IHF Options History — September 2013

In September 2013, IHF traded between $17.28 and $18.05. ATM implied volatility averaged 15.0%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.5% (HV 20d: 12.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-09-11: Highest Volume — 45 contracts
  • 2013-09-04: Largest IV drop — 53.2% change
  • 2013-09-03: Highest IV Rank — 57.1%
  • 2013-09-03: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.61$17.28$18.05$17.28$17.45
Max Pain$17.31$17.00$18.00$17.00$17.20
ATM IV15.0%12.5%32.7%32.7%16.3%
Expected Move4.4%3.7%9.4%9.4%4.7%
HV 20d12.5%11.1%13.9%12.0%11.5%
HV 60d11.8%11.1%12.2%12.2%11.5%
IV Rank13.4%7.2%57.1%57.1%16.7%
IV Percentile36.9%9.9%98.8%98.8%66.3%
Term Structure0.1%-11.7%2.2%-11.7%-0.2%
VWIV14.2%12.9%16.2%12.9%13.4%
Skew 25d3.0%-2.0%4.9%-2.0%4.9%
Skew 10d5.5%-2.0%9.7%-2.0%9.2%
Call IV 25d14.3%10.6%42.6%42.6%13.0%
Put IV 25d17.3%14.4%40.6%40.6%17.8%
Bid-Ask Spread %59.7831.20184.59184.5967.27
Gamma HHI0.320.300.350.330.35
Net GEX46.2K34.6K60.0K36.2K50.4K
Net DEX-1.9M-2.2M-1.5M-1.5M-1.8M
Net VEX-4.9K-6.2K-4.1K-6.2K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.25045150
Total OI2,517.752,4352,5952,5102,435

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$17.28$17.0032.7%9.4%12.0%57.1%0.0%-2.0%-11.7%36.2K-1.5M-6.2K0.00184.59N/AN/A0151,545965
2013-09-04$17.41$17.0015.3%4.4%12.4%14.1%0.0%4.0%0.9%34.6K-1.6M-6.1K0.0057.27N/AN/A001,545980
2013-09-05$17.56$17.0014.8%4.2%12.7%12.8%0.0%2.6%1.3%35.4K-1.8M-5.7K0.0059.53N/AN/A001,545980
2013-09-06$17.55$0.0014.5%4.6%12.6%12.2%0.0%3.4%-0.2%35.2K-1.7M-5.7K0.0031.20N/AN/A001,545980
2013-09-09$17.51$0.0014.4%4.4%12.6%11.9%0.0%3.6%0.6%36.8K-1.7M-5.6K0.0036.25N/AN/A051,545980
2013-09-10$17.69$0.0013.6%4.2%13.2%9.9%0.0%4.2%0.4%37.4K-1.9M-5.2K0.0033.46N/AN/A001,545985
2013-09-11$17.81$0.0012.5%4.0%13.3%7.2%12.9%3.3%1.1%42.8K-2.0M-4.7K0.0038.63N/AN/A4501,545985
2013-09-12$17.77$18.0014.1%4.0%13.2%11.1%0.0%1.4%0.8%47.8K-2.0M-4.8K0.0042.82N/AN/A001,585985
2013-09-13$17.89$18.0014.0%4.0%11.1%10.9%0.0%2.1%0.8%50.5K-2.1M-4.5K0.0042.79N/AN/A001,585985
2013-09-16$18.02$18.0014.1%4.0%11.2%11.1%16.2%1.8%0.5%47.1K-2.2M-4.1K0.0051.21N/AN/A0251,585985
2013-09-17$18.05$17.2014.3%4.1%11.2%11.6%0.0%3.8%0.4%43.0K-2.2M-4.3K0.0047.32N/AN/A001,5851,010
2013-09-18$17.79$17.2013.6%3.9%12.4%10.0%0.0%4.3%0.4%52.7K-2.1M-4.3K0.0059.59N/AN/A1001,5851,010
2013-09-19$17.48$17.2013.6%3.9%13.9%9.8%13.4%3.0%1.7%57.3K-1.9M-4.9K0.0058.92N/AN/A501,5751,010
2013-09-20$17.46$17.2013.3%3.8%13.7%9.3%0.0%2.5%1.2%60.0K-1.8M-4.8K0.0061.42N/AN/A001,5801,010
2013-09-23$17.50$17.2013.1%3.8%13.7%8.7%0.0%4.9%0.4%49.0K-1.9M-4.7K0.0065.97N/AN/A001,555880
2013-09-24$17.47$17.2014.2%4.1%13.7%11.4%0.0%2.8%0.9%52.0K-1.9M-4.4K0.0060.89N/AN/A001,555880
2013-09-25$17.47$17.2014.3%4.1%12.1%11.6%0.0%2.9%2.2%51.3K-1.9M-4.3K0.0063.32N/AN/A001,555880
2013-09-26$17.52$17.2013.1%3.7%12.1%8.6%0.0%3.3%0.6%50.5K-2.0M-4.1K0.0064.35N/AN/A001,555880
2013-09-27$17.43$17.2014.2%4.1%12.1%11.3%0.0%3.4%0.3%53.2K-1.9M-4.3K0.0068.79N/AN/A001,555880
2013-09-30$17.45$17.2016.3%4.7%11.5%16.7%0.0%4.9%-0.2%50.4K-1.8M-4.5K0.0067.27N/AN/A001,555880