IHF Options History — July 2015

In July 2015, IHF traded between $27.44 and $28.76. ATM implied volatility averaged 14.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.4% (HV 20d: 16.6%). Max pain ranged from $24.80 to $28.60. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2015-07-15: Highest Volume — 11,315 contracts
  • 2015-07-24: Largest IV spike — 16.8% change
  • 2015-07-08: Highest IV Rank — 27.2%
  • 2015-07-08: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.15$27.44$28.76$28.76$27.96
Max Pain$27.15$24.80$28.60$28.40$28.20
ATM IV14.1%11.9%18.3%15.4%12.1%
Expected Move4.0%3.4%4.8%4.4%3.5%
HV 20d16.6%12.8%19.0%17.4%12.8%
HV 60d15.6%14.2%16.2%15.5%14.2%
IV Rank14.2%7.3%27.2%18.3%7.9%
IV Percentile26.0%2.8%63.5%40.1%4.8%
Term Structure0.8%-0.6%2.1%0.1%1.2%
VWIV13.6%11.0%16.7%14.7%11.0%
Skew 25d3.9%2.6%4.6%4.5%2.6%
Skew 10d7.5%3.3%12.4%9.9%9.2%
Call IV 25d12.1%9.9%14.6%13.7%10.9%
Put IV 25d16.0%13.5%19.2%18.3%13.5%
Bid-Ask Spread %76.4258.9689.2973.4489.29
Gamma HHI0.210.090.960.130.15
Net GEX-1.2M-20.2M261.5K112.6K-402.1K
Net DEX791.1K-2.2M5.6M-1.6M1.6M
Net VEX-15.8K-20.6K-13.1K-13.6K-16.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.715.560.751.97
Total Volume3,484.5452,35511,3152,4003,010
Total OI4,957.0453,40010,3253,4005,320

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$28.76$28.4015.4%4.4%17.4%18.3%14.7%4.5%0.1%112.6K-1.6M-13.6K0.7573.44N/AN/A1,3701,0301,8151,585
2015-07-02$28.50$28.4015.8%4.5%17.4%19.3%16.3%4.0%-0.6%102.6K-1.2M-13.4K0.7375.95N/AN/A1,4051,0251,8451,605
2015-07-06$28.30$24.8015.5%4.5%17.6%18.6%16.3%4.4%0.1%88.1K-817.1K-13.1K0.7461.93N/AN/A1,4151,0451,9001,610
2015-07-07$28.17$24.8016.0%4.4%17.7%20.2%15.9%4.5%0.2%81.5K-551.8K-13.4K0.7758.96N/AN/A1,3501,0401,9901,635
2015-07-08$27.75$24.8018.3%4.8%18.7%27.2%16.7%4.6%-0.2%65.0K13.9K-13.4K0.7761.09N/AN/A1,3301,0252,0951,700
2015-07-09$27.95$24.8017.2%4.7%18.4%23.7%16.7%4.4%-0.4%74.8K-339.7K-13.6K0.7361.74N/AN/A1,4251,0402,0951,700
2015-07-10$28.34$24.8014.7%4.2%19.0%15.9%15.6%4.4%0.9%111.6K-1.1M-14.4K0.7865.52N/AN/A1,5351,1902,1951,685
2015-07-13$28.42$24.8014.3%3.9%18.6%14.6%13.7%3.9%1.5%165.0K-1.2M-14.4K0.7169.75N/AN/A1,5401,0952,3051,835
2015-07-14$28.69$24.8013.2%3.7%18.0%11.4%13.3%4.2%1.1%261.5K-2.2M-14.8K1.2277.51N/AN/A1,7252,1002,4101,820
2015-07-15$28.58$28.2012.9%3.7%18.0%10.4%13.1%3.0%1.5%-2.7K-766.6K-18.2K5.5678.49N/AN/A1,7259,5902,4752,860
2015-07-16$28.48$28.2012.3%3.5%18.0%8.5%12.2%4.5%1.9%-5.2M5.4M-20.6K4.2380.41N/AN/A1,6757,0802,4657,860
2015-07-17$28.42$28.6012.0%3.4%17.9%7.6%12.1%4.4%2.1%-20.2M5.6M-17.6K1.1282.26N/AN/A1,7301,9452,4557,785
2015-07-20$28.23$28.2012.3%3.5%17.9%8.5%11.9%3.7%0.8%-199.5K341.2K-16.9K1.8683.08N/AN/A1,0401,9351,8202,560
2015-07-21$28.05$28.2012.8%3.7%17.7%10.2%11.9%4.3%1.2%-226.0K1.0M-16.8K1.8780.47N/AN/A1,0351,9401,8952,660
2015-07-22$28.13$28.2011.9%3.4%17.8%7.3%11.6%3.0%1.7%-227.5K743.1K-16.8K1.8683.77N/AN/A1,0401,9301,9052,665
2015-07-23$28.08$28.2012.9%3.7%16.9%10.3%11.8%2.9%1.2%-224.9K792.9K-17.0K1.3682.86N/AN/A1,0951,4901,9352,675
2015-07-24$27.65$28.2015.0%4.3%12.9%17.0%14.1%4.0%0.4%-186.9K2.0M-16.1K1.7479.12N/AN/A1,1051,9201,9752,750
2015-07-27$27.44$28.2015.8%4.5%13.0%19.3%14.7%3.5%-0.3%-293.7K3.1M-16.2K1.8380.69N/AN/A1,0351,8951,9703,225
2015-07-28$27.78$28.2013.7%3.9%13.0%13.0%12.1%3.7%1.0%-342.2K2.3M-16.7K1.8483.73N/AN/A1,0301,8952,0653,250
2015-07-29$27.87$28.2013.6%3.9%13.1%12.4%11.4%3.8%0.8%-360.7K2.0M-17.0K1.8484.99N/AN/A1,0301,8952,0803,250
2015-07-30$27.81$28.2012.9%3.7%12.9%10.4%12.2%2.9%1.1%-363.4K2.2M-16.7K1.8786.25N/AN/A1,0151,8952,0803,250
2015-07-31$27.96$28.2012.1%3.5%12.8%7.9%11.0%2.6%1.2%-402.1K1.6M-16.7K1.9789.29N/AN/A1,0151,9952,0703,250