IHF Options History — February 2014 In February 2014, IHF traded between $18.13 and $19.23. ATM implied volatility averaged 15.5%, placing in the 21.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 0.7% (HV 20d: 14.8%). Max pain ranged from $17.60 to $18.60. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.18.
Notable Days 2014-02-20 : Highest Volume — 575 contracts2014-02-07 : Largest IV drop — 15.8% change2014-02-03 : Highest IV Rank — 27.7%2014-02-03 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.60 $18.13 $19.23 $18.18 $19.23 Max Pain $18.12 $17.60 $18.60 $17.60 $18.60 ATM IV 15.5% 12.7% 20.8% 20.8% 15.2% Expected Move 4.5% 3.8% 6.0% 6.0% 4.4% HV 20d 14.8% 13.2% 16.2% 15.6% 15.5% HV 60d 13.5% 13.0% 14.2% 13.6% 14.2% IV Rank 21.8% 13.6% 27.7% 27.7% 24.4% IV Percentile 60.9% 15.9% 98.4% 98.4% 67.9% Term Structure 0.5% -1.1% 3.2% -1.0% -1.1% VWIV 16.5% 12.9% 21.6% 20.1% 12.9% Skew 25d 1.9% -5.2% 4.2% 4.2% -5.2% Skew 10d 4.0% -4.3% 8.2% 8.1% 2.3% Call IV 25d 15.0% 13.4% 19.7% 19.7% 14.6% Put IV 25d 16.9% 9.4% 24.0% 24.0% 9.4% Bid-Ask Spread % 35.02 20.22 81.50 38.40 81.50 Gamma HHI 0.29 0.21 0.57 0.28 0.23 Net GEX 177.3K 30.7K 298.7K 161.2K 38.2K Net DEX -1.5M -2.8M -343.2K -1.3M -454.2K Net VEX -2.7K -3.6K -1.4K -3.6K -2.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.18 0.00 8.00 1.25 8.00 Total Volume 70 0 575 225 45 Total OI 1,900 740 2,505 2,115 745
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-02-03 $18.18 $17.60 20.8% 6.0% 15.6% 27.7% 20.1% 4.2% -1.0% 161.2K -1.3M -3.6K 1.25 38.40 N/A N/A 100 125 1,575 540 2014-02-04 $18.13 $17.60 18.4% 5.3% 15.3% 21.8% 17.8% 3.4% 0.0% 185.8K -1.2M -3.6K 0.56 37.80 N/A N/A 45 25 1,625 615 2014-02-05 $18.18 $17.60 19.6% 5.6% 13.7% 24.7% 21.6% 3.4% -0.4% 192.8K -1.4M -3.6K 0.00 46.52 N/A N/A 0 55 1,660 590 2014-02-06 $18.31 $17.60 17.7% 5.1% 14.0% 20.0% 0.0% 3.3% -0.1% 211.0K -1.5M -3.5K 7.00 41.41 N/A N/A 10 70 1,660 605 2014-02-07 $18.16 $18.20 14.9% 4.6% 13.4% 23.0% 0.0% 1.4% 0.7% 251.0K -1.4M -3.2K 0.00 22.75 N/A N/A 5 0 1,670 580 2014-02-10 $18.19 $18.20 14.8% 4.3% 13.5% 22.4% 14.4% 1.3% 0.9% 277.0K -1.4M -2.9K 0.00 30.21 N/A N/A 30 0 1,675 580 2014-02-11 $18.32 $18.20 12.7% 4.1% 13.7% 13.6% 14.5% 1.9% 1.4% 286.7K -1.7M -2.7K 0.83 26.28 N/A N/A 60 50 1,695 580 2014-02-12 $18.23 $18.20 14.1% 4.3% 13.2% 19.4% 0.0% 2.2% 1.2% 298.7K -1.5M -2.8K 0.00 23.98 N/A N/A 0 0 1,755 630 2014-02-13 $18.49 $18.20 14.9% 4.3% 14.3% 22.9% 0.0% 2.6% 0.9% 289.1K -2.1M -2.5K 0.00 20.22 N/A N/A 5 0 1,755 630 2014-02-14 $18.73 $18.20 14.2% 4.1% 15.0% 19.9% 0.0% 2.5% 0.8% 210.3K -2.5M -2.1K 0.00 27.23 N/A N/A 5 0 1,755 630 2014-02-18 $18.81 $18.20 14.9% 4.3% 15.1% 23.1% 14.6% 1.5% 0.5% 152.2K -2.7M -1.6K 0.00 30.36 N/A N/A 65 0 1,735 630 2014-02-19 $18.71 $18.20 14.9% 4.3% 15.2% 23.0% 0.0% 2.6% 0.6% 227.0K -2.5M -1.6K 0.00 24.82 N/A N/A 20 0 1,720 630 2014-02-20 $18.82 $18.20 14.6% 4.2% 15.4% 21.7% 0.0% 2.1% 0.4% 247.6K -2.8M -1.4K 0.00 35.25 N/A N/A 575 0 1,710 630 2014-02-21 $18.79 $18.20 13.2% 3.8% 15.3% 15.8% 0.0% -2.8% 3.2% 209.8K -2.8M -2.7K 0.00 57.28 N/A N/A 25 0 1,875 630 2014-02-24 $19.16 $18.20 14.3% 4.1% 15.2% 20.2% 0.0% 1.6% 0.9% 33.4K -436.2K -2.6K 0.00 31.90 N/A N/A 0 0 500 250 2014-02-25 $18.91 $18.20 14.8% 4.2% 16.1% 22.5% 0.0% 3.5% 0.3% 30.7K -343.2K -2.6K 0.00 29.27 N/A N/A 0 0 500 250 2014-02-26 $19.04 $18.20 15.0% 4.3% 16.2% 23.4% 17.5% 4.1% -0.0% 33.2K -379.8K -2.5K 0.00 30.13 N/A N/A 10 0 500 250 2014-02-27 $19.08 $18.60 15.1% 4.3% 15.9% 23.9% 14.9% 3.0% 0.2% 33.5K -379.5K -2.5K 0.00 30.08 N/A N/A 5 0 490 250 2014-02-28 $19.23 $18.60 15.2% 4.4% 15.5% 24.4% 12.9% -5.2% -1.1% 38.2K -454.2K -2.4K 8.00 81.50 N/A N/A 5 40 495 250
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