IHF Options History — January 2014

In January 2014, IHF traded between $18.42 and $19.05. ATM implied volatility averaged 14.1%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.0% (HV 20d: 13.1%). Max pain ranged from $17.60 to $18.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2014-01-29: Highest Volume — 390 contracts
  • 2014-01-13: Largest IV spike — 25.4% change
  • 2014-01-29: Highest IV Rank — 21.8%
  • 2014-01-29: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.77$18.42$19.05$18.52$18.58
Max Pain$17.68$17.60$18.40$18.40$17.60
ATM IV14.1%11.8%18.4%12.9%18.4%
Expected Move4.1%3.6%5.3%3.7%5.3%
HV 20d13.1%10.7%15.3%14.1%13.7%
HV 60d12.5%11.9%12.9%12.6%12.8%
IV Rank11.1%5.3%21.8%8.2%21.6%
IV Percentile38.9%5.6%92.1%20.2%91.3%
Term Structure1.0%-0.5%2.4%1.6%-0.1%
VWIV18.6%13.5%23.7%16.0%17.9%
Skew 25d2.9%2.1%3.9%3.1%3.6%
Skew 10d7.5%5.1%24.0%7.5%7.4%
Call IV 25d13.5%11.8%17.5%12.3%17.5%
Put IV 25d16.4%14.4%21.1%15.4%21.1%
Bid-Ask Spread %37.0121.1547.0429.8925.86
Gamma HHI0.290.250.330.330.25
Net GEX152.0K126.2K178.3K154.4K163.4K
Net DEX-2.2M-2.6M-1.8M-2.0M-1.9M
Net VEX-3.7K-4.4K-2.8K-4.4K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.003.000.000.00
Total Volume67.1430390055
Total OI2,021.9051,8802,3101,8902,160

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$18.52$18.4012.9%3.7%14.1%8.2%0.0%3.1%1.6%154.4K-2.0M-4.4K0.0029.89N/AN/A001,650240
2014-01-03$18.64$18.4012.9%3.7%14.2%8.1%0.0%3.2%0.8%158.8K-2.1M-4.2K0.0040.89N/AN/A0501,650240
2014-01-06$18.49$17.6013.7%4.0%14.1%10.3%16.0%3.3%1.1%166.4K-1.9M-4.3K0.0023.11N/AN/A1001,650240
2014-01-07$18.82$17.6012.8%3.8%15.1%7.9%13.5%2.2%1.3%142.0K-2.3M-3.5K0.8345.99N/AN/A60501,640240
2014-01-08$18.84$17.6013.2%3.8%15.0%8.8%0.0%2.1%1.5%147.6K-2.4M-3.8K0.0033.22N/AN/A1001,685290
2014-01-09$19.05$17.6011.8%3.7%15.3%5.6%15.5%2.1%1.7%126.2K-2.5M-3.5K0.0038.46N/AN/A3001,695290
2014-01-10$18.98$17.6011.8%3.7%12.8%5.3%0.0%2.1%1.8%133.7K-2.5M-3.5K0.0038.33N/AN/A0501,665290
2014-01-13$18.82$17.6014.7%3.9%12.7%12.7%0.0%3.1%1.4%141.8K-2.3M-3.8K0.0046.84N/AN/A3501,665340
2014-01-14$18.99$17.6012.5%3.6%12.8%7.2%21.8%2.3%2.0%133.4K-2.5M-3.6K0.0034.11N/AN/A0501,680340
2014-01-15$19.04$17.6012.0%3.8%12.8%6.1%23.1%2.4%1.8%128.5K-2.5M-3.5K0.0040.30N/AN/A501,680310
2014-01-16$18.90$17.6013.3%3.8%12.6%9.1%15.0%2.7%1.8%142.8K-2.4M-3.5K3.0033.56N/AN/A5151,675310
2014-01-17$18.91$17.6012.5%3.6%11.8%7.3%0.0%2.7%2.4%141.7K-2.4M-3.5K0.0044.93N/AN/A001,680310
2014-01-21$18.95$17.6012.5%3.6%11.4%7.2%0.0%3.0%1.3%144.0K-2.4M-3.3K0.0045.61N/AN/A001,680285
2014-01-22$18.95$17.6012.5%3.6%10.7%7.2%0.0%2.5%1.2%145.8K-2.6M-2.8K0.0045.03N/AN/A001,680285
2014-01-23$18.89$17.6013.4%3.8%10.7%9.3%0.0%2.9%1.1%152.3K-2.4M-3.2K0.0047.04N/AN/A0151,680285
2014-01-24$18.54$17.6016.1%4.6%12.8%16.1%23.7%3.8%0.2%178.3K-2.0M-3.8K0.0036.29N/AN/A02551,680300
2014-01-27$18.51$17.6016.7%4.8%12.8%17.5%0.0%3.9%-0.4%170.6K-1.9M-3.8K0.0033.70N/AN/A001,680540
2014-01-28$18.55$17.6016.6%4.7%12.8%17.2%0.0%3.8%-0.5%175.5K-2.0M-3.6K0.0021.15N/AN/A2001,680540
2014-01-29$18.42$17.6018.4%5.3%13.0%21.8%17.8%3.8%-0.3%171.8K-1.8M-3.9K0.0040.19N/AN/A39001,680540
2014-01-30$18.67$17.6016.8%4.8%13.8%17.8%21.6%3.3%-0.0%173.8K-2.2M-3.6K0.0032.73N/AN/A30501,770540
2014-01-31$18.58$17.6018.4%5.3%13.7%21.6%17.9%3.6%-0.1%163.4K-1.9M-3.5K0.0025.86N/AN/A5501,620540