IHF Options History — August 2015

In August 2015, IHF traded between $25.85 and $28.44. ATM implied volatility averaged 17.7%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.6% (HV 20d: 15.2%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2015-08-20: Highest Volume — 3,090 contracts
  • 2015-08-24: Largest IV spike — 30.6% change
  • 2015-08-24: Highest IV Rank — 52.8%
  • 2015-08-24: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.48$25.85$28.44$27.98$26.50
Max Pain$27.71$27.00$29.00$28.20$27.00
ATM IV17.7%11.9%27.1%11.9%25.1%
Expected Move5.1%3.4%7.8%3.4%7.2%
HV 20d15.2%11.4%22.2%12.6%22.1%
HV 60d15.3%13.9%17.9%14.1%17.8%
IV Rank24.7%7.2%52.8%7.2%46.2%
IV Percentile52.7%2.8%93.3%2.8%91.7%
Term Structure0.0%-4.9%2.6%1.5%-2.5%
VWIV17.5%11.6%28.5%14.1%22.7%
Skew 25d3.9%1.1%9.0%3.8%7.2%
Skew 10d6.9%2.6%29.2%2.6%8.6%
Call IV 25d16.4%10.4%30.8%10.8%21.8%
Put IV 25d20.3%13.0%39.9%14.7%29.0%
Bid-Ask Spread %55.8025.41133.5993.0852.47
Gamma HHI0.170.100.270.170.11
Net GEX-212.3K-493.2K110.1K-405.4K61.5K
Net DEX893.0K-1.4M2.2M1.8M501.9K
Net VEX-12.7K-16.9K-8.1K-15.1K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.001.990.171.09
Total Volume2,109.048553,090701,505
Total OI4,289.7622,0755,4155,1452,405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$27.98$28.2011.9%3.4%12.6%7.2%14.1%3.8%1.5%-405.4K1.8M-15.1K0.1793.08N/AN/A60101,9853,160
2015-08-04$28.07$28.2012.9%3.7%12.6%10.3%11.6%3.0%1.2%-389.2K1.1M-16.2K1.6991.62N/AN/A1,0551,7802,1403,170
2015-08-05$28.41$28.2012.2%3.5%12.0%8.2%11.7%2.6%1.2%-346.0K-150.1K-16.9K1.6693.05N/AN/A1,0751,7852,1753,180
2015-08-06$28.06$27.6015.2%4.6%12.7%17.4%15.8%4.2%0.7%-343.9K1.2M-16.9K1.6625.41N/AN/A1,0751,7852,1503,195
2015-08-07$27.90$27.6014.1%4.5%11.8%14.1%14.6%3.6%0.9%-365.8K1.8M-16.3K1.6932.12N/AN/A1,0501,7702,1503,195
2015-08-10$28.05$27.6014.1%4.4%11.9%14.1%14.9%3.4%0.4%-403.0K1.2M-15.3K1.9928.12N/AN/A9001,7902,1253,165
2015-08-11$27.93$29.0015.0%4.3%11.4%17.0%0.0%4.2%1.7%-422.6K1.8M-14.0K0.0034.31N/AN/A5502,0153,120
2015-08-12$27.76$27.6016.1%4.6%11.4%20.2%15.2%3.3%0.7%-389.4K2.2M-13.8K1.7537.38N/AN/A1,0201,7802,1953,125
2015-08-13$27.77$27.6015.2%4.4%11.4%17.5%15.0%2.9%0.9%-426.1K2.1M-13.6K1.6338.36N/AN/A1,0901,7802,1853,120
2015-08-14$27.88$27.6015.2%4.3%11.6%17.4%14.0%4.2%0.4%-460.6K1.8M-13.6K1.6739.98N/AN/A1,0651,7802,2603,130
2015-08-17$28.31$27.6014.0%4.0%12.7%13.7%14.7%3.9%1.1%-493.2K-207.2K-13.1K1.6032.25N/AN/A1,1001,7552,2853,130
2015-08-18$28.44$27.6014.7%4.2%12.5%16.0%14.9%3.1%0.7%-170.7K-1.4M-12.7K1.5134.85N/AN/A1,1651,7552,3252,665
2015-08-19$28.20$29.0014.9%4.3%12.9%16.5%0.0%3.3%0.7%110.1K-535.9K-11.5K0.3832.66N/AN/A2651001,9652,155
2015-08-20$27.43$27.6018.1%5.2%16.3%26.6%16.4%2.7%-0.7%-283.9K502.7K-11.5K1.2544.64N/AN/A1,3751,7152,3752,190
2015-08-21$26.94$27.6020.8%6.0%16.6%32.0%18.7%2.1%-1.2%13.0K2.1M-10.3K1.2349.45N/AN/A1,3751,6952,3752,150
2015-08-24$25.97$27.6027.1%7.8%20.7%52.8%24.0%1.6%-4.9%28.2K990.2K-8.7K1.2757.88N/AN/A6207851,230945
2015-08-25$25.85$27.6025.9%7.4%19.9%48.6%24.0%1.1%2.6%39.1K751.0K-8.1K1.2397.94N/AN/A6858451,255820
2015-08-26$26.26$27.2025.5%7.3%21.0%47.3%20.0%3.8%-2.4%49.9K714.9K-8.7K1.1772.54N/AN/A7258501,325880
2015-08-27$26.74$27.0020.8%6.0%22.2%32.0%28.5%9.0%0.2%66.2K186.1K-10.3K1.12133.59N/AN/A7608501,430885
2015-08-28$26.71$27.0024.1%6.9%22.1%42.9%21.2%8.5%-2.4%73.5K317.3K-9.8K1.1850.16N/AN/A7609001,470885
2015-08-31$26.50$27.0025.1%7.2%22.1%46.2%22.7%7.2%-2.5%61.5K501.9K-9.5K1.0952.47N/AN/A7207851,470935