IHF Options History — June 2015

In June 2015, IHF traded between $27.23 and $29.12. ATM implied volatility averaged 13.9%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.8% (HV 20d: 13.0%). Max pain ranged from $26.40 to $28.40. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.72.

Notable Days

  • 2015-06-25: Highest Volume — 3,445 contracts
  • 2015-06-29: Largest IV spike — 26.1% change
  • 2015-06-29: Highest IV Rank — 24.9%
  • 2015-06-29: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.03$27.23$29.12$27.74$28.63
Max Pain$27.11$26.40$28.40$27.40$28.40
ATM IV13.9%11.2%17.5%13.8%16.6%
Expected Move4.0%3.2%5.0%3.9%4.8%
HV 20d13.0%11.1%17.8%13.2%17.4%
HV 60d14.6%13.8%15.5%15.0%15.5%
IV Rank13.4%5.1%24.9%13.0%21.9%
IV Percentile19.3%0.8%58.7%15.5%51.6%
Term Structure0.4%-0.9%1.9%-0.6%-0.7%
VWIV14.5%10.1%17.7%14.5%17.0%
Skew 25d3.7%2.4%5.2%3.1%3.7%
Skew 10d7.8%0.6%12.0%11.1%12.0%
Call IV 25d12.1%9.6%15.0%12.4%15.0%
Put IV 25d15.8%12.6%19.2%15.5%18.6%
Bid-Ask Spread %68.3558.5283.2681.4768.87
Gamma HHI0.170.100.380.180.12
Net GEX91.1K22.2K260.4K36.7K79.6K
Net DEX-1.4M-3.2M-533.4K-1.1M-1.2M
Net VEX-5.9K-13.7K-3.5K-4.0K-13.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.300.930.790.75
Total Volume1,472.273253,4451,0852,465
Total OI1,784.0911,1953,5251,1953,235

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$27.74$27.4013.8%3.9%13.2%13.0%14.5%3.1%-0.6%36.7K-1.1M-4.0K0.7981.47N/AN/A605480670525
2015-06-02$27.49$27.4014.3%4.1%13.7%14.7%15.9%3.0%-0.0%63.8K-907.3K-3.9K0.0083.26N/AN/A025710525
2015-06-03$27.48$27.4014.4%4.1%11.2%15.2%14.2%3.9%-0.9%71.4K-972.8K-4.3K0.8182.23N/AN/A590475765525
2015-06-04$27.23$26.4015.0%4.2%11.8%16.8%14.2%3.8%-0.2%64.1K-798.8K-4.4K0.8159.70N/AN/A590475775545
2015-06-05$27.37$26.4014.2%4.1%11.5%14.4%14.2%4.4%0.4%67.7K-852.1K-4.4K0.8161.41N/AN/A590475775550
2015-06-08$27.31$26.4014.6%4.1%11.1%15.8%14.3%3.6%0.9%69.3K-859.7K-4.2K0.8161.85N/AN/A590475775550
2015-06-09$27.34$26.4014.7%4.1%11.1%15.9%14.4%4.7%0.2%70.6K-824.9K-4.2K0.8160.84N/AN/A590475775550
2015-06-10$27.64$26.4013.2%3.8%11.5%11.4%13.9%3.8%0.9%73.8K-1.0M-3.9K0.8163.19N/AN/A590475750550
2015-06-11$27.76$26.8012.7%3.6%11.5%9.6%13.4%4.5%0.9%81.9K-1.2M-3.6K0.8066.49N/AN/A595475750555
2015-06-12$27.50$26.8014.0%4.0%11.7%13.9%13.4%2.5%0.4%78.8K-997.1K-3.7K0.7866.74N/AN/A610475760555
2015-06-15$27.95$26.8014.2%4.1%12.7%14.3%15.5%3.3%0.4%85.5K-1.4M-3.5K0.5358.52N/AN/A775410790565
2015-06-16$28.15$26.8013.8%4.0%12.3%13.1%16.0%4.4%0.8%119.5K-1.9M-3.8K0.5362.66N/AN/A775410975575
2015-06-17$28.11$26.8013.5%3.9%12.2%12.3%15.5%4.1%0.9%131.3K-2.0M-3.8K0.6663.93N/AN/A8105351,020575
2015-06-18$28.29$26.8012.8%3.7%12.3%9.9%14.7%3.6%0.9%116.0K-2.0M-4.5K0.6666.50N/AN/A8105351,055700
2015-06-19$28.46$26.8012.3%3.5%12.4%8.5%13.8%2.4%0.9%65.8K-2.0M-5.3K0.8269.46N/AN/A8156651,080825
2015-06-22$28.71$27.2011.2%3.2%12.6%5.1%10.1%3.0%1.3%40.6K-1.3M-5.9K0.9371.51N/AN/A710660860805
2015-06-23$28.63$27.4012.1%3.5%11.9%7.9%13.7%3.1%1.4%22.2K-995.2K-7.1K0.9276.17N/AN/A765700915995
2015-06-24$28.20$27.6012.6%3.6%13.3%9.4%13.4%2.6%1.9%26.9K-533.4K-7.4K0.4170.30N/AN/A1,7157008801,035
2015-06-25$29.12$27.6013.6%3.9%17.1%12.6%14.5%5.0%-0.1%260.4K-3.2M-9.4K0.3069.39N/AN/A2,6607851,8801,040
2015-06-26$29.01$28.0013.9%4.0%16.6%13.5%13.7%3.1%-0.3%201.1K-2.1M-11.1K0.7974.31N/AN/A1,3301,0551,6751,310
2015-06-29$28.55$28.4017.5%5.0%17.8%24.9%17.7%5.2%-0.3%177.1K-1.6M-13.7K0.6964.97N/AN/A1,5701,0802,0701,455
2015-06-30$28.63$28.4016.6%4.8%17.4%21.9%17.0%3.7%-0.7%79.6K-1.2M-13.6K0.7568.87N/AN/A1,4101,0551,6751,560