IHF Options History — September 2014

In September 2014, IHF traded between $21.37 and $22.18. ATM implied volatility averaged 16.6%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 6.1% (HV 20d: 10.4%). Max pain ranged from $20.60 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days.

Notable Days

  • 2014-09-16: Highest Volume — 60 contracts
  • 2014-09-11: Largest IV drop — 28.7% change
  • 2014-09-10: Highest IV Rank — 20.1%
  • 2014-09-30: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.86$21.37$22.18$21.86$21.37
Max Pain$20.87$20.60$21.00$20.60$21.00
ATM IV16.6%14.2%20.0%16.5%18.2%
Expected Move3.9%3.1%4.4%4.0%4.4%
HV 20d10.4%8.1%14.4%10.5%14.4%
HV 60d11.5%10.8%12.8%10.8%12.7%
IV Rank13.6%9.0%20.1%13.5%16.7%
IV Percentile47.5%26.2%62.3%50.8%56.3%
Term Structure-1.6%-7.4%0.7%-1.9%-2.0%
VWIV14.2%14.2%14.2%14.2%14.2%
Skew 25d2.0%-8.7%5.0%3.9%2.0%
Skew 10d4.9%-8.0%9.2%7.7%0.2%
Call IV 25d16.6%12.8%20.3%16.8%20.3%
Put IV 25d18.6%10.2%22.7%20.7%22.3%
Bid-Ask Spread %116.7379.89122.74117.45120.38
Gamma HHI0.230.190.280.260.20
Net GEX13.3K6.3K18.6K17.3K11.3K
Net DEX-272.4K-363.9K-142.7K-321.1K-142.7K
Net VEX-1.4K-1.6K-1.2K-1.4K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume3.33306000
Total OI380.238345415345415

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$21.86$20.6016.5%4.0%10.5%13.5%0.0%3.9%-1.9%17.3K-321.1K-1.4K0.00117.45N/AN/A00240105
2014-09-03$21.84$20.6017.3%4.0%10.1%14.9%0.0%2.9%-2.1%16.4K-324.1K-1.3K0.00118.87N/AN/A00240105
2014-09-04$21.71$20.6015.6%4.0%10.6%11.7%0.0%1.9%-2.5%16.8K-305.8K-1.4K0.00109.30N/AN/A00240105
2014-09-05$21.91$20.6017.3%3.5%9.0%14.9%0.0%3.1%-4.4%17.6K-322.4K-1.3K0.00107.99N/AN/A00240105
2014-09-08$21.99$20.6017.4%3.9%8.8%15.2%0.0%2.5%-0.2%18.6K-330.9K-1.3K0.00119.22N/AN/A00240105
2014-09-09$22.06$20.6019.1%3.9%8.6%18.5%0.0%2.8%-1.4%17.6K-363.9K-1.2K0.00118.64N/AN/A00240105
2014-09-10$22.01$20.6020.0%3.8%8.7%20.1%14.2%3.2%0.4%16.7K-336.7K-1.3K0.00121.61N/AN/A010240105
2014-09-11$22.07$21.0014.2%3.9%8.1%9.0%0.0%-3.5%-3.1%16.6K-344.3K-1.3K0.00120.23N/AN/A00240115
2014-09-12$21.84$21.0015.4%3.9%9.0%11.2%0.0%2.0%-0.2%16.1K-306.7K-1.4K0.00115.28N/AN/A00240115
2014-09-15$21.69$21.0016.5%4.2%9.3%13.5%0.0%1.8%-1.1%16.2K-281.0K-1.4K0.00119.89N/AN/A00240115
2014-09-16$21.94$21.0015.4%3.9%9.2%11.3%0.0%3.5%-0.7%18.3K-318.1K-1.3K0.00116.18N/AN/A060240115
2014-09-17$21.92$21.0015.4%4.0%8.9%11.4%0.0%2.7%-2.1%8.2K-238.6K-1.5K0.00120.72N/AN/A00240175
2014-09-18$22.12$21.0015.2%3.8%9.3%10.8%0.0%3.8%-1.2%6.3K-276.7K-1.4K0.00121.96N/AN/A00240175
2014-09-19$22.18$21.0014.8%3.1%9.3%10.2%0.0%2.1%-1.9%9.7K-230.8K-1.4K0.00122.74N/AN/A00240175
2014-09-22$21.96$21.0015.6%3.9%10.1%11.6%0.0%2.5%0.1%8.3K-252.8K-1.4K0.00119.34N/AN/A00240175
2014-09-23$21.71$21.0015.8%3.9%11.0%12.1%0.0%1.8%0.2%8.8K-181.6K-1.6K0.00121.24N/AN/A00240175
2014-09-24$22.06$21.0015.1%3.8%12.1%10.6%0.0%5.0%0.7%10.4K-256.8K-1.3K0.00117.96N/AN/A00240175
2014-09-25$21.62$21.0018.0%4.1%14.0%16.4%0.0%-8.7%-7.4%8.8K-238.7K-1.4K0.0079.89N/AN/A00240175
2014-09-26$21.58$21.0016.8%4.2%14.0%14.0%0.0%3.2%-1.1%10.8K-170.2K-1.5K0.00121.71N/AN/A00240175
2014-09-29$21.63$21.0018.3%4.2%13.9%16.9%0.0%4.0%-2.5%9.3K-176.1K-1.5K0.00120.70N/AN/A00240175
2014-09-30$21.37$21.0018.2%4.4%14.4%16.7%0.0%2.0%-2.0%11.3K-142.7K-1.5K0.00120.38N/AN/A00240175