IHF Options History — August 2013

In August 2013, IHF traded between $17.16 and $17.71. ATM implied volatility averaged 14.5%, placing in the 11.5% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.8% (HV 20d: 10.8%). Max pain ranged from $15.80 to $17.40. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.01.

Notable Days

  • 2013-08-21: Highest Volume — 280 contracts
  • 2013-08-30: Largest IV spike — 77.4% change
  • 2013-08-22: Highest IV Rank — 37.9%
  • 2013-08-22: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$17.16$17.71$17.62$17.16
Max Pain$17.18$15.80$17.40$15.80$17.00
ATM IV14.5%9.6%25.1%14.2%17.0%
Expected Move4.3%2.7%7.2%4.1%4.9%
HV 20d10.8%9.8%12.2%10.7%12.2%
HV 60d13.3%12.4%14.0%13.7%12.4%
IV Rank11.5%0.0%37.9%10.7%18.3%
IV Percentile36.6%0.0%98.8%33.3%73.8%
Term Structure0.3%-8.4%3.7%1.2%0.4%
VWIV14.6%8.9%20.6%20.6%8.9%
Skew 25d2.7%0.8%4.8%2.2%2.9%
Skew 10d3.8%-0.7%9.0%-0.7%7.9%
Call IV 25d14.2%8.9%31.7%13.8%15.6%
Put IV 25d16.9%10.3%32.6%15.9%18.5%
Bid-Ask Spread %66.4735.47186.5196.8152.89
Gamma HHI0.380.280.510.430.32
Net GEX35.9K13.5K57.8K57.6K35.6K
Net DEX-2.2M-3.2M-1.3M-3.2M-1.4M
Net VEX-5.4K-6.6K-3.8K-5.4K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.060.000.00
Total Volume27.95502802040
Total OI3,248.6362,0454,1704,1552,470

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$17.62$15.8014.2%4.1%10.7%10.7%0.0%2.2%1.2%57.6K-3.2M-5.4K0.0096.81N/AN/A2002,1901,965
2013-08-02$17.55$15.8013.2%3.8%10.6%8.2%0.0%3.6%1.5%53.5K-3.1M-5.3K0.0094.29N/AN/A0302,1701,965
2013-08-05$17.71$17.4012.7%4.0%10.5%7.0%0.0%2.6%0.9%35.4K-3.2M-4.9K0.0035.79N/AN/A502,1701,995
2013-08-06$17.64$17.4013.2%4.2%10.5%8.2%0.0%3.2%0.7%41.8K-3.2M-4.9K0.0036.03N/AN/A502,1751,995
2013-08-07$17.56$17.4012.8%4.0%10.7%7.2%0.0%2.7%1.5%39.7K-3.0M-4.9K0.0040.50N/AN/A002,0751,995
2013-08-08$17.64$17.4012.3%4.2%10.4%5.9%0.0%2.5%1.2%36.9K-3.0M-4.8K0.0035.47N/AN/A502,0751,995
2013-08-09$17.66$17.4012.6%4.1%10.3%6.7%0.0%3.0%1.0%33.2K-3.0M-4.8K0.0037.14N/AN/A002,0801,995
2013-08-12$17.61$17.4012.4%4.2%10.4%6.2%0.0%3.2%0.9%34.6K-3.0M-4.7K0.0042.55N/AN/A002,0801,995
2013-08-13$17.66$17.4013.1%4.1%10.3%7.8%0.0%2.8%1.2%31.9K-3.0M-4.6K0.0038.53N/AN/A0252,0801,995
2013-08-14$17.59$17.4011.7%4.0%10.4%4.4%0.0%3.4%1.2%28.3K-2.2M-4.7K0.0040.69N/AN/A001,6352,020
2013-08-15$17.25$17.4015.4%4.4%10.2%13.5%0.0%2.2%1.3%35.1K-2.0M-5.3K0.0043.01N/AN/A001,6352,020
2013-08-16$17.25$17.4015.2%4.4%10.2%13.2%0.0%2.8%1.1%29.6K-2.0M-5.3K0.0046.48N/AN/A001,6352,020
2013-08-19$17.23$17.4014.8%4.3%9.8%12.2%0.0%0.8%0.1%31.9K-1.4M-5.2K0.0046.37N/AN/A001,255790
2013-08-20$17.38$17.4019.4%5.5%10.4%23.4%20.6%4.8%-8.4%57.8K-1.6M-3.8K0.00175.12N/AN/A01501,255790
2013-08-21$17.28$17.4015.2%4.4%10.5%13.2%0.0%2.7%0.3%13.5K-1.3M-5.5K0.0644.78N/AN/A265151,255940
2013-08-22$17.39$17.4025.1%7.2%10.8%37.9%0.0%0.9%-7.0%47.4K-1.4M-6.4K0.00186.51N/AN/A001,520955
2013-08-23$17.47$17.4014.1%4.0%11.0%10.3%0.0%4.0%0.7%28.2K-1.6M-6.4K0.0046.33N/AN/A001,520955
2013-08-26$17.51$17.4014.1%4.1%11.0%10.5%14.4%2.6%0.3%26.5K-1.7M-6.0K0.0049.52N/AN/A0301,520955
2013-08-27$17.21$17.0016.3%4.7%12.1%15.7%0.0%3.7%0.3%31.5K-1.4M-6.6K0.0049.67N/AN/A001,520925
2013-08-28$17.20$17.0014.8%4.2%11.7%12.0%0.0%2.2%1.8%30.4K-1.5M-6.5K0.0052.18N/AN/A001,520925
2013-08-29$17.32$17.009.6%2.7%11.9%0.0%8.9%1.4%3.7%28.5K-1.6M-6.0K0.00171.79N/AN/A2501,520925
2013-08-30$17.16$17.0017.0%4.9%12.2%18.3%0.0%2.9%0.4%35.6K-1.4M-6.5K0.0052.89N/AN/A0401,545925