IHF Options History — April 2015

In April 2015, IHF traded between $25.71 and $27.03. ATM implied volatility averaged 14.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.3% (HV 20d: 13.6%). Max pain ranged from $24.00 to $25.60. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2015-04-13: Highest Volume — 2,070 contracts
  • 2015-04-27: Largest IV spike — 22.0% change
  • 2015-04-30: Highest IV Rank — 15.2%
  • 2015-04-30: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.67$25.71$27.03$26.39$25.71
Max Pain$24.10$24.00$25.60$25.60$24.40
ATM IV14.8%13.2%17.4%15.3%17.4%
Expected Move4.3%3.8%5.0%4.4%5.0%
HV 20d13.6%10.5%16.4%16.3%15.1%
HV 60d14.5%13.3%16.3%16.3%14.8%
IV Rank10.2%7.0%15.2%11.2%15.2%
IV Percentile18.0%7.5%42.1%19.4%42.1%
Term Structure0.5%-0.7%1.4%1.4%-0.7%
VWIV16.6%14.6%18.4%17.1%15.4%
Skew 25d3.2%2.0%4.3%4.3%3.3%
Skew 10d4.8%-2.6%7.2%6.3%-2.6%
Call IV 25d13.7%11.9%16.4%13.6%16.4%
Put IV 25d16.9%15.1%19.7%17.9%19.7%
Bid-Ask Spread %82.8069.9991.0570.8687.29
Gamma HHI0.280.120.490.260.17
Net GEX136.6K-20.9K520.5K39.9K-20.9K
Net DEX-1.4M-2.3M-637.5K-1.0M-637.5K
Net VEX-2.9K-4.4K-2.1K-3.5K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.001.491.440.49
Total Volume1,372.1434952,0701,1951,485
Total OI1,791.4291,1402,4651,8651,965

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$26.39$25.6015.3%4.4%16.3%11.2%17.1%4.3%1.4%39.9K-1.0M-3.5K1.4470.86N/AN/A4907051,060805
2015-04-02$26.54$24.0014.2%4.5%16.4%9.0%18.4%4.2%0.6%74.6K-1.1M-3.3K1.4969.99N/AN/A4907301,060805
2015-04-06$26.66$24.0014.8%4.4%15.4%10.0%18.1%3.3%0.9%119.1K-1.3M-3.0K1.2874.61N/AN/A5707301,060830
2015-04-07$26.49$24.0014.9%4.3%15.8%10.3%17.3%3.3%1.3%84.7K-1.3M-3.0K1.2877.05N/AN/A5707301,135830
2015-04-08$26.67$24.0015.6%4.5%15.1%11.6%0.0%4.2%0.4%131.0K-1.4M-2.9K0.0078.99N/AN/A49501,120780
2015-04-09$26.79$24.0014.8%4.2%15.1%10.1%17.6%3.4%0.9%439.6K-2.0M-3.8K0.6979.56N/AN/A1,0657301,630830
2015-04-10$26.87$24.0014.4%4.1%14.4%9.4%17.3%3.4%1.1%509.0K-2.2M-3.6K0.6880.36N/AN/A1,0707301,630830
2015-04-13$26.88$24.0015.5%4.4%14.4%11.5%17.5%2.0%0.3%520.5K-2.3M-3.2K0.5482.80N/AN/A1,3407301,635830
2015-04-14$26.86$24.0015.1%4.3%12.9%10.7%17.2%2.5%0.5%340.1K-1.9M-2.7K0.5482.81N/AN/A1,3407301,260830
2015-04-15$26.71$24.0014.3%4.1%13.1%9.2%15.4%2.6%-0.1%226.4K-1.6M-2.4K0.5485.45N/AN/A1,3407301,260830
2015-04-16$26.89$24.0014.4%4.1%12.1%9.4%16.6%3.0%0.8%455.6K-1.7M-2.3K0.5584.95N/AN/A1,3207301,260830
2015-04-17$26.59$24.0015.3%4.4%12.5%11.1%16.6%4.3%0.0%-20.2K-1.4M-2.5K0.5582.68N/AN/A1,3207301,280830
2015-04-20$26.72$24.0014.1%4.0%12.6%8.7%16.3%2.8%0.1%-18.6K-1.2M-2.2K1.2684.25N/AN/A330415625515
2015-04-21$26.85$24.0013.9%4.0%12.5%8.3%16.1%2.6%0.5%-11.3K-1.3M-2.1K1.1988.03N/AN/A350415640515
2015-04-22$26.79$24.0013.7%3.9%12.4%7.9%16.4%4.3%0.3%-11.9K-1.3M-2.2K1.1586.03N/AN/A360415650515
2015-04-23$26.97$24.0013.2%3.8%10.6%7.1%16.4%2.5%0.6%-5.2K-1.4M-2.2K1.0288.94N/AN/A405415660515
2015-04-24$27.03$24.0013.2%3.8%10.5%7.0%14.6%2.7%0.8%6.3K-1.5M-2.3K1.0291.05N/AN/A405415705515
2015-04-27$26.61$24.0016.1%4.6%11.9%12.7%16.7%2.3%-0.4%-9.7K-1.3M-2.4K1.3388.23N/AN/A430570705515
2015-04-28$26.84$24.0015.0%4.3%11.3%10.5%15.0%3.0%0.8%-13.3K-1.2M-3.6K0.6187.92N/AN/A940570730670
2015-04-29$26.16$24.0015.9%4.6%14.2%12.3%17.1%3.9%0.3%32.8K-1.0M-4.1K0.4986.91N/AN/A9904901,260670
2015-04-30$25.71$24.4017.4%5.0%15.1%15.2%15.4%3.3%-0.7%-20.9K-637.5K-4.4K0.4987.29N/AN/A9954901,270695