IHF Options History — January 2016

In January 2016, IHF traded between $22.39 and $24.85. ATM implied volatility averaged 23.2%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 4.6% (HV 20d: 18.6%). Max pain ranged from $23.60 to $23.80. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2016-01-15: Highest Volume — 1,680 contracts
  • 2016-01-07: Largest IV spike — 25.9% change
  • 2016-01-28: Highest IV Rank — 62.4%
  • 2016-01-28: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.40$22.39$24.85$24.71$22.86
Max Pain$23.72$23.60$23.80$23.80$23.60
ATM IV23.2%19.8%27.8%21.3%23.8%
Expected Move6.3%5.4%7.1%5.6%6.8%
HV 20d18.6%14.4%22.3%15.6%22.3%
HV 60d24.4%22.0%26.8%25.4%22.7%
IV Rank49.1%28.7%62.4%33.6%58.4%
IV Percentile86.2%76.2%95.2%81.7%87.3%
Term Structure0.3%-1.4%4.5%1.0%-1.1%
VWIV20.2%18.6%22.0%19.3%20.7%
Skew 25d5.5%1.8%8.1%7.9%7.3%
Skew 10d9.2%-0.4%15.8%13.6%15.8%
Call IV 25d18.7%15.8%21.8%15.8%19.5%
Put IV 25d24.2%20.7%28.8%23.7%26.8%
Bid-Ask Spread %81.7469.1990.2471.6485.63
Gamma HHI0.180.140.310.150.15
Net GEX36.1K-18.6K150.3K127.9K9.0K
Net DEX513.4K-766.6K1.3M-536.8K641.5K
Net VEX-2.7K-3.9K-1.5K-3.9K-3.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.390.960.410.87
Total Volume1,289.7379051,6801,4501,150
Total OI2,176.0531,4252,5152,3502,240

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$24.71$23.8021.3%5.6%15.6%33.6%19.3%7.9%1.0%127.9K-536.8K-3.9K0.4171.64N/AN/A1,0254251,740610
2016-01-05$24.85$23.8019.8%5.4%14.4%28.7%18.6%5.5%0.3%150.3K-766.6K-3.8K0.4069.19N/AN/A1,0704251,740610
2016-01-06$24.53$23.8021.1%5.6%14.4%33.1%19.3%5.6%0.8%97.0K-268.5K-3.6K0.4073.01N/AN/A1,0704251,795660
2016-01-07$24.03$23.8026.6%6.2%16.1%50.9%20.1%4.1%0.6%56.4K207.4K-3.4K0.3975.84N/AN/A1,0504101,795660
2016-01-08$23.71$23.8025.4%6.2%16.6%47.0%20.2%5.0%-1.4%34.7K513.0K-2.9K0.3981.23N/AN/A1,0504101,790665
2016-01-11$23.58$23.8027.8%6.3%16.3%55.1%20.8%4.2%-1.0%2.0K808.3K-2.3K0.4483.50N/AN/A1,0254551,785665
2016-01-12$23.75$23.8024.5%5.9%16.3%44.3%19.0%4.5%1.4%-9.3K772.9K-2.5K0.4382.44N/AN/A1,0254451,785710
2016-01-13$22.92$23.8020.8%6.0%20.3%32.0%19.3%1.8%4.5%18.5K1.1M-1.8K0.4590.24N/AN/A9804451,785725
2016-01-14$23.22$23.8021.5%6.2%20.3%48.2%18.6%3.7%0.5%28.6K1.2M-1.8K0.4587.98N/AN/A9804451,790725
2016-01-15$22.85$23.8023.1%6.6%20.5%55.5%19.3%3.7%1.4%32.9K1.3M-1.5K0.7187.75N/AN/A9807001,790725
2016-01-19$22.93$23.8023.5%6.8%20.6%57.5%20.7%6.4%-0.6%34.6K456.5K-1.5K0.7483.61N/AN/A5203851,055370
2016-01-20$23.06$23.6022.7%6.5%20.7%53.7%20.4%4.5%1.3%45.3K347.9K-2.0K0.7490.09N/AN/A5203851,160420
2016-01-21$22.98$23.6024.0%6.9%19.7%59.4%21.7%8.1%0.4%43.3K366.4K-2.0K0.9376.92N/AN/A5405001,160420
2016-01-22$23.24$23.6021.5%6.2%20.3%48.1%20.2%7.4%-0.1%33.5K430.6K-2.7K0.9679.85N/AN/A5405201,180585
2016-01-25$22.95$23.6023.4%6.7%19.3%56.7%21.7%5.5%-0.1%8.2K641.8K-2.8K0.9581.69N/AN/A5355101,180720
2016-01-26$23.18$23.6021.9%6.3%20.0%49.9%20.8%7.0%-1.0%-3.4K685.7K-2.9K0.8083.93N/AN/A6405101,185845
2016-01-27$22.86$23.6023.8%6.8%20.3%58.6%21.0%7.0%-0.9%-5.8K786.9K-3.1K0.7984.20N/AN/A6455101,290845
2016-01-28$22.39$23.6024.6%7.1%20.2%62.4%22.0%5.5%-1.0%-18.6K1.1M-2.7K0.7484.28N/AN/A7205351,295845
2016-01-29$22.86$23.6023.8%6.8%22.3%58.4%20.7%7.3%-1.1%9.0K641.5K-3.4K0.8785.63N/AN/A6155351,420820