IHF Options History — February 2015 In February 2015, IHF traded between $23.82 and $25.45. ATM implied volatility averaged 17.9%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.0% (HV 20d: 16.9%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.35.
Notable Days 2015-02-09 : Highest Volume — 1,170 contracts2015-02-10 : Largest IV spike — 109.0% change2015-02-10 : Highest IV Rank — 37.9%2015-02-04 : Largest Expected Move — 8.3%Monthly Statistics Metric Avg Min Max Open Close Price $24.71 $23.82 $25.45 $23.82 $25.45 Max Pain $23.50 $21.00 $24.00 $21.00 $24.00 ATM IV 17.9% 11.5% 29.1% 24.1% 11.9% Expected Move 4.7% 3.3% 8.3% 6.9% 3.4% HV 20d 16.9% 14.1% 20.5% 20.5% 14.1% HV 60d 16.4% 15.9% 17.0% 16.9% 16.3% IV Rank 16.1% 3.7% 37.9% 28.1% 4.5% IV Percentile 28.7% 0.4% 86.1% 71.0% 1.6% Term Structure -1.7% -11.3% 2.2% -2.9% 0.8% VWIV 15.6% 10.4% 25.6% 25.6% 12.6% Skew 25d 3.1% 1.0% 7.1% 5.0% 2.1% Skew 10d 4.7% -0.3% 11.4% 11.4% 2.4% Call IV 25d 17.1% 10.7% 26.2% 25.4% 11.4% Put IV 25d 20.2% 12.9% 33.3% 30.4% 13.5% Bid-Ask Spread % 85.29 40.43 134.76 134.76 81.35 Gamma HHI 0.42 0.21 0.73 0.53 0.21 Net GEX 78.5K 16.3K 221.4K 110.1K 16.9K Net DEX -1.4M -2.2M -912.0K -1.1M -990.8K Net VEX -2.6K -3.1K -2.1K -2.7K -2.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.00 0.71 0.15 0.53 Total Volume 737.105 0 1,170 0 460 Total OI 1,076.579 695 1,330 1,055 740
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 2015-02-02 $23.82 $21.00 24.1% 6.9% 20.5% 28.1% 0.0% 5.0% -2.9% 110.1K -1.1M -2.7K 0.00 134.76 N/A N/A 0 0 875 180 2015-02-03 $24.08 $21.00 27.8% 8.0% 19.9% 35.4% 25.6% 7.1% -9.7% 108.4K -1.2M -2.5K 0.15 125.10 N/A N/A 845 125 875 180 2015-02-04 $24.18 $21.00 29.1% 8.3% 19.7% 37.9% 23.0% 3.3% -11.3% 110.5K -1.3M -2.5K 0.15 128.24 N/A N/A 845 125 875 180 2015-02-05 $24.36 $0.00 28.4% 5.2% 19.2% 36.5% 19.6% 5.5% -6.6% 106.4K -1.4M -2.5K 0.14 104.23 N/A N/A 895 125 875 180 2015-02-06 $24.16 $24.00 27.8% 5.2% 16.6% 35.3% 14.1% 2.3% 1.1% 111.0K -1.4M -2.6K 0.25 121.87 N/A N/A 895 225 925 180 2015-02-09 $23.94 $24.00 13.9% 3.8% 16.8% 8.4% 15.7% 1.8% 1.0% 221.4K -1.2M -3.1K 0.31 85.37 N/A N/A 895 275 925 280 2015-02-10 $24.43 $24.00 29.1% 5.2% 17.1% 37.9% 14.6% 2.5% -6.6% 129.1K -1.3M -3.0K 0.31 125.70 N/A N/A 895 275 925 330 2015-02-11 $24.73 $24.00 18.2% 5.2% 17.5% 16.8% 14.8% 4.6% -9.9% 112.2K -1.5M -2.8K 0.37 115.68 N/A N/A 745 275 925 330 2015-02-12 $24.73 $24.00 14.1% 4.0% 17.5% 8.8% 17.4% 2.8% 1.4% 117.0K -1.9M -2.7K 0.37 40.43 N/A N/A 745 275 975 330 2015-02-13 $24.68 $24.00 14.2% 4.1% 17.5% 9.0% 15.4% 3.4% 0.9% 121.2K -1.9M -2.8K 0.37 41.78 N/A N/A 745 275 975 330 2015-02-17 $24.76 $24.00 13.7% 3.9% 17.0% 8.0% 15.6% 2.2% 1.3% 90.9K -1.9M -2.5K 0.37 51.49 N/A N/A 745 275 975 330 2015-02-18 $24.79 $24.00 13.7% 3.9% 16.7% 7.9% 15.8% 3.0% 1.3% 16.3K -2.0M -2.3K 0.37 51.72 N/A N/A 745 275 975 330 2015-02-19 $24.79 $24.00 13.2% 3.8% 16.1% 7.0% 0.0% 2.6% 1.7% 20.7K -2.0M -2.1K 0.00 53.66 N/A N/A 75 0 975 280 2015-02-20 $25.04 $24.00 12.1% 3.5% 15.1% 4.8% 0.0% 2.5% 2.2% 25.2K -2.2M -2.5K 0.00 55.80 N/A N/A 5 0 1,050 280 2015-02-23 $25.44 $24.00 13.2% 3.8% 15.3% 7.0% 11.8% 1.0% 0.7% 16.5K -912.0K -2.4K 0.71 70.06 N/A N/A 280 200 495 200 2015-02-24 $25.33 $24.00 12.0% 3.4% 15.5% 4.6% 10.7% 1.4% 0.5% 18.2K -941.2K -2.3K 0.67 77.31 N/A N/A 300 200 510 200 2015-02-25 $25.31 $24.00 11.6% 3.3% 15.2% 3.8% 10.4% 2.2% 1.1% 20.8K -960.1K -2.5K 0.68 76.08 N/A N/A 300 205 530 200 2015-02-26 $25.40 $24.00 11.5% 3.3% 14.2% 3.7% 11.6% 2.6% 1.4% 18.6K -980.1K -2.4K 0.53 79.89 N/A N/A 300 160 530 205 2015-02-27 $25.45 $24.00 11.9% 3.4% 14.1% 4.5% 12.6% 2.1% 0.8% 16.9K -990.8K -2.4K 0.53 81.35 N/A N/A 300 160 530 210
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