IHF Options History — July 2013

In July 2013, IHF traded between $16.69 and $17.73. ATM implied volatility averaged 15.1%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.4% (HV 20d: 12.7%). Max pain ranged from $15.80 to $16.80. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2013-07-02: Highest Volume — 550 contracts
  • 2013-07-03: Largest IV spike — 23.1% change
  • 2013-07-03: Highest IV Rank — 26.0%
  • 2013-07-03: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.34$16.69$17.73$16.90$17.57
Max Pain$15.94$15.80$16.80$16.80$15.80
ATM IV15.1%13.5%20.4%15.3%14.6%
Expected Move4.4%3.9%5.8%4.4%4.2%
HV 20d12.7%10.5%15.5%15.4%11.1%
HV 60d14.3%13.3%15.9%15.6%13.7%
IV Rank12.9%8.9%26.0%13.2%11.7%
IV Percentile43.1%20.6%94.4%46.0%39.7%
Term Structure1.2%0.5%2.6%0.5%0.8%
VWIV17.9%15.9%21.1%21.1%15.9%
Skew 25d2.4%1.1%4.2%2.9%2.3%
Skew 10d1.9%-3.3%8.0%5.0%-2.0%
Call IV 25d14.5%12.3%17.0%17.0%13.8%
Put IV 25d16.9%14.4%20.1%19.9%16.1%
Bid-Ask Spread %83.7848.4093.4748.4092.67
Gamma HHI0.400.380.430.390.40
Net GEX45.2K-2.1K65.3K-1.6K54.7K
Net DEX-2.6M-3.2M-939.2K-1.1M-3.1M
Net VEX-7.3K-10.3K-5.5K-7.8K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.001.640.000.33
Total Volume46.591055000
Total OI4,081.5913,3204,2703,3204,155

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$16.90$16.8015.3%4.4%15.4%13.2%0.0%2.9%0.5%-1.6K-1.1M-7.8K0.0048.40N/AN/A001,5101,810
2013-07-02$16.80$16.8016.6%4.7%15.5%16.5%0.0%4.0%2.6%-2.1K-939.2K-8.0K0.0052.92N/AN/A55001,5101,810
2013-07-03$16.69$16.8020.4%5.8%14.3%26.0%0.0%2.5%0.6%24.8K-1.4M-10.2K1.6456.62N/AN/A55902,0601,810
2013-07-05$16.85$15.8016.3%5.0%14.3%15.7%0.0%4.2%1.1%26.5K-1.6M-10.3K0.0077.29N/AN/A002,1151,900
2013-07-08$17.03$15.8016.2%4.8%13.8%15.5%0.0%2.4%0.9%34.6K-2.0M-9.4K0.0083.12N/AN/A002,1151,900
2013-07-09$17.13$15.8015.1%4.6%13.5%12.9%21.1%2.3%1.3%35.0K-2.2M-9.0K1.0083.79N/AN/A1251252,1151,900
2013-07-10$17.21$15.8014.7%4.6%13.4%11.9%0.0%2.4%1.1%40.1K-2.5M-8.8K0.0084.38N/AN/A002,2402,025
2013-07-11$17.37$15.8014.8%4.2%13.6%12.1%0.0%2.1%1.6%49.4K-2.7M-7.9K0.0089.39N/AN/A002,2402,025
2013-07-12$17.34$15.8014.9%4.3%13.3%12.3%0.0%2.1%1.7%52.1K-2.7M-7.9K0.0087.84N/AN/A002,2402,025
2013-07-15$17.34$15.8015.2%4.3%12.9%13.0%16.7%1.7%1.2%56.0K-2.8M-7.8K0.0088.17N/AN/A052,2402,025
2013-07-16$17.30$15.8016.3%4.7%12.8%15.9%0.0%2.2%1.0%51.0K-2.7M-8.1K0.3385.44N/AN/A30102,2402,030
2013-07-17$17.26$15.8015.7%4.5%12.5%14.2%0.0%2.0%1.2%62.3K-2.7M-7.6K0.0090.10N/AN/A002,2202,040
2013-07-18$17.61$15.8014.6%4.2%13.3%11.6%15.9%1.3%1.8%55.5K-3.1M-6.3K0.0093.02N/AN/A052,2202,040
2013-07-19$17.59$15.8013.8%3.9%11.4%9.5%0.0%1.6%1.8%56.5K-3.1M-6.2K0.0090.07N/AN/A002,2152,040
2013-07-22$17.70$15.8013.9%4.0%11.5%9.9%0.0%1.1%1.0%52.2K-3.2M-5.6K0.0093.47N/AN/A002,1901,940
2013-07-23$17.73$15.8013.5%3.9%11.4%8.9%0.0%2.3%1.2%49.1K-3.2M-5.8K0.0090.79N/AN/A002,1901,940
2013-07-24$17.68$15.8014.0%4.0%11.5%10.1%0.0%2.2%1.2%58.2K-3.2M-5.6K0.0091.66N/AN/A0202,1901,940
2013-07-25$17.66$15.8013.8%4.0%11.5%9.6%0.0%2.1%1.2%56.4K-3.1M-5.7K0.0089.41N/AN/A002,1901,955
2013-07-26$17.66$15.8014.1%4.0%10.8%10.4%0.0%3.1%0.8%63.7K-3.1M-5.6K0.0089.83N/AN/A002,1901,955
2013-07-29$17.61$15.8014.5%4.2%10.5%11.3%0.0%2.5%0.7%54.5K-3.1M-5.6K0.0091.43N/AN/A0102,1901,955
2013-07-30$17.43$15.8014.2%4.1%11.3%10.6%0.0%3.1%0.8%65.3K-3.0M-5.7K0.0093.43N/AN/A002,1901,965
2013-07-31$17.57$15.8014.6%4.2%11.1%11.7%0.0%2.3%0.8%54.7K-3.1M-5.5K0.0092.67N/AN/A002,1901,965