IHF Options History — November 2015

In November 2015, IHF traded between $23.93 and $25.27. ATM implied volatility averaged 17.4%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 12.3% (HV 20d: 29.8%). Max pain ranged from $24.20 to $26.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 2.19.

Notable Days

  • 2015-11-20: Highest Volume — 3,980 contracts
  • 2015-11-30: Largest IV spike — 16.7% change
  • 2015-11-13: Highest IV Rank — 30.4%
  • 2015-11-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.80$23.93$25.27$25.21$24.63
Max Pain$24.47$24.20$26.00$26.00$24.20
ATM IV17.4%14.8%20.3%16.5%17.2%
Expected Move5.0%4.2%5.8%4.7%4.9%
HV 20d29.8%26.1%33.6%31.6%26.3%
HV 60d27.8%27.1%28.5%27.4%27.9%
IV Rank21.1%12.4%30.4%18.1%20.4%
IV Percentile57.8%38.5%72.6%53.6%57.1%
Term Structure0.4%-1.3%2.2%-0.3%-0.0%
VWIV17.7%16.2%19.5%18.1%18.2%
Skew 25d4.8%3.2%6.3%5.2%3.5%
Skew 10d9.1%1.1%13.6%13.5%3.8%
Call IV 25d15.1%12.9%17.2%14.7%15.4%
Put IV 25d19.9%16.7%22.2%19.9%18.9%
Bid-Ask Spread %63.0941.24100.5390.3874.14
Gamma HHI0.370.230.640.310.33
Net GEX-156.0K-554.1K15.2K-117.3K-21.7K
Net DEX1.8M-309.1K4.4M1.8M-129.6K
Net VEX-5.2K-6.5K-3.2K-6.5K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.190.0016.672.240.27
Total Volume2,23403,9803,19070
Total OI3,654.751,8354,8053,9552,190

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$25.21$26.0016.5%4.7%31.6%18.1%18.1%5.2%-0.3%-117.3K1.8M-6.5K2.2490.38N/AN/A9852,2051,7952,160
2015-11-03$25.10$26.0017.4%5.0%30.4%20.8%16.9%6.0%0.2%-134.6K2.0M-6.4K2.24100.53N/AN/A9852,2051,7952,160
2015-11-04$24.97$26.0017.1%4.9%30.4%20.1%18.4%4.8%0.8%-193.3K2.2M-6.1K2.2498.68N/AN/A9852,2051,7952,160
2015-11-05$25.22$24.2018.5%5.1%30.5%24.5%18.0%6.3%0.4%-115.9K1.8M-6.1K2.0646.96N/AN/A1,0702,2051,7952,160
2015-11-06$25.27$24.2017.6%5.2%30.3%21.7%0.0%3.8%-0.0%-118.2K1.6M-6.4K0.0041.24N/AN/A001,8402,160
2015-11-09$25.11$24.2017.8%5.2%30.1%22.3%16.3%6.2%-1.3%-136.6K1.8M-5.9K0.0042.71N/AN/A501,8402,160
2015-11-10$25.24$24.2017.6%5.0%30.2%21.8%17.4%5.8%0.5%-118.4K1.6M-5.5K1.7947.18N/AN/A1,2302,2051,8952,160
2015-11-11$25.25$24.2017.5%5.0%29.9%21.2%17.4%4.8%0.6%-74.5K1.4M-5.6K1.7974.19N/AN/A1,2302,2052,0702,160
2015-11-12$24.19$24.2018.9%5.4%33.5%26.0%17.9%5.9%0.5%-283.4K3.4M-4.8K1.7350.63N/AN/A1,2902,2302,1252,160
2015-11-13$24.17$24.2020.3%5.8%33.1%30.4%18.4%4.2%-0.5%-303.6K3.5M-4.7K1.7149.71N/AN/A1,2902,2002,1302,185
2015-11-16$24.49$24.2019.3%5.5%33.4%27.2%0.0%6.0%-0.1%-554.1K3.2M-4.3K0.0053.73N/AN/A14002,0802,185
2015-11-17$24.65$24.2018.6%5.3%33.6%24.8%17.9%3.8%0.1%-457.8K2.5M-4.7K1.6445.88N/AN/A1,3452,2002,1852,185
2015-11-18$24.98$24.2016.8%4.8%33.3%19.1%17.1%4.4%0.5%-281.6K1.6M-4.2K1.6156.97N/AN/A1,3652,2002,1852,185
2015-11-19$23.93$24.2019.4%5.6%27.5%27.5%19.5%3.2%0.6%-180.9K4.4M-3.2K1.9554.12N/AN/A1,3252,5852,2002,185
2015-11-20$24.48$24.2017.4%5.0%26.6%21.0%18.5%4.9%1.2%-22.6K4.4M-4.3K1.8557.97N/AN/A1,3952,5852,2002,605
2015-11-23$24.62$24.2016.2%4.6%26.6%17.0%0.0%3.9%0.4%6.0K-126.6K-4.9K0.0059.93N/AN/A6501,130705
2015-11-24$24.77$24.2015.0%4.3%26.3%13.2%17.9%5.7%2.2%15.2K-225.9K-4.9K16.6766.87N/AN/A152501,155705
2015-11-25$24.76$24.2014.9%4.3%26.1%13.0%16.2%3.8%0.6%-22.8K-158.9K-5.3K0.8470.01N/AN/A6655601,170955
2015-11-27$24.89$24.2014.8%4.2%26.1%12.4%17.5%4.8%1.9%-3.4K-309.1K-5.2K0.9080.01N/AN/A6255601,230955
2015-11-30$24.63$24.2017.2%4.9%26.3%20.4%18.2%3.5%-0.0%-21.7K-129.6K-5.1K0.2774.14N/AN/A55151,240950