IHF Options History — March 2014

In March 2014, IHF traded between $19.00 and $19.81. ATM implied volatility averaged 22.8%, placing in the 47.5% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 9.6% (HV 20d: 13.2%). Max pain ranged from $18.60 to $18.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-03-10: Highest Volume — 50 contracts
  • 2014-03-11: Largest IV spike — 145.0% change
  • 2014-03-11: Highest IV Rank — 100.0%
  • 2014-03-06: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.42$19.00$19.81$19.12$19.77
Max Pain$18.60$18.60$18.60$18.60$18.60
ATM IV22.8%13.5%39.1%17.4%27.8%
Expected Move6.0%3.9%8.9%5.0%8.0%
HV 20d13.2%12.2%15.5%15.5%12.7%
HV 60d13.7%13.2%14.5%14.3%13.8%
IV Rank47.5%13.1%100.0%33.8%61.7%
IV Percentile88.2%21.8%100.0%85.7%98.4%
Term Structure-4.7%-12.4%2.5%-1.1%-10.3%
Skew 25d5.2%0.4%9.8%0.4%8.5%
Skew 10d8.7%0.7%21.3%7.6%15.1%
Call IV 25d23.4%12.8%34.2%16.5%30.7%
Put IV 25d28.6%16.9%43.6%16.9%39.2%
Bid-Ask Spread %138.6326.88181.0041.99170.26
Gamma HHI0.350.220.570.220.57
Net GEX24.6K13.5K41.2K30.2K15.3K
Net DEX-452.4K-590.2K-358.5K-395.1K-413.3K
Net VEX-2.0K-2.5K-1.6K-2.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume6.905050050
Total OI668.333525740740525

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$19.12$18.6017.4%5.0%15.5%33.8%0.0%0.4%-1.1%30.2K-395.1K-2.5K0.0041.99N/AN/A00490250
2014-03-04$19.39$18.6015.3%4.4%13.4%24.5%0.0%2.8%-0.6%35.8K-490.4K-2.4K0.0037.93N/AN/A00490250
2014-03-05$19.38$18.6015.2%4.4%13.3%24.2%0.0%3.8%-0.1%36.7K-481.4K-2.4K0.0037.36N/AN/A00490250
2014-03-06$19.37$18.6030.9%8.9%13.4%92.1%0.0%9.4%-12.4%24.6K-482.1K-2.3K0.00167.17N/AN/A00490250
2014-03-07$19.33$0.0015.7%4.5%13.5%26.4%0.0%3.2%0.4%38.4K-475.0K-2.3K0.0026.88N/AN/A00490250
2014-03-10$19.37$0.0015.2%4.4%12.8%24.3%0.0%3.7%0.4%41.2K-484.2K-2.3K0.0039.86N/AN/A050490250
2014-03-11$19.34$0.0037.2%5.7%12.9%100.0%0.0%6.0%-4.4%25.2K-501.6K-2.1K0.00170.23N/AN/A00490250
2014-03-12$19.35$0.0039.1%5.7%12.9%100.0%0.0%6.2%-5.0%25.3K-465.4K-2.2K0.00176.00N/AN/A00490245
2014-03-13$19.12$0.0020.5%5.9%13.7%37.1%0.0%2.8%-4.9%23.7K-414.0K-2.2K0.00180.23N/AN/A040490245
2014-03-14$19.00$0.0021.0%6.0%13.2%38.8%0.0%0.7%-3.8%23.5K-392.9K-2.1K0.00176.41N/AN/A00490235
2014-03-17$19.15$0.0021.7%6.2%12.8%41.2%0.0%3.6%-6.2%25.3K-428.0K-2.1K0.00181.00N/AN/A00490235
2014-03-18$19.46$0.0021.8%6.2%13.7%41.4%0.0%7.4%-5.7%27.6K-503.7K-2.0K0.00175.93N/AN/A00490235
2014-03-19$19.68$0.0021.9%6.3%13.9%41.7%0.0%9.8%-5.4%27.5K-590.2K-1.8K0.00162.32N/AN/A00490235
2014-03-20$19.81$0.0022.1%6.3%13.9%42.4%0.0%7.3%-6.0%23.5K-554.8K-1.7K0.00164.58N/AN/A50435235
2014-03-21$19.72$0.0022.5%6.4%14.0%43.7%0.0%6.5%-5.1%22.1K-518.6K-1.7K0.00159.56N/AN/A00430235
2014-03-24$19.52$0.0024.0%6.9%13.2%48.8%0.0%5.1%-6.2%13.5K-387.2K-1.8K0.00164.24N/AN/A00345180
2014-03-25$19.45$0.0024.6%7.1%12.2%51.1%0.0%4.5%-6.0%13.9K-375.2K-1.7K0.00166.99N/AN/A00345180
2014-03-26$19.57$0.0013.5%3.9%12.2%13.1%0.0%7.1%2.5%14.7K-404.0K-1.7K0.00165.96N/AN/A00345180
2014-03-27$19.43$0.0025.7%7.4%12.5%54.7%0.0%4.6%-8.7%14.0K-358.5K-1.8K0.00176.03N/AN/A00345180
2014-03-28$19.54$0.0026.1%7.5%12.4%55.9%0.0%5.7%-9.7%14.3K-384.5K-1.7K0.00170.36N/AN/A00345180
2014-03-31$19.77$0.0027.8%8.0%12.7%61.7%0.0%8.5%-10.3%15.3K-413.3K-1.6K0.00170.26N/AN/A050345180