IHF Options History — May 2015

In May 2015, IHF traded between $25.54 and $27.74. ATM implied volatility averaged 13.8%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 3.1% (HV 20d: 16.9%). Max pain ranged from $24.40 to $26.80. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-05-01: Highest Volume — 1,500 contracts
  • 2015-05-08: Largest IV drop — 24.3% change
  • 2015-05-29: Highest IV Rank — 14.4%
  • 2015-05-06: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.62$25.54$27.74$25.85$27.74
Max Pain$26.68$24.40$26.80$24.40$26.80
ATM IV13.8%11.8%16.7%15.9%14.2%
Expected Move4.0%3.4%4.6%4.6%4.1%
HV 20d16.9%13.1%18.1%15.1%13.1%
HV 60d14.9%14.8%15.3%14.8%15.0%
IV Rank10.2%5.0%14.4%12.3%14.4%
IV Percentile14.9%2.0%39.7%31.0%18.7%
Term Structure0.7%-0.4%1.6%0.4%-0.4%
VWIV13.1%11.3%18.3%18.3%15.0%
Skew 25d3.1%1.7%4.3%4.0%1.7%
Skew 10d4.4%1.5%8.6%4.5%4.4%
Call IV 25d12.5%11.2%14.4%14.4%14.2%
Put IV 25d15.5%13.7%18.4%18.4%15.9%
Bid-Ask Spread %51.7735.3587.1987.1969.46
Gamma HHI0.170.130.210.170.18
Net GEX-23.2K-145.6K60.9K-31.8K60.9K
Net DEX-807.4K-1.3M-468.1K-689.2K-1.1M
Net VEX-3.9K-4.1K-3.4K-4.1K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.001.680.490.76
Total Volume86001,5001,5001,115
Total OI1,472.58452,1051,9801,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$25.85$24.4015.9%4.6%15.1%12.3%18.3%4.0%0.4%-31.8K-689.2K-4.1K0.4987.19N/AN/A1,0104901,285695
2015-05-04$26.11$26.8014.5%4.3%15.5%9.5%0.0%3.6%0.3%-30.8K-883.1K-4.0K0.0035.35N/AN/A501,010645
2015-05-05$25.62$26.8016.7%4.4%16.7%13.9%11.3%2.0%0.4%-64.0K-600.1K-3.8K1.0744.43N/AN/A4855201,015695
2015-05-06$25.54$26.8016.4%4.6%16.4%13.3%11.3%1.8%0.3%-73.4K-478.8K-3.8K1.4448.04N/AN/A4957151,015710
2015-05-07$25.80$26.8016.1%4.4%16.8%12.6%11.6%3.0%0.0%-145.6K-468.1K-4.1K1.4443.72N/AN/A4957151,000905
2015-05-08$26.12$26.8012.2%4.1%17.5%5.0%0.0%3.8%0.5%-140.3K-795.7K-4.0K0.5042.25N/AN/A105990855
2015-05-11$26.16$26.8013.6%4.1%17.5%7.8%0.0%3.9%0.9%-105.7K-889.8K-3.9K0.3337.27N/AN/A1551,000860
2015-05-12$26.19$26.8015.4%4.2%17.5%11.4%12.4%4.3%0.8%-127.2K-923.1K-3.7K1.6838.21N/AN/A5108551,010915
2015-05-13$26.20$26.8014.7%4.2%17.5%9.9%12.8%3.8%0.8%-96.2K-993.0K-3.9K1.4336.90N/AN/A6008551,0101,045
2015-05-14$26.54$26.8013.6%3.9%18.0%12.4%12.5%4.2%1.0%-11.1K-1.3M-4.0K1.3839.09N/AN/A6208551,0601,045
2015-05-15$26.65$26.8012.7%3.6%17.6%9.6%12.0%4.1%1.6%23.2K-1.3M-4.1K1.3838.72N/AN/A6208551,0551,045
2015-05-18$26.98$26.8012.5%3.6%18.0%9.2%13.4%3.2%1.4%27.9K-581.1K-4.0K0.1147.83N/AN/A9010490395
2015-05-19$27.18$26.8011.8%3.4%18.1%7.0%0.0%2.0%1.2%22.2K-596.4K-3.4K0.0057.70N/AN/A00440405
2015-05-20$27.27$26.8012.3%3.5%18.1%8.3%13.0%2.1%0.8%27.0K-716.3K-3.7K0.9065.08N/AN/A410370490405
2015-05-21$27.28$26.8012.3%3.5%18.0%8.4%12.9%2.4%0.9%28.1K-717.2K-3.7K0.9064.24N/AN/A410370495405
2015-05-22$27.36$26.8011.8%3.4%18.0%7.0%12.5%1.9%1.3%28.6K-767.2K-3.6K0.7863.31N/AN/A485380495405
2015-05-26$27.09$26.8013.5%3.9%17.4%12.2%13.6%3.3%0.7%45.3K-719.0K-4.0K0.8154.70N/AN/A495400575420
2015-05-27$27.32$26.8012.7%3.6%17.4%9.8%13.5%2.7%0.6%50.1K-821.9K-4.0K0.8059.41N/AN/A500400585435
2015-05-28$27.30$26.8012.8%3.7%14.3%9.9%13.5%3.8%0.4%49.2K-812.8K-4.0K0.6362.56N/AN/A630400590445
2015-05-29$27.74$26.8014.2%4.1%13.1%14.4%15.0%1.7%-0.4%60.9K-1.1M-4.0K0.7669.46N/AN/A635480665445