IHF Options History — December 2014

In December 2014, IHF traded between $22.76 and $23.99. ATM implied volatility averaged 20.9%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 6.6% (HV 20d: 14.3%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.85.

Notable Days

  • 2014-12-24: Highest Volume — 895 contracts
  • 2014-12-22: Largest IV spike — 39.0% change
  • 2014-12-29: Highest IV Rank — 32.8%
  • 2014-12-31: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.50$22.76$23.99$23.07$23.67
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV20.9%16.6%26.5%22.4%23.6%
Expected Move4.3%3.6%5.0%4.1%5.0%
HV 20d14.3%10.9%15.8%14.8%15.8%
HV 60d17.5%16.8%18.2%17.3%16.8%
IV Rank21.9%13.7%32.8%24.9%27.3%
IV Percentile57.5%34.1%82.5%67.1%72.6%
Term Structure-4.8%-14.1%1.5%-8.1%-5.9%
VWIV24.7%17.0%35.2%24.6%18.0%
Skew 25d3.6%-2.1%8.3%7.5%2.3%
Skew 10d5.2%-2.8%10.9%8.3%7.3%
Call IV 25d22.0%11.5%30.5%20.1%25.8%
Put IV 25d25.6%13.3%31.1%27.6%28.1%
Bid-Ask Spread %112.3992.75130.46106.12123.81
Gamma HHI0.400.230.650.310.55
Net GEX19.4K-6.1K96.7K-18981.5K
Net DEX-324.3K-1.0M-20.3K-111.0K-862.5K
Net VEX-1.3K-3.4K-136-296-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.171.851.080.17
Total Volume289.54508951350
Total OI415190950190950

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-12-01$23.07$21.0022.4%4.1%14.8%24.9%24.6%7.5%-8.1%-189-111.0K-2961.08106.12N/AN/A657065125
2014-12-02$23.15$21.0022.8%4.1%14.8%25.6%33.0%3.5%-1.2%-1.4K-133.9K-1361.08108.28N/AN/A657065125
2014-12-03$23.47$21.0022.2%3.9%15.4%24.5%24.3%6.1%-0.6%576-128.0K-2131.08108.94N/AN/A657065125
2014-12-04$23.37$21.0016.9%4.0%15.4%14.2%0.0%4.5%-1.8%991-131.8K-1660.00129.24N/AN/A0065125
2014-12-05$23.58$21.0022.1%3.7%15.5%24.4%29.4%-0.1%-8.5%1.1K-98.1K-3941.08108.71N/AN/A657065125
2014-12-08$23.50$21.0018.4%3.8%11.1%17.1%19.0%1.9%0.8%-434-108.8K-3511.0892.75N/AN/A657065125
2014-12-09$23.59$21.0020.5%4.2%10.9%21.3%23.8%7.3%-5.5%337-122.8K-2611.08108.12N/AN/A657065125
2014-12-10$23.13$21.0019.3%4.4%13.5%18.9%25.9%4.9%0.7%-1.3K-88.3K-4061.85107.49N/AN/A6512065125
2014-12-11$23.29$21.0018.9%4.3%13.6%18.1%26.5%6.2%-0.7%-5.6K-55.3K-6111.85112.05N/AN/A6512065175
2014-12-12$23.09$21.0019.9%4.4%14.1%20.0%26.0%6.0%0.8%-6.0K-42.9K-6421.85108.19N/AN/A6512065175
2014-12-15$22.99$21.0018.9%4.8%13.7%18.1%24.0%4.5%-1.2%-6.1K-20.3K-7400.45115.24N/AN/A26512065175
2014-12-16$22.76$21.0018.6%5.0%13.6%17.5%25.5%8.3%1.5%9.9K-229.2K-1.9K0.4596.95N/AN/A265120265175
2014-12-17$23.13$21.0020.0%4.7%13.8%20.2%35.2%6.2%-8.9%9.6K-282.5K-1.7K0.45103.88N/AN/A265120265175
2014-12-18$23.63$21.0019.1%4.5%14.9%18.5%25.1%5.5%-7.2%13.3K-322.2K-1.7K0.45102.22N/AN/A265120265175
2014-12-19$23.74$21.0016.6%3.6%14.9%13.7%0.0%2.8%-2.8%14.2K-375.4K-1.5K0.00129.81N/AN/A00265175
2014-12-22$23.90$21.0023.1%4.2%15.0%26.3%23.9%1.6%-10.0%14.9K-362.3K-1.7K0.45113.84N/AN/A265120265175
2014-12-23$23.95$21.0020.3%4.1%14.9%20.7%26.4%-2.1%-8.3%15.2K-366.6K-1.6K0.49121.35N/AN/A265130265175
2014-12-24$23.98$21.0022.6%4.2%14.9%25.2%17.0%-1.8%-9.0%12.8K-378.8K-1.6K0.17116.18N/AN/A765130265185
2014-12-26$23.99$21.0023.2%4.2%14.9%26.5%17.4%0.7%-8.1%84.8K-964.5K-3.3K0.17114.64N/AN/A765130765185
2014-12-29$23.96$21.0026.5%4.3%14.9%32.8%18.0%-0.7%-14.1%92.3K-939.2K-3.3K0.17114.36N/AN/A765130765185
2014-12-30$23.99$21.0023.5%4.4%14.8%27.1%0.0%4.8%-8.4%96.7K-1.0M-3.3K0.00130.46N/AN/A00765185
2014-12-31$23.67$21.0023.6%5.0%15.8%27.3%0.0%2.3%-5.9%81.5K-862.5K-3.4K0.00123.81N/AN/A00765185