IHF Options History — October 2014

In October 2014, IHF traded between $20.50 and $22.73. ATM implied volatility averaged 22.4%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.3% (HV 20d: 20.1%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 19 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.96.

Notable Days

  • 2014-10-30: Highest Volume — 610 contracts
  • 2014-10-29: Largest IV spike — 39.9% change
  • 2014-10-15: Highest IV Rank — 58.3%
  • 2014-10-15: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.46$20.50$22.73$21.03$22.73
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV22.4%16.6%39.6%19.6%16.6%
Expected Move4.5%4.0%5.2%4.6%4.0%
HV 20d20.1%15.4%23.7%15.4%20.8%
HV 60d15.2%12.9%16.8%12.9%16.1%
IV Rank24.8%13.6%58.3%19.5%13.6%
IV Percentile65.4%42.1%98.8%60.7%42.1%
Term Structure-2.9%-11.7%6.6%-2.3%-3.7%
VWIV17.0%13.7%19.9%13.7%15.9%
Skew 25d4.4%-1.1%20.7%-0.2%-0.2%
Skew 10d6.2%-4.5%26.0%-3.6%-4.5%
Call IV 25d20.0%12.4%26.5%21.6%17.6%
Put IV 25d24.4%17.4%37.2%21.4%17.4%
Bid-Ask Spread %104.1853.76122.36118.3195.12
Gamma HHI0.200.150.260.190.18
Net GEX8.2K-6.4K18.0K11.2K3.6K
Net DEX-221.3K-830.6K60.6K-76.0K-830.6K
Net VEX-1.4K-1.6K-1.1K-1.5K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.001.580.680.74
Total Volume228.696061070610
Total OI517.174365825415825

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-10-01$21.03$21.0019.6%4.6%15.4%19.5%13.7%-0.2%-2.3%11.2K-76.0K-1.5K0.00118.31N/AN/A070240175
2014-10-02$21.15$21.0018.5%4.4%15.5%17.3%0.0%2.7%-2.4%17.0K-174.5K-1.4K0.00111.23N/AN/A00240125
2014-10-03$21.49$21.0019.0%4.2%16.3%18.2%0.0%2.9%-4.4%18.0K-243.9K-1.3K0.00121.16N/AN/A00240125
2014-10-06$21.21$21.0016.6%4.4%16.7%13.7%0.0%6.4%-6.5%17.0K-206.9K-1.4K0.0053.76N/AN/A00240125
2014-10-07$20.99$21.0022.7%4.5%16.8%25.4%0.0%1.6%-2.9%16.3K-164.3K-1.4K0.00122.36N/AN/A00240125
2014-10-08$21.44$21.0023.3%4.2%18.8%26.5%15.3%10.5%-2.2%3.9K-132.6K-1.4K0.68101.52N/AN/A190130240185
2014-10-09$21.05$21.0024.6%4.5%19.7%29.2%0.0%1.1%-4.1%15.3K-178.7K-1.3K0.00115.40N/AN/A00240125
2014-10-10$21.20$21.0028.0%4.5%19.7%35.8%16.5%5.5%-3.7%10.1K-89.6K-1.4K0.6894.55N/AN/A190130240185
2014-10-13$20.78$21.0033.4%4.9%20.7%46.3%0.0%2.9%-2.6%15.5K-162.3K-1.3K0.00111.42N/AN/A055240125
2014-10-14$20.78$21.0033.4%4.9%20.0%46.3%16.6%8.4%-5.5%6.4K19.2K-1.5K0.9795.72N/AN/A190185240240
2014-10-15$20.50$21.0039.6%5.2%20.4%58.3%17.5%-0.8%-5.2%5.3K60.6K-1.5K0.9788.64N/AN/A190185240240
2014-10-16$20.80$21.0024.2%5.2%21.0%28.3%0.0%4.6%-6.7%10.4K-98.0K-1.4K0.0098.21N/AN/A0105240180
2014-10-17$21.09$21.0021.4%4.9%21.7%23.0%0.0%3.5%-3.5%1.4K-72.7K-1.6K0.6796.45N/AN/A1510240285
2014-10-20$21.30$21.0016.6%4.5%22.0%13.7%0.0%-1.1%-0.4%3.7K-153.8K-1.4K0.00114.79N/AN/A00255295
2014-10-21$21.86$21.0017.5%4.2%23.7%15.4%15.1%20.7%-2.2%-792-153.6K-1.5K1.58106.25N/AN/A155245255355
2014-10-22$21.69$21.0016.6%4.6%23.1%13.6%19.3%-0.7%6.6%-796-180.4K-1.5K1.5887.35N/AN/A155245255355
2014-10-23$21.86$21.0020.5%4.3%22.1%21.2%19.9%6.7%-1.3%-4.5K-156.1K-1.5K1.58106.91N/AN/A155245255355
2014-10-24$21.96$21.0022.5%4.1%22.1%25.0%17.3%5.8%1.6%-6.4K-212.8K-1.3K1.58102.24N/AN/A155245255355
2014-10-27$21.96$21.0018.4%4.3%22.1%17.0%0.0%3.9%-2.4%10.4K-321.6K-1.2K0.00108.16N/AN/A00255295
2014-10-28$22.11$21.0017.1%4.1%21.7%14.6%0.0%6.6%0.5%9.2K-342.9K-1.1K0.00118.66N/AN/A2000255295
2014-10-29$22.20$21.0023.9%4.1%20.6%27.9%18.4%3.6%-11.7%13.3K-594.5K-1.5K0.70107.35N/AN/A350245455355
2014-10-30$22.34$21.0020.6%4.1%20.6%21.3%18.9%5.8%-1.2%13.0K-624.4K-1.5K0.74120.53N/AN/A350260455355
2014-10-31$22.73$21.0016.6%4.0%20.8%13.6%15.9%-0.2%-3.7%3.6K-830.6K-1.1K0.7495.12N/AN/A350260455370