IHF Options History — September 2015

In September 2015, IHF traded between $24.35 and $27.28. ATM implied volatility averaged 24.7%, placing in the 44.7% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 0.7% (HV 20d: 24.0%). Max pain ranged from $26.20 to $27.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 1.06.

Notable Days

  • 2015-09-10: Highest Volume — 2,250 contracts
  • 2015-09-03: Largest IV drop — 19.1% change
  • 2015-09-29: Highest IV Rank — 71.4%
  • 2015-09-29: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.26$24.35$27.28$25.76$24.81
Max Pain$26.98$26.20$27.80$27.00$26.20
ATM IV24.7%19.7%32.8%31.5%29.7%
Expected Move7.0%5.6%9.4%9.0%8.5%
HV 20d24.0%19.0%26.4%23.8%26.0%
HV 60d19.1%17.7%21.4%18.7%21.4%
IV Rank44.7%28.3%71.4%67.2%61.0%
IV Percentile85.3%71.0%97.6%97.6%96.0%
Term Structure-1.6%-4.8%0.2%-3.1%-3.4%
VWIV22.3%18.0%29.7%27.9%25.6%
Skew 25d6.1%0.3%9.3%6.3%6.4%
Skew 10d10.4%4.6%26.0%6.9%7.7%
Call IV 25d21.3%14.5%31.3%27.2%25.3%
Put IV 25d27.4%21.8%39.0%33.4%31.7%
Bid-Ask Spread %47.9029.82117.9967.3066.49
Gamma HHI0.130.100.160.110.11
Net GEX115.9K35.2K239.4K45.3K52.6K
Net DEX459.7K-828.7K1.7M991.8K1.5M
Net VEX-9.3K-11.6K-4.5K-8.1K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.001.991.151.79
Total Volume1,606.19602,2501,4651,770
Total OI2,926.4292,4303,3802,4303,000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$25.76$27.0031.5%9.0%23.8%67.2%27.9%6.3%-3.1%45.3K991.8K-8.1K1.1567.30N/AN/A6807851,480950
2015-09-02$26.11$27.0030.0%8.6%23.9%62.2%27.0%9.3%-2.4%51.7K634.8K-9.4K1.08117.99N/AN/A7708351,485950
2015-09-03$26.30$27.8024.3%6.7%24.0%43.4%21.2%5.8%-0.5%71.3K657.7K-9.6K1.0932.63N/AN/A7908601,5751,000
2015-09-04$26.13$27.8025.8%7.1%24.1%48.5%22.5%5.8%-0.6%66.3K798.8K-9.4K1.0737.07N/AN/A8058601,5951,025
2015-09-08$26.68$27.8025.1%6.4%25.4%46.0%0.0%7.3%-0.3%70.5K456.2K-9.6K0.0033.98N/AN/A6001,4501,015
2015-09-09$26.48$27.8023.0%6.6%25.5%39.3%21.2%6.7%-0.7%83.6K503.6K-9.6K0.6829.82N/AN/A1,2958851,6051,025
2015-09-10$26.48$26.8022.8%6.5%25.5%38.5%20.9%6.0%-0.5%143.8K231.2K-10.9K0.6532.41N/AN/A1,3658852,1051,075
2015-09-11$26.70$26.8022.1%6.3%25.7%36.4%20.8%6.6%0.2%161.2K20.8K-11.2K0.6533.56N/AN/A1,3658852,1301,075
2015-09-14$26.66$26.8022.7%6.5%25.6%38.3%20.8%7.0%-0.6%159.6K35.5K-10.8K0.6533.52N/AN/A1,3658852,1301,075
2015-09-15$26.95$26.8020.9%6.0%25.3%32.5%18.0%6.5%-1.8%166.0K-270.5K-10.7K0.7037.45N/AN/A50351,9701,065
2015-09-16$27.07$26.8020.4%5.9%25.3%30.9%18.6%7.3%-0.8%205.0K-422.7K-11.2K0.7736.64N/AN/A1,1859152,1801,110
2015-09-17$27.28$26.8019.7%5.6%25.4%28.3%18.1%7.3%-0.2%239.4K-828.7K-11.6K0.8046.22N/AN/A1,1409152,2001,155
2015-09-18$26.87$26.8020.3%5.8%24.0%30.3%19.2%5.9%-0.1%153.5K238.1K-10.7K1.1339.41N/AN/A8359402,1801,200
2015-09-21$26.92$26.8021.1%6.0%23.2%32.9%20.4%6.1%-1.0%128.4K96.9K-10.7K1.2940.88N/AN/A6358201,8651,080
2015-09-22$26.71$26.8021.6%6.2%19.1%34.7%21.1%6.5%-1.1%150.4K163.0K-10.1K1.3142.55N/AN/A6007851,9351,005
2015-09-23$26.86$26.8022.0%6.3%19.0%36.0%19.3%6.1%-1.2%167.1K-70.7K-10.1K1.2840.61N/AN/A6157851,955990
2015-09-24$26.38$26.8023.2%6.6%19.5%39.8%21.7%4.7%-2.4%141.6K493.7K-9.1K1.2843.96N/AN/A6157851,955990
2015-09-25$25.61$26.8027.6%7.9%21.1%54.2%24.1%4.8%-2.6%94.6K1.1M-7.3K1.2056.21N/AN/A6607951,960990
2015-09-28$24.43$26.8031.7%9.1%26.4%67.6%29.7%0.3%-4.8%47.3K1.7M-4.8K1.9970.34N/AN/A5701,1351,9901,000
2015-09-29$24.35$26.8032.8%9.4%26.4%71.4%28.0%4.5%-4.7%35.2K1.6M-4.5K1.7966.81N/AN/A6351,1351,980955
2015-09-30$24.81$26.2029.7%8.5%26.0%61.0%25.6%6.4%-3.4%52.6K1.5M-5.1K1.7966.49N/AN/A6351,1352,045955