001,055275
2013-05-03$15.86$14.0015.1%4.3%17.5%12.8%16.6%3.8%0.7%37.4K-1.3M-1.8K0.0057.03N/AN/A501,055275
2013-05-06$15.93$0.0014.2%4.3%17.5%10.7%14.1%3.5%0.5%33.7K-1.3M-1.7K0.0046.79N/AN/A7501,055275
2013-05-07$16.03$16.2013.3%4.2%17.6%8.2%13.9%3.0%0.2%39.5K-1.4M-1.8K0.0050.95N/AN/A24001,115275
2013-05-08$16.28$16.2013.9%4.2%18.3%9.7%0.0%2.2%0.6%65.9K-1.7M-2.2K0.0052.79N/AN/A001,355275
2013-05-09$16.25$16.2012.6%4.1%18.1%6.7%0.0%3.1%1.0%64.2K-1.7M-2.2K0.0050.62N/AN/A001,355275
2013-05-10$16.40$16.2011.6%4.0%18.2%4.1%14.1%2.6%0.7%63.1K-1.8M-2.1K0.0058.39N/AN/A1501,355275
2013-05-13$16.38$16.2013.0%4.0%14.7%7.6%0.0%2.8%1.1%64.9K-1.6M-2.0K0.0053.55N/AN/A001,250275
2013-05-14$16.40$16.2012.7%4.0%13.6%6.8%0.0%3.2%0.8%64.0K-1.6M-2.0K0.0057.07N/AN/A001,250275
2013-05-15$16.41$16.2012.5%4.2%12.3%6.3%15.1%2.9%0.4%62.4K-1.0M-2.0K0.0056.10N/AN/A100865275
2013-05-16$16.33$16.2015.1%4.3%9.8%12.8%0.0%3.0%0.8%63.6K-960.3K-2.0K0.0049.78N/AN/A00865275
2013-05-17$16.44$16.2014.7%4.2%9.7%11.7%0.0%3.1%1.1%62.4K-1.0M-2.0K0.0055.37N/AN/A00865275
2013-05-20$16.31$16.2014.7%4.2%9.9%11.8%0.0%3.3%0.8%66.5K-738.4K-2.0K0.0054.65N/AN/A00730125
2013-05-21$16.35$16.2014.9%4.3%9.6%12.4%14.2%2.6%0.7%65.9K-755.9K-1.9K0.0055.65N/AN/A550730125
2013-05-22$16.32$16.2016.0%4.6%9.8%15.2%14.9%3.7%0.0%69.0K-766.7K-2.1K0.0050.49N/AN/A50785125
2013-05-23$16.43$16.2016.0%4.6%9.7%14.9%16.9%3.4%0.5%66.1K-821.6K-2.1K0.0052.58N/AN/A50790125
2013-05-24$16.34$16.2015.8%4.5%10.1%14.6%0.0%3.4%0.7%69.2K-778.8K-2.1K0.0051.25N/AN/A00790125
2013-05-28$16.67$16.2016.5%4.7%11.8%16.4%0.0%2.5%0.6%61.0K-936.2K-1.8K0.0050.61N/AN/A00790125
2013-05-29$16.55$16.2017.2%4.9%12.4%18.0%0.0%3.8%0.0%62.9K-872.4K-1.9K0.0037.17N/AN/A050790125
2013-05-30$16.84$16.2017.2%4.9%13.2%18.0%0.0%2.8%-0.1%51.5K-953.0K-2.0K0.0054.99N/AN/A3500790175
2013-05-31$16.55$16.2018.7%5.4%14.6%21.9%0.0%3.5%0.0%53.0K-648.1K-1.7K1.0057.54N/AN/A100100650175