IHF Options History — November 2014

In November 2014, IHF traded between $22.09 and $23.12. ATM implied volatility averaged 19.1%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.9% (HV 20d: 17.2%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.77.

Notable Days

2014-11-20: Highest Volume — 675 contracts
2014-11-12: Largest IV spike — 55.7% change
2014-11-12: Highest IV Rank — 27.6%
2014-11-07: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.64	$22.09	$23.12	$22.71	$23.12
Max Pain	$21.00	$21.00	$21.00	$21.00	$21.00
ATM IV	19.1%	15.3%	23.8%	21.2%	16.6%
Expected Move	4.3%	3.9%	5.0%	3.9%	4.2%
HV 20d	17.2%	15.6%	20.1%	20.0%	15.8%
HV 60d	17.0%	16.0%	17.5%	16.0%	17.4%
IV Rank	18.6%	11.1%	27.6%	22.6%	13.6%
IV Percentile	50.8%	30.2%	73.4%	61.9%	36.9%
Term Structure	-3.2%	-11.5%	0.8%	-7.7%	-1.0%
VWIV	20.8%	17.1%	23.7%	20.6%	23.3%
Skew 25d	2.3%	-1.6%	4.1%	3.5%	2.4%
Skew 10d	5.9%	-8.7%	18.4%	3.5%	7.5%
Call IV 25d	19.6%	13.4%	25.9%	22.1%	16.7%
Put IV 25d	21.9%	17.0%	26.5%	25.6%	19.1%
Bid-Ask Spread %	108.17	53.07	130.40	114.31	118.83
Gamma HHI	0.23	0.15	0.47	0.19	0.27
Net GEX	6.1K	-20.9K	30.1K	7.7K	29
Net DEX	-657.2K	-945.5K	-99.7K	-858.8K	-112.5K
Net VEX	-710	-1.5K	-73	-809	-313
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.72	1.08	0.74	1.08
Total Volume	436.053	0	675	610	0
Total OI	669.211	190	835	825	190

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
2014-11-03	$22.71	$21.00	21.2%	3.9%	20.0%	22.6%	20.6%	3.5%	-7.7%	7.7K	-858.8K	-809	0.74	114.31	N/A	N/A	350	260	455	370
2014-11-04	$22.66	$21.00	20.7%	4.2%	19.4%	21.5%	18.8%	0.1%	-1.5%	5.7K	-794.9K	-1.0K	0.74	114.97	N/A	N/A	350	260	455	370
2014-11-05	$22.55	$21.00	23.3%	4.2%	18.5%	26.6%	20.4%	-1.6%	-11.5%	9.1K	-716.6K	-1.2K	0.72	112.33	N/A	N/A	360	260	455	370
2014-11-06	$22.71	$21.00	17.0%	4.2%	16.9%	14.3%	17.1%	3.4%	-1.6%	-2.0K	-879.2K	-903	0.72	89.46	N/A	N/A	360	260	465	370
2014-11-07	$22.09	$21.00	21.9%	5.0%	20.1%	23.9%	23.7%	1.6%	-2.9%	13.5K	-610.3K	-1.5K	0.72	95.86	N/A	N/A	360	260	465	370
2014-11-10	$22.29	$21.00	22.3%	4.6%	18.5%	24.7%	23.7%	-0.2%	-3.1%	11.8K	-582.4K	-1.4K	0.72	100.66	N/A	N/A	360	260	445	370
2014-11-11	$22.40	$21.00	15.3%	4.5%	18.4%	11.1%	18.6%	3.6%	0.8%	-20.9K	-750.9K	-734	0.72	53.07	N/A	N/A	360	260	415	360
2014-11-12	$22.45	$21.00	23.8%	4.5%	17.3%	27.6%	19.4%	4.1%	0.2%	16.5K	-775.5K	-820	0.72	109.99	N/A	N/A	360	260	445	370
2014-11-13	$22.46	$21.00	18.4%	4.4%	16.9%	17.0%	20.0%	1.0%	-2.6%	5.2K	-760.7K	-806	0.72	115.14	N/A	N/A	360	260	445	370
2014-11-14	$22.26	$21.00	16.1%	4.5%	17.0%	12.7%	0.0%	1.7%	-0.8%	30.1K	-804.3K	-844	0.00	127.36	N/A	N/A	0	0	445	295
2014-11-17	$22.55	$21.00	16.3%	4.4%	17.2%	13.1%	19.6%	0.2%	-3.3%	10.1K	-845.3K	-493	0.72	93.92	N/A	N/A	360	260	445	370
2014-11-18	$22.89	$21.00	17.3%	4.2%	15.6%	15.0%	20.6%	3.6%	-2.5%	-15.3K	-945.5K	-301	0.72	118.48	N/A	N/A	360	260	445	370
2014-11-19	$22.61	$21.00	16.4%	4.4%	16.1%	13.2%	0.0%	2.9%	-1.2%	15.3K	-916.2K	-521	0.00	127.45	N/A	N/A	0	0	445	295
2014-11-20	$22.69	$21.00	21.9%	4.4%	16.0%	24.0%	22.3%	3.6%	-7.9%	18.9K	-868.0K	-569	0.88	100.03	N/A	N/A	360	315	445	295
2014-11-21	$22.76	$21.00	21.7%	4.3%	15.9%	23.5%	22.9%	1.9%	-8.8%	8.9K	-916.1K	-519	0.88	97.15	N/A	N/A	360	315	445	295
2014-11-24	$22.93	$21.00	16.1%	4.1%	16.0%	12.7%	0.0%	3.4%	-1.5%	-563	-99.7K	-408	0.00	128.85	N/A	N/A	0	0	65	125
2014-11-25	$22.96	$21.00	21.4%	4.2%	15.9%	22.9%	23.3%	3.9%	-1.3%	1.6K	-138.2K	-73	1.08	107.00	N/A	N/A	65	70	65	125
2014-11-26	$23.03	$21.00	16.1%	4.1%	15.9%	12.7%	0.0%	4.1%	-2.4%	-37	-111.2K	-314	0.00	130.40	N/A	N/A	0	0	65	125
2014-11-28	$23.12	$21.00	16.6%	4.2%	15.8%	13.6%	0.0%	2.4%	-1.0%	29	-112.5K	-313	0.00	118.83	N/A	N/A	0	0	65	125