IHF Options History — June 2014 In June 2014, IHF traded between $20.14 and $20.70. ATM implied volatility averaged 25.5%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 17.6% (HV 20d: 7.9%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2014-06-06 : Largest IV spike — 70.2% change2014-06-10 : Highest IV Rank — 53.0%2014-06-03 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $20.48 $20.14 $20.70 $20.14 $20.56 ATM IV 25.5% 18.0% 36.9% 27.2% 26.4% Expected Move 5.8% 4.0% 9.1% 7.8% 4.0% HV 20d 7.9% 6.3% 10.7% 10.6% 7.7% HV 60d 12.7% 12.2% 13.5% 13.4% 12.3% IV Rank 30.9% 16.3% 53.0% 34.2% 32.7% IV Percentile 83.3% 67.1% 96.4% 92.1% 88.5% Term Structure -6.2% -11.4% 0.3% -10.2% -9.4% Skew 25d 5.2% 1.8% 10.8% 10.1% 4.7% Skew 10d 9.3% -6.3% 16.9% 16.5% -6.3% Call IV 25d 27.1% 21.1% 37.2% 30.6% 31.8% Put IV 25d 32.3% 25.5% 40.9% 40.7% 36.5% Bid-Ask Spread % 136.30 92.44 170.57 168.43 103.52 Gamma HHI 0.72 0.66 0.83 0.72 0.73 Net GEX 23.4K 19.8K 37.9K 26.7K 21.3K Net DEX -515.2K -558.7K -457.8K -457.8K -552.0K Net VEX -828 -1.0K -661 -1.0K -661 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 335 335 335 335 335
Daily Data (21 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 2014-06-02 $20.14 $0.00 27.2% 7.8% 10.6% 34.2% 0.0% 10.1% -10.2% 26.7K -457.8K -1.0K 0.00 168.43 N/A N/A 0 0 320 15 2014-06-03 $20.25 $0.00 31.9% 9.1% 10.7% 43.2% 0.0% 5.3% -9.3% 37.9K -486.4K -879 0.00 145.56 N/A N/A 0 0 320 15 2014-06-04 $20.40 $0.00 31.4% 9.0% 10.5% 42.3% 0.0% 1.8% -11.4% 30.9K -482.4K -918 0.00 144.41 N/A N/A 0 0 320 15 2014-06-05 $20.52 $0.00 19.8% 5.7% 9.6% 19.9% 0.0% 8.9% -1.7% 21.6K -522.6K -871 0.00 148.22 N/A N/A 0 0 320 15 2014-06-06 $20.57 $0.00 33.8% 5.9% 8.6% 46.9% 0.0% 3.0% -5.7% 21.3K -482.2K -990 0.00 131.65 N/A N/A 0 0 320 15 2014-06-09 $20.55 $0.00 35.8% 6.1% 8.6% 50.8% 0.0% 2.9% -4.3% 20.0K -469.3K -1.0K 0.00 130.67 N/A N/A 0 0 320 15 2014-06-10 $20.55 $0.00 36.9% 6.1% 7.4% 53.0% 0.0% 5.8% -5.8% 21.6K -480.2K -969 0.00 135.69 N/A N/A 0 0 320 15 2014-06-11 $20.52 $0.00 36.7% 6.2% 7.5% 52.7% 0.0% 2.1% -6.4% 21.5K -477.7K -969 0.00 133.33 N/A N/A 0 0 320 15 2014-06-12 $20.42 $0.00 21.9% 6.3% 7.3% 23.9% 0.0% 5.6% -6.6% 22.8K -521.2K -823 0.00 156.84 N/A N/A 0 0 320 15 2014-06-13 $20.42 $0.00 19.6% 5.6% 7.1% 19.4% 0.0% 4.9% -4.9% 22.6K -517.9K -870 0.00 170.57 N/A N/A 0 0 320 15 2014-06-16 $20.34 $0.00 20.4% 5.9% 7.5% 21.1% 0.0% 4.5% -5.6% 23.4K -506.8K -854 0.00 164.55 N/A N/A 0 0 320 15 2014-06-17 $20.31 $0.00 19.5% 5.6% 7.1% 19.3% 0.0% 3.5% -5.9% 25.3K -539.4K -725 0.00 166.19 N/A N/A 0 0 320 15 2014-06-18 $20.36 $0.00 21.1% 6.0% 6.9% 22.3% 0.0% 4.7% -5.9% 23.7K -515.3K -839 0.00 168.14 N/A N/A 0 0 320 15 2014-06-19 $20.50 $0.00 20.6% 5.9% 6.7% 21.4% 0.0% 5.4% -5.0% 22.1K -535.1K -777 0.00 165.63 N/A N/A 0 0 320 15 2014-06-20 $20.66 $0.00 18.0% 5.2% 6.9% 16.3% 0.0% 8.9% 0.3% 23.9K -533.4K -723 0.00 149.97 N/A N/A 0 0 320 15 2014-06-23 $20.70 $0.00 22.7% 4.3% 6.3% 25.5% 0.0% 10.8% -6.7% 19.8K -558.7K -694 0.00 95.27 N/A N/A 0 0 320 15 2014-06-24 $20.52 $0.00 23.3% 4.4% 7.1% 26.6% 0.0% 3.5% -7.6% 21.6K -535.1K -748 0.00 92.44 N/A N/A 0 0 320 15 2014-06-25 $20.66 $0.00 21.3% 4.3% 7.2% 22.8% 0.0% 5.1% -5.3% 20.2K -557.7K -680 0.00 93.37 N/A N/A 0 0 320 15 2014-06-26 $20.51 $0.00 22.8% 4.2% 7.7% 25.7% 0.0% 2.2% -5.4% 22.1K -540.0K -685 0.00 96.35 N/A N/A 0 0 320 15 2014-06-27 $20.58 $0.00 24.8% 4.0% 7.7% 29.5% 0.0% 5.7% -8.4% 21.1K -547.7K -670 0.00 101.48 N/A N/A 0 0 320 15 2014-06-30 $20.56 $0.00 26.4% 4.0% 7.7% 32.7% 0.0% 4.7% -9.4% 21.3K -552.0K -661 0.00 103.52 N/A N/A 0 0 320 15
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