IHF Options History — October 2013

In October 2013, IHF traded between $17.40 and $18.12. ATM implied volatility averaged 15.5%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.5% (HV 20d: 13.1%). Max pain ranged from $16.20 to $17.20. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2013-10-17: Highest Volume — 1,525 contracts
  • 2013-10-07: Largest IV spike — 18.7% change
  • 2013-10-08: Highest IV Rank — 26.9%
  • 2013-10-08: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.73$17.40$18.12$17.71$17.55
Max Pain$16.33$16.20$17.20$17.20$16.20
ATM IV15.5%13.0%20.5%14.9%14.1%
Expected Move4.4%3.7%5.7%4.3%4.0%
HV 20d13.1%11.9%14.1%12.4%13.1%
HV 60d12.1%11.6%12.5%11.7%12.4%
IV Rank14.7%8.5%26.9%13.0%11.1%
IV Percentile53.2%18.3%94.8%48.0%33.7%
Term Structure0.8%-0.8%2.8%-0.1%1.2%
VWIV15.9%11.3%19.5%19.5%14.9%
Skew 25d3.9%2.4%6.2%6.2%2.4%
Skew 10d7.7%-1.9%12.5%9.0%7.5%
Call IV 25d14.0%11.5%17.3%11.5%13.2%
Put IV 25d17.9%15.5%22.3%17.8%15.6%
Bid-Ask Spread %71.9454.3287.1967.4963.01
Gamma HHI0.380.240.670.320.58
Net GEX93.1K43.7K167.7K46.2K167.7K
Net DEX-2.7M-3.8M-1.9M-2.0M-3.7M
Net VEX-5.7K-8.9K-2.6K-3.9K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.000.890.000.00
Total Volume110.65201,525100
Total OI3,183.4782,4354,3552,4354,355

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$17.71$17.2014.9%4.3%12.4%13.0%0.0%6.2%-0.1%46.2K-2.0M-3.9K0.0067.49N/AN/A1001,555880
2013-10-02$17.76$17.2014.6%4.2%12.2%12.4%0.0%4.6%1.0%45.6K-2.1M-3.8K0.0058.31N/AN/A001,565880
2013-10-03$17.76$17.2016.1%4.6%11.9%16.1%0.0%4.4%0.8%45.5K-2.0M-4.0K0.0054.32N/AN/A051,565880
2013-10-04$17.93$16.2015.0%4.5%12.2%13.3%0.0%4.0%1.2%43.7K-2.2M-3.7K0.0068.20N/AN/A001,565885
2013-10-07$17.77$16.2017.8%5.2%12.7%20.3%0.0%4.7%-0.8%45.3K-2.0M-3.8K0.0064.57N/AN/A001,565885
2013-10-08$17.61$16.2020.5%5.7%12.6%26.9%0.0%4.1%-0.7%46.5K-1.9M-4.1K0.0059.75N/AN/A001,565885
2013-10-09$17.57$16.2019.5%5.5%12.4%24.5%19.5%5.2%-0.5%47.1K-1.9M-4.0K0.2061.61N/AN/A50101,565885
2013-10-10$17.85$16.2017.3%5.0%13.7%19.0%0.0%5.0%-0.4%50.8K-2.2M-3.6K0.0067.66N/AN/A001,615895
2013-10-11$17.97$16.2015.7%4.5%13.6%15.1%0.0%4.7%0.3%50.4K-2.3M-3.2K0.0071.23N/AN/A001,615895
2013-10-14$18.01$16.2015.9%4.6%13.4%15.7%0.0%4.4%0.7%49.8K-2.3M-3.1K0.0072.28N/AN/A001,615895
2013-10-15$17.85$16.2017.4%5.0%13.7%19.2%0.0%5.1%-0.3%53.1K-2.2M-3.2K0.0072.33N/AN/A001,615895
2013-10-16$18.12$16.2014.3%4.1%13.7%11.7%19.0%3.7%1.0%50.9K-2.5M-2.6K0.8375.87N/AN/A30251,615895
2013-10-17$17.96$16.2014.4%4.1%12.4%11.9%15.5%4.7%2.2%50.5K-2.4M-2.6K0.0178.65N/AN/A1,510151,610905
2013-10-18$17.81$16.2015.1%4.3%12.9%13.6%16.0%3.1%2.8%138.4K-3.5M-8.2K0.4379.78N/AN/A70302,930920
2013-10-21$17.77$16.2014.8%4.2%12.9%12.8%0.0%3.5%1.0%139.9K-3.6M-8.2K0.1580.41N/AN/A100152,985925
2013-10-22$17.84$16.2014.6%4.2%12.9%12.3%0.0%2.7%0.8%144.4K-3.8M-8.7K0.0085.32N/AN/A003,085940
2013-10-23$17.65$16.2014.2%4.1%13.6%11.5%17.0%2.6%1.5%150.8K-3.5M-8.6K0.0882.70N/AN/A185153,085940
2013-10-24$17.47$16.2014.5%4.2%14.1%12.1%14.2%2.5%1.2%146.8K-3.3M-8.1K0.0087.19N/AN/A26503,000930
2013-10-25$17.40$16.2014.2%4.1%14.0%11.4%0.0%2.9%1.1%167.5K-3.3M-8.9K0.8982.66N/AN/A45403,215930
2013-10-28$17.43$16.2014.3%4.1%14.0%11.7%11.3%3.1%1.3%162.7K-3.4M-8.8K0.0080.61N/AN/A2503,260970
2013-10-29$17.50$16.2013.0%3.7%13.0%8.5%0.0%3.2%2.5%138.9K-3.6M-8.4K0.0066.81N/AN/A0503,285970
2013-10-30$17.46$16.2014.8%4.3%13.0%13.0%14.9%3.4%1.0%158.2K-3.4M-8.8K0.0073.85N/AN/A5003,2851,020
2013-10-31$17.55$16.2014.1%4.0%13.1%11.1%0.0%2.4%1.2%167.7K-3.7M-8.8K0.0063.01N/AN/A003,3351,020