IHF Options History — December 2015

In December 2015, IHF traded between $24.12 and $25.25. ATM implied volatility averaged 17.1%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 7.2% (HV 20d: 24.3%). Max pain ranged from $24.20 to $25.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-12-16: Highest Volume — 1,855 contracts
  • 2015-12-03: Largest IV spike — 19.8% change
  • 2015-12-15: Highest IV Rank — 29.3%
  • 2015-12-15: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.74$24.12$25.25$25.22$24.95
Max Pain$24.44$24.20$25.00$24.20$24.40
ATM IV17.1%13.7%20.0%15.0%14.9%
Expected Move4.9%3.9%5.7%4.3%4.3%
HV 20d24.3%18.1%29.8%27.2%18.1%
HV 60d27.8%25.4%28.8%28.3%25.4%
IV Rank20.1%9.0%29.3%13.3%12.7%
IV Percentile56.5%23.4%73.8%42.9%40.5%
Term Structure0.6%-1.0%2.7%1.3%2.7%
VWIV17.1%14.1%19.7%16.5%15.2%
Skew 25d4.1%1.1%7.7%7.7%4.6%
Skew 10d5.0%-0.5%11.5%11.5%1.6%
Call IV 25d14.8%10.7%17.9%10.7%14.2%
Put IV 25d18.9%16.8%21.0%18.4%18.7%
Bid-Ask Spread %53.9938.7090.2676.5068.88
Gamma HHI0.230.120.330.240.17
Net GEX88.1K-24.3K213.2K23.4K176.3K
Net DEX-546.2K-1.3M246.4K-605.4K-977.3K
Net VEX-4.4K-5.6K-3.6K-4.6K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.000.770.000.41
Total Volume1,390.682751,8553751,450
Total OI2,354.0911,6252,6402,2102,325

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$25.22$24.2015.0%4.3%27.2%13.3%16.5%7.7%1.3%23.4K-605.4K-4.6K0.0076.50N/AN/A37501,245965
2015-12-02$25.07$24.2016.6%4.8%27.3%18.3%17.0%2.9%-0.2%100.7K-968.6K-5.4K0.4176.34N/AN/A9353851,560970
2015-12-03$24.40$0.0019.9%5.5%28.9%29.0%17.4%2.9%0.2%13.6K-66.8K-5.6K0.4340.25N/AN/A9354001,560965
2015-12-04$24.83$25.0016.7%4.9%29.4%18.7%17.2%3.3%-0.1%97.9K-542.8K-5.3K0.3741.47N/AN/A9903701,560980
2015-12-07$24.51$24.6017.7%5.0%29.7%22.1%0.0%3.5%-0.2%39.6K-222.3K-5.1K0.0044.97N/AN/A0751,615940
2015-12-08$24.54$24.6018.6%5.0%29.6%24.9%17.2%3.7%0.8%21.0K-112.1K-4.8K0.4348.46N/AN/A9954301,6151,020
2015-12-09$24.39$24.6018.4%5.3%29.6%24.2%17.9%3.4%0.4%-4.0K17.1K-4.9K0.5844.57N/AN/A1,0406001,6201,020
2015-12-10$24.59$24.4016.8%4.8%29.8%18.9%17.6%3.4%0.9%120.5K-577.5K-4.8K0.6543.59N/AN/A1,0406801,725795
2015-12-11$24.34$24.4019.6%5.6%25.7%28.0%19.7%2.3%-0.5%39.9K-155.0K-5.0K0.6538.70N/AN/A1,0406801,725885
2015-12-14$24.12$24.4019.2%5.5%25.9%26.8%18.8%1.1%-0.1%-24.3K246.4K-4.4K0.7751.61N/AN/A1,0458051,725885
2015-12-15$24.44$24.4020.0%5.7%25.9%29.3%19.6%4.2%-1.0%90.2K-271.0K-4.2K0.7744.36N/AN/A1,0458051,730715
2015-12-16$24.62$24.4017.2%4.9%26.0%20.2%17.5%6.5%0.6%116.5K-471.9K-3.9K0.7749.09N/AN/A1,0508051,730740
2015-12-17$24.65$24.4017.4%5.0%25.5%20.9%17.7%4.1%0.6%183.2K-626.2K-3.8K0.7143.88N/AN/A1,0507451,730740
2015-12-18$24.44$24.4018.9%5.4%20.3%25.8%18.7%4.2%0.3%11.1K-401.7K-3.6K0.7551.84N/AN/A1,0557951,700760
2015-12-21$24.79$24.4017.9%5.1%19.4%22.7%18.4%5.8%0.4%56.7K-391.6K-3.6K0.5142.18N/AN/A7904001,190435
2015-12-22$24.79$24.4017.1%4.9%19.3%20.1%17.0%5.9%0.5%90.1K-626.1K-4.1K0.5945.59N/AN/A6754001,400485
2015-12-23$25.17$24.4015.5%4.4%19.9%14.8%17.5%4.8%0.7%105.5K-952.3K-4.0K0.5857.23N/AN/A6904001,415485
2015-12-24$25.09$24.4015.4%4.4%20.0%14.6%14.6%3.7%1.1%97.8K-948.3K-4.0K0.4060.76N/AN/A1,0054001,425535
2015-12-28$24.98$24.4015.3%4.4%20.0%14.2%15.2%4.2%2.2%175.7K-949.6K-4.3K0.4059.95N/AN/A1,0054001,740535
2015-12-29$25.25$24.4014.9%4.3%19.9%12.9%14.9%4.7%1.3%213.2K-1.3M-4.2K0.4067.19N/AN/A1,0054001,740535
2015-12-30$25.08$24.4013.7%3.9%18.2%9.0%14.1%3.3%2.5%193.5K-1.1M-4.2K0.4090.26N/AN/A1,0054001,740585
2015-12-31$24.95$24.4014.9%4.3%18.1%12.7%15.2%4.6%2.7%176.3K-977.3K-4.0K0.4168.88N/AN/A1,0254251,740585