IHF Options History — December 2013

In December 2013, IHF traded between $17.87 and $18.65. ATM implied volatility averaged 14.6%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 2.2% (HV 20d: 12.4%). Max pain ranged from $17.40 to $18.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.11.

Notable Days

  • 2013-12-26: Highest Volume — 735 contracts
  • 2013-12-18: Largest IV drop — 15.8% change
  • 2013-12-17: Highest IV Rank — 20.4%
  • 2013-12-17: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.33$17.87$18.65$18.61$18.65
Max Pain$18.21$17.40$18.40$17.40$18.40
ATM IV14.6%12.6%17.9%13.5%13.6%
Expected Move4.2%3.6%5.1%3.9%3.9%
HV 20d12.4%9.4%14.3%10.8%14.0%
HV 60d12.5%11.9%13.0%12.0%12.6%
IV Rank12.5%7.5%20.4%9.7%9.8%
IV Percentile49.7%13.5%89.7%29.0%32.9%
Term Structure1.1%0.1%1.9%0.9%1.3%
VWIV14.8%13.8%15.8%15.8%13.8%
Skew 25d3.0%2.3%3.6%2.5%3.1%
Skew 10d4.7%2.2%7.6%6.7%5.8%
Call IV 25d13.9%12.3%16.2%13.3%12.7%
Put IV 25d16.9%14.9%18.5%15.8%15.8%
Bid-Ask Spread %26.6617.6045.3137.6845.31
Gamma HHI0.460.330.570.570.33
Net GEX156.7K126.0K196.5K128.1K151.4K
Net DEX-2.1M-2.6M-1.7M-2.2M-2.1M
Net VEX-5.8K-6.7K-4.3K-5.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.110.001.250.000.00
Total Volume96.66707350150
Total OI2,075.9521,7552,3851,9601,755

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$18.61$17.4013.5%3.9%10.8%9.7%0.0%2.5%0.9%128.1K-2.2M-5.6K0.0037.68N/AN/A001,770190
2013-12-03$18.52$17.4014.1%4.1%10.6%11.2%0.0%3.3%0.6%128.9K-2.2M-5.8K0.0041.01N/AN/A501,770190
2013-12-04$18.45$17.4014.3%4.1%10.6%11.6%0.0%3.3%0.8%129.8K-2.1M-5.8K0.0030.90N/AN/A1001,765190
2013-12-05$18.27$17.4016.1%4.6%11.3%16.0%0.0%3.6%0.2%129.8K-1.9M-6.0K0.0032.09N/AN/A0251,755190
2013-12-06$18.45$18.4013.9%4.2%10.1%10.5%0.0%3.2%1.4%129.3K-2.1M-5.7K0.0017.60N/AN/A001,755215
2013-12-09$18.56$18.4013.5%4.2%9.4%9.6%0.0%3.0%1.2%130.0K-2.2M-5.4K0.0018.39N/AN/A1501,755215
2013-12-10$18.51$18.4013.9%4.2%9.5%10.6%0.0%3.0%1.4%126.0K-2.1M-5.5K0.0018.36N/AN/A001,750215
2013-12-11$18.11$18.4015.7%4.6%12.7%15.1%0.0%3.0%1.1%133.0K-1.7M-5.9K0.0023.05N/AN/A60501,750215
2013-12-12$17.95$18.4016.8%4.8%12.8%17.7%0.0%2.5%0.5%162.3K-1.8M-6.7K0.0020.51N/AN/A502,065215
2013-12-13$17.94$18.4016.7%4.8%12.3%17.6%0.0%2.5%0.4%162.3K-1.8M-6.7K0.0020.42N/AN/A31002,060215
2013-12-16$18.04$18.4017.2%4.9%12.5%18.8%15.8%2.7%0.3%167.2K-1.9M-6.5K0.0019.64N/AN/A502,060215
2013-12-17$17.87$18.4017.9%5.1%12.9%20.4%0.0%2.3%0.1%161.8K-1.7M-6.4K0.0019.13N/AN/A052,065215
2013-12-18$18.14$18.4015.0%4.3%13.9%13.5%0.0%3.4%0.9%189.0K-2.0M-6.3K0.0028.25N/AN/A002,065220
2013-12-19$18.04$18.4014.9%4.3%13.7%13.1%0.0%2.8%1.1%196.5K-1.9M-6.3K0.0021.96N/AN/A01002,065220
2013-12-20$18.28$18.4014.3%4.1%14.3%11.6%0.0%3.6%1.5%171.4K-2.1M-6.3K0.0022.86N/AN/A502,065320
2013-12-23$18.41$18.4013.9%4.0%14.3%10.6%13.8%3.2%1.5%190.8K-2.4M-5.9K1.2522.55N/AN/A20252,070105
2013-12-24$18.46$18.4013.6%3.9%14.0%9.9%0.0%3.5%1.5%193.9K-2.5M-5.8K0.0023.56N/AN/A002,090105
2013-12-26$18.52$18.4012.6%3.6%13.9%7.5%0.0%2.7%1.9%194.0K-2.6M-5.7K0.0039.88N/AN/A73502,090105
2013-12-27$18.53$18.4013.1%3.8%13.9%8.7%0.0%3.4%1.9%157.3K-2.0M-4.6K0.0026.54N/AN/A1001,660105
2013-12-30$18.56$18.4012.9%3.7%13.9%8.2%0.0%2.9%1.6%157.5K-2.0M-4.3K0.0030.17N/AN/A001,650105
2013-12-31$18.65$18.4013.6%3.9%14.0%9.8%0.0%3.1%1.3%151.4K-2.1M-4.3K0.0045.31N/AN/A01501,650105