IHF Options History — January 2015

In January 2015, IHF traded between $23.17 and $24.66. ATM implied volatility averaged 24.1%, placing in the 28.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 5.8% (HV 20d: 18.3%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.15.

Notable Days

  • 2015-01-23: Highest Volume — 970 contracts
  • 2015-01-23: Largest IV spike — 62.0% change
  • 2015-01-13: Highest IV Rank — 62.1%
  • 2015-01-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.94$23.17$24.66$23.66$23.74
Max Pain$21.00$21.00$21.00$21.00$21.00
ATM IV24.1%12.8%41.6%29.0%22.9%
Expected Move5.3%3.7%6.6%5.0%6.6%
HV 20d18.3%15.1%20.5%15.1%20.5%
HV 60d16.4%15.8%16.9%16.6%16.9%
IV Rank28.2%6.2%62.1%37.6%25.8%
IV Percentile60.1%2.0%98.8%87.3%64.7%
Term Structure-3.6%-10.0%1.9%-10.0%-6.5%
VWIV21.8%13.1%28.2%25.2%23.6%
Skew 25d2.6%-4.0%7.1%0.7%2.5%
Skew 10d6.9%-1.6%13.0%5.9%9.8%
Call IV 25d23.4%12.8%30.2%30.2%26.4%
Put IV 25d26.0%14.7%33.1%30.9%28.9%
Bid-Ask Spread %123.5299.23136.55110.72131.42
Gamma HHI0.580.480.720.540.51
Net GEX100.3K80.3K182.4K81.5K96.8K
Net DEX-1.1M-1.6M-689.1K-821.3K-1.2M
Net VEX-2.9K-3.3K-2.4K-3.3K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.170.170.15
Total Volume561.250970895970
Total OI998.59501,0559501,055

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$23.66$21.0029.0%5.0%15.1%37.6%25.2%0.7%-10.0%81.5K-821.3K-3.3K0.17110.72N/AN/A765130765185
2015-01-05$23.29$21.0028.2%5.3%16.1%36.1%0.0%2.2%0.0%88.1K-715.2K-3.1K0.00127.38N/AN/A00765185
2015-01-06$23.17$21.0027.7%4.9%15.8%35.2%0.0%0.8%0.9%82.9K-689.1K-3.0K0.00128.64N/AN/A00765185
2015-01-07$23.53$21.0028.5%4.5%16.8%36.8%0.0%1.1%-0.1%97.0K-733.8K-3.0K0.00136.55N/AN/A00765185
2015-01-08$24.22$21.0027.8%5.0%19.7%35.4%16.0%6.4%-7.3%85.4K-1.0M-2.9K0.17112.50N/AN/A765130765185
2015-01-09$24.06$21.0034.6%5.2%18.3%48.5%19.6%-0.0%-3.6%95.8K-992.8K-3.0K0.17115.61N/AN/A765130765185
2015-01-12$23.67$21.0036.2%6.1%19.3%51.7%22.4%2.1%-2.9%82.8K-863.6K-3.1K0.16114.62N/AN/A795130765185
2015-01-13$23.78$21.0041.6%5.0%19.1%62.1%27.3%1.0%-3.7%87.9K-941.1K-3.0K0.17113.42N/AN/A785130795185
2015-01-14$23.77$21.0017.5%5.0%19.0%15.4%26.6%5.5%-4.1%80.3K-949.9K-3.0K0.17120.61N/AN/A785130810185
2015-01-15$23.72$21.0018.2%5.2%18.5%16.7%28.2%2.8%-4.9%93.7K-926.9K-3.0K0.17121.06N/AN/A785130810185
2015-01-16$24.03$21.0016.7%4.8%18.3%13.8%0.0%2.3%-0.2%114.4K-1.1M-2.9K0.00129.70N/AN/A00810185
2015-01-20$23.87$21.0018.6%5.3%16.9%17.4%0.0%3.5%-2.1%105.3K-1.0M-2.8K0.00132.99N/AN/A400810180
2015-01-21$24.20$21.0018.1%5.2%17.5%16.5%0.0%7.1%-2.2%110.5K-1.3M-3.0K0.00129.53N/AN/A00850180
2015-01-22$24.66$21.0012.8%3.7%18.6%6.2%13.1%1.9%1.9%182.4K-1.6M-2.4K0.1599.23N/AN/A825125850180
2015-01-23$24.41$21.0020.7%5.9%19.1%21.7%17.2%-4.0%-4.8%103.4K-1.4M-2.8K0.15121.84N/AN/A845125850180
2015-01-26$24.47$21.0019.6%5.6%19.1%19.4%0.0%5.0%-4.2%109.0K-1.5M-2.6K0.00135.45N/AN/A00875180
2015-01-27$24.31$21.0020.0%5.7%19.3%20.3%0.0%3.7%-6.7%112.2K-1.4M-2.7K0.00136.27N/AN/A00875180
2015-01-28$24.00$21.0021.1%6.1%19.8%22.4%18.5%1.8%-5.5%92.8K-1.3M-2.9K0.15128.40N/AN/A845125875180
2015-01-29$24.17$21.0022.8%6.5%20.0%25.6%24.6%5.1%-5.2%104.1K-1.3M-2.7K0.15124.53N/AN/A845125875180
2015-01-30$23.74$21.0022.9%6.6%20.5%25.8%23.6%2.5%-6.5%96.8K-1.2M-2.8K0.15131.42N/AN/A845125875180