IHF Options History — March 2015

In March 2015, IHF traded between $25.11 and $27.03. ATM implied volatility averaged 13.6%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.1% (HV 20d: 13.7%). Max pain ranged from $24.00 to $25.60. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.59.

Notable Days

  • 2015-03-30: Highest Volume — 1,200 contracts
  • 2015-03-03: Largest IV spike — 15.0% change
  • 2015-03-26: Highest IV Rank — 11.8%
  • 2015-03-26: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.09$25.11$27.03$25.58$26.63
Max Pain$25.09$24.00$25.60$24.00$25.60
ATM IV13.6%11.0%15.7%11.0%15.3%
Expected Move3.9%3.1%4.5%3.1%4.4%
HV 20d13.7%11.7%16.2%11.9%16.2%
HV 60d16.2%15.9%16.6%16.3%16.6%
IV Rank7.8%2.7%11.8%2.7%11.1%
IV Percentile8.4%0.4%21.8%0.4%18.7%
Term Structure0.8%0.0%1.4%1.2%1.1%
VWIV14.2%9.9%17.8%13.3%14.1%
Skew 25d2.6%0.4%4.6%2.5%1.9%
Skew 10d3.2%-1.9%9.2%3.1%-0.8%
Call IV 25d12.9%10.9%14.8%10.9%14.4%
Put IV 25d15.5%13.4%17.1%13.4%16.3%
Bid-Ask Spread %60.4633.0983.8383.8376.35
Gamma HHI0.250.120.640.200.40
Net GEX43.5K-49.1K249.3K14.9K95.3K
Net DEX-1.4M-2.5M-935.0K-1.0M-1.4M
Net VEX-2.3K-3.3K-1.5K-2.3K-3.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.0015.500.531.44
Total Volume318.40901,2004601,195
Total OI1,135.2277401,8607401,860

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$25.58$24.0011.0%3.1%11.9%2.7%13.3%2.5%1.2%14.9K-1.0M-2.3K0.5383.83N/AN/A300160530210
2015-03-03$25.38$24.0012.6%3.6%12.5%5.9%13.7%3.1%0.3%17.5K-978.3K-2.4K0.4680.36N/AN/A350160530210
2015-03-04$25.65$24.0012.3%3.5%12.6%5.3%15.5%2.3%0.6%26.7K-1.1M-2.4K0.4583.26N/AN/A355160580210
2015-03-05$25.64$24.8012.5%3.7%12.6%5.7%12.7%2.9%0.9%26.8K-1.1M-2.3K0.4542.94N/AN/A355160585210
2015-03-06$25.31$24.8013.6%4.0%13.7%7.8%13.7%3.0%0.7%28.5K-1.0M-2.5K0.3433.09N/AN/A355120585210
2015-03-09$25.38$24.8013.4%3.9%13.1%7.4%0.0%4.0%1.1%30.3K-1.0M-2.4K0.0034.29N/AN/A00585170
2015-03-10$25.11$24.8014.6%4.2%13.3%9.7%0.0%3.7%0.5%33.0K-978.5K-2.5K0.0034.50N/AN/A00585170
2015-03-11$25.28$24.8014.6%4.2%11.7%9.7%0.0%3.9%1.1%30.8K-1.0M-2.4K0.0036.02N/AN/A4500585170
2015-03-12$25.66$24.8013.7%3.9%12.0%8.0%0.0%3.0%1.1%249.3K-1.8M-2.9K0.0042.63N/AN/A001,035170
2015-03-13$25.73$24.8013.8%3.9%12.0%8.1%0.0%2.9%0.7%234.6K-1.8M-2.7K0.0036.68N/AN/A001,035170
2015-03-16$26.24$24.8014.9%4.3%13.4%10.2%15.5%0.4%0.1%182.5K-2.4M-1.9K15.5060.66N/AN/A203101,035170
2015-03-17$26.20$25.6013.8%4.0%13.5%8.1%0.0%2.3%0.9%99.5K-2.2M-2.7K0.0053.95N/AN/A2001,045480
2015-03-18$26.62$25.6013.2%3.8%14.2%7.0%0.0%1.7%0.9%-1.9K-2.3M-2.1K0.0063.78N/AN/A055995480
2015-03-19$26.81$25.6013.8%4.0%14.2%8.2%0.0%1.0%0.9%-15.0K-2.4M-1.9K0.0075.15N/AN/A00995535
2015-03-20$26.88$25.6012.4%3.6%14.1%5.5%14.0%1.9%1.0%-14.7K-2.5M-1.6K0.6779.38N/AN/A1510995535
2015-03-23$27.03$25.6012.1%3.5%13.3%4.9%0.0%1.6%1.4%-12.8K-1.3M-1.5K0.0082.71N/AN/A100540545
2015-03-24$26.86$25.6013.1%3.8%13.5%6.9%0.0%2.1%1.3%-12.6K-1.3M-1.6K0.0075.63N/AN/A50550545
2015-03-25$26.38$25.6014.3%4.1%15.4%9.2%0.0%3.1%0.8%-27.4K-1.1M-2.2K0.0063.44N/AN/A00555545
2015-03-26$26.30$25.6015.7%4.5%15.5%11.8%17.8%3.0%0.0%-29.7K-978.8K-2.4K2.4559.12N/AN/A265650555595
2015-03-27$26.50$25.6014.3%4.1%15.6%9.1%9.9%4.6%0.5%-49.1K-935.0K-2.7K0.2061.56N/AN/A27055555700
2015-03-30$26.86$25.6014.1%4.1%16.1%8.9%16.3%2.5%1.1%51.1K-1.3M-2.9K1.4270.72N/AN/A495705825805
2015-03-31$26.63$25.6015.3%4.4%16.2%11.1%14.1%1.9%1.1%95.3K-1.4M-3.3K1.4476.35N/AN/A4907051,055805