IHF Options History — June 2013

In June 2013, IHF traded between $16.20 and $17.01. ATM implied volatility averaged 18.6%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 2.0% (HV 20d: 16.6%). Max pain ranged from $16.20 to $16.80. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.06.

Notable Days

  • 2013-06-05: Highest Volume — 1,405 contracts
  • 2013-06-20: Largest IV spike — 16.3% change
  • 2013-06-20: Highest IV Rank — 27.1%
  • 2013-06-20: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$16.20$17.01$16.57$16.80
Max Pain$16.68$16.20$16.80$16.20$16.80
ATM IV18.6%16.8%20.8%19.1%17.6%
Expected Move5.3%4.8%6.0%5.5%5.0%
HV 20d16.6%14.5%18.7%14.5%15.3%
HV 60d15.6%14.5%16.3%14.5%15.7%
IV Rank21.7%17.0%27.1%22.9%19.1%
IV Percentile80.5%63.9%93.3%83.3%75.4%
Term Structure0.7%-0.9%6.6%0.1%1.3%
VWIV16.9%16.9%16.9%16.9%16.9%
Skew 25d3.3%-0.4%5.3%5.3%3.0%
Skew 10d4.0%-3.9%9.1%9.1%4.5%
Call IV 25d17.5%15.8%19.7%17.7%16.1%
Put IV 25d20.8%16.6%23.3%23.0%19.2%
Bid-Ask Spread %42.1029.22113.6548.5242.31
Gamma HHI0.410.320.530.410.40
Net GEX47.5K-3.0K103.5K54.6K-3.0K
Net DEX-1.2M-1.8M-477.8K-615.8K-938.3K
Net VEX-6.6K-8.2K-2.2K-2.2K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.360.000.00
Total Volume140.2501,40512510
Total OI2,6901,0253,3101,0253,310

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$16.57$16.2019.1%5.5%14.5%22.9%0.0%5.3%0.1%54.6K-615.8K-2.2K0.0048.52N/AN/A1250750275
2013-06-04$16.48$16.2019.4%5.6%14.7%23.6%0.0%3.9%-0.3%58.1K-620.5K-2.3K0.0056.53N/AN/A00785275
2013-06-05$16.20$16.2020.7%5.9%16.0%26.9%0.0%3.1%-0.9%60.8K-477.8K-2.3K0.3651.10N/AN/A1,030375785275
2013-06-06$16.35$16.2019.4%5.6%15.4%23.6%0.0%3.1%-0.9%102.9K-1.2M-6.9K0.0057.52N/AN/A05501,785650
2013-06-07$16.60$16.8017.7%5.0%16.2%19.2%0.0%2.9%0.9%65.1K-1.3M-8.0K0.0032.00N/AN/A0501,7851,200
2013-06-10$16.78$16.8017.4%5.0%16.3%18.6%0.0%3.4%1.1%60.1K-1.5M-7.5K0.0029.22N/AN/A001,7851,185
2013-06-11$16.73$16.8018.3%5.2%16.4%20.9%0.0%2.5%0.2%60.6K-1.5M-7.4K0.0031.70N/AN/A001,7851,185
2013-06-12$16.68$16.8019.6%5.7%16.4%24.0%0.0%2.4%0.6%62.3K-1.4M-7.5K0.0033.80N/AN/A001,7851,185
2013-06-13$16.85$16.8018.6%5.3%16.8%21.4%0.0%3.8%0.3%56.4K-1.6M-7.3K0.0030.22N/AN/A001,7851,185
2013-06-14$16.73$16.8018.5%5.3%16.9%21.3%0.0%2.6%0.4%61.6K-1.5M-7.2K0.0031.07N/AN/A001,7851,185
2013-06-17$16.84$16.8019.2%5.5%16.9%23.0%0.0%3.2%-0.3%53.5K-1.6M-7.0K0.0030.45N/AN/A501,7851,185
2013-06-18$17.01$16.8016.8%4.8%16.8%17.0%16.9%-0.4%6.6%39.3K-1.8M-6.6K0.00113.65N/AN/A3001,7901,185
2013-06-19$16.80$16.8017.9%5.1%17.6%19.8%0.0%3.8%-0.2%49.3K-1.7M-6.7K0.0038.00N/AN/A001,8201,185
2013-06-20$16.53$16.8020.8%6.0%18.7%27.1%0.0%3.9%0.4%103.5K-1.3M-7.3K0.0030.06N/AN/A01251,8201,185
2013-06-21$16.60$16.8018.7%5.4%18.6%21.9%0.0%4.7%0.5%28.1K-1.4M-7.3K0.0035.22N/AN/A501,8201,310
2013-06-24$16.59$16.8020.1%5.8%18.5%25.2%0.0%4.7%0.6%15.3K-894.6K-7.1K0.0032.97N/AN/A02501,5001,310
2013-06-25$16.56$16.8018.0%5.2%17.0%20.1%0.0%3.3%0.8%3.5K-724.0K-8.0K0.0035.55N/AN/A001,5001,560
2013-06-26$16.65$16.8017.6%5.0%16.9%19.0%0.0%3.5%0.8%7.1K-858.9K-7.7K0.0039.25N/AN/A001,5001,560
2013-06-27$16.89$16.8017.5%5.0%16.5%18.9%0.0%2.4%1.3%10.7K-1.2M-7.2K0.0042.87N/AN/A02501,5001,560
2013-06-28$16.80$16.8017.6%5.0%15.3%19.1%0.0%3.0%1.3%-3.0K-938.3K-8.2K0.0042.31N/AN/A1001,5001,810