IHF Options History — October 2015

In October 2015, IHF traded between $23.56 and $25.77. ATM implied volatility averaged 20.8%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 8.5% (HV 20d: 29.3%). Max pain ranged from $25.80 to $28.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.28.

Notable Days

  • 2015-10-22: Highest Volume — 3,240 contracts
  • 2015-10-14: Largest IV drop — 21.0% change
  • 2015-10-01: Highest IV Rank — 58.0%
  • 2015-10-01: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.99$23.56$25.77$24.50$24.87
Max Pain$26.59$25.80$28.00$26.20$26.00
ATM IV20.8%16.4%28.7%28.7%16.6%
Expected Move5.8%4.7%8.2%8.2%4.8%
HV 20d29.3%25.6%36.8%25.6%31.4%
HV 60d23.8%21.3%27.4%21.3%27.2%
IV Rank32.2%17.6%58.0%58.0%18.4%
IV Percentile70.7%52.0%94.4%94.4%54.0%
Term Structure-0.3%-3.3%2.0%-3.3%1.5%
VWIV19.4%16.0%24.7%24.7%17.0%
Skew 25d5.0%0.0%6.9%4.2%3.4%
Skew 10d9.4%-4.1%14.1%4.8%9.2%
Call IV 25d17.7%14.8%25.6%25.6%16.0%
Put IV 25d22.7%17.0%29.8%29.8%19.3%
Bid-Ask Spread %79.1359.9395.6272.3895.62
Gamma HHI0.300.100.580.120.38
Net GEX-66.0K-192.1K73.3K41.7K-166.1K
Net DEX2.1M1.3M4.0M1.6M2.2M
Net VEX-6.2K-8.2K-3.7K-4.3K-6.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.280.183.161.812.24
Total Volume2,639.091653,2401,7853,190
Total OI3,632.52,9604,2252,9603,945

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$24.50$26.2028.7%8.2%25.6%58.0%24.7%4.2%-3.3%41.7K1.6M-4.3K1.8172.38N/AN/A6351,1502,045915
2015-10-02$25.06$25.8024.1%6.9%26.9%42.8%21.0%5.5%-0.4%65.3K1.4M-5.0K1.6874.93N/AN/A6851,1502,095930
2015-10-05$25.34$28.0023.1%6.3%27.3%39.7%0.0%6.9%-0.8%73.3K1.3M-5.2K0.1859.93N/AN/A55102,035930
2015-10-06$24.76$27.2026.4%6.8%26.9%50.3%19.1%5.3%-1.4%51.0K1.6M-4.1K1.5260.46N/AN/A7151,0902,100920
2015-10-07$24.95$27.2025.1%6.5%27.2%46.2%20.0%5.1%-1.2%52.9K1.5M-4.4K1.6465.48N/AN/A6951,1402,100960
2015-10-08$24.85$27.2021.6%6.3%27.2%34.6%17.7%4.7%-1.1%31.8K1.7M-4.0K1.6470.47N/AN/A6951,1402,0801,010
2015-10-09$25.12$27.2021.6%6.0%27.4%34.6%21.7%4.8%-0.4%44.3K1.5M-4.7K3.1564.86N/AN/A7102,2352,0801,010
2015-10-12$25.39$27.2022.8%5.8%27.8%38.8%21.1%6.4%-0.3%-77.1K2.3M-7.9K3.1668.85N/AN/A7052,2252,0902,085
2015-10-13$25.45$27.0026.8%6.2%27.4%51.6%21.0%5.0%-1.2%-68.2K2.1M-8.2K2.8775.98N/AN/A7752,2252,1352,080
2015-10-14$25.14$27.0021.2%6.1%27.4%33.3%21.3%5.9%-0.3%-105.9K2.4M-7.8K2.8778.00N/AN/A7752,2252,1352,080
2015-10-15$25.30$27.0019.0%5.5%27.4%26.2%19.4%4.8%0.2%-130.9K2.4M-7.4K2.8382.06N/AN/A7752,1952,1352,080
2015-10-16$25.56$27.0016.4%4.7%27.4%17.6%18.8%4.2%1.3%-110.0K2.0M-7.2K2.8381.27N/AN/A7752,1952,1352,090
2015-10-19$25.77$26.6016.4%4.7%27.7%17.6%18.9%5.4%2.0%-56.0K1.4M-7.5K3.0083.12N/AN/A7052,1151,5101,960
2015-10-20$25.69$26.2019.0%5.5%27.6%26.3%19.2%4.4%0.3%-41.9K1.4M-7.7K3.0083.87N/AN/A7052,1151,5851,960
2015-10-21$25.19$26.2020.5%5.9%28.1%31.0%20.9%6.2%-0.2%-86.1K2.0M-7.3K2.5582.38N/AN/A8402,1451,5851,960
2015-10-22$23.56$26.0017.5%5.0%35.9%21.2%16.0%0.0%-0.9%-135.1K4.0M-3.7K2.1282.63N/AN/A1,0402,2001,6802,000
2015-10-23$24.27$26.0019.4%5.6%36.8%27.4%16.4%5.0%-1.3%-188.0K3.3M-6.3K2.1592.94N/AN/A1,0252,2001,7252,105
2015-10-26$24.40$26.0018.8%5.4%32.9%25.5%17.8%5.7%0.6%-192.1K3.2M-6.6K2.2490.78N/AN/A9802,2001,7402,155
2015-10-27$24.71$26.0017.6%5.0%33.2%21.6%17.9%6.5%0.0%-172.8K2.8M-6.9K2.2091.02N/AN/A1,0002,2001,7402,155
2015-10-28$24.95$26.0017.7%5.1%32.7%21.8%18.4%6.7%0.6%-153.9K2.3M-7.1K2.2191.89N/AN/A1,0002,2051,7702,155
2015-10-29$25.04$26.0018.0%5.2%32.4%22.9%18.3%3.4%0.5%-128.7K2.0M-7.2K2.1792.04N/AN/A1,0152,2051,7702,160
2015-10-30$24.87$26.0016.6%4.8%31.4%18.4%17.0%3.4%1.5%-166.1K2.2M-6.8K2.2495.62N/AN/A9852,2051,7852,160