IHF Options History — February 2016

In February 2016, IHF traded between $21.42 and $23.51. ATM implied volatility averaged 23.1%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 3.6% (HV 20d: 26.7%). Max pain ranged from $22.00 to $23.60. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2016-02-16: Highest Volume — 2,425 contracts
  • 2016-02-09: Largest IV spike — 10.6% change
  • 2016-02-09: Highest IV Rank — 80.1%
  • 2016-02-11: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.54$21.42$23.51$23.34$23.20
Max Pain$22.39$22.00$23.60$23.60$22.00
ATM IV23.1%19.3%28.5%22.2%20.4%
Expected Move6.5%5.5%7.9%6.4%5.9%
HV 20d26.7%24.1%29.0%24.1%26.7%
HV 60d23.5%22.4%24.8%23.2%22.6%
IV Rank55.6%38.1%80.1%51.2%43.3%
IV Percentile83.4%69.0%97.2%82.5%72.2%
Term Structure-0.4%-5.5%2.1%-0.8%-0.8%
VWIV22.0%19.9%24.8%21.0%21.9%
Skew 25d4.3%1.4%7.9%7.9%1.9%
Skew 10d6.1%-0.5%16.9%16.9%5.6%
Call IV 25d20.6%18.1%24.4%18.1%19.3%
Put IV 25d24.9%20.5%28.4%25.9%21.2%
Bid-Ask Spread %51.7326.4386.4284.8265.01
Gamma HHI0.230.140.460.140.20
Net GEX4.0K-154.4K127.2K40.0K125.7K
Net DEX458.0K-1.6M1.8M123.7K-1.3M
Net VEX-3.7K-6.2K-2.0K-3.9K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.531.450.780.56
Total Volume1,652.759402,4251,1651,550
Total OI2,4441,0153,3152,4402,000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$23.34$23.6022.2%6.4%24.1%51.2%21.0%7.9%-0.8%40.0K123.7K-3.9K0.7884.82N/AN/A6555101,545895
2016-02-02$22.92$23.6023.2%6.6%24.5%55.9%21.9%4.9%-0.1%-3.5K591.5K-3.9K0.7885.47N/AN/A6555101,545995
2016-02-03$22.64$23.6023.9%6.8%24.5%59.0%20.5%6.6%-0.7%-34.6K952.6K-3.6K0.7886.42N/AN/A6555101,5451,045
2016-02-04$22.73$23.0023.8%6.5%24.4%58.7%22.1%4.5%0.3%-31.7K908.7K-3.6K0.7826.43N/AN/A6555101,5451,045
2016-02-05$22.13$23.0026.1%7.4%25.1%69.4%22.4%5.2%-2.0%-49.6K1.4M-2.8K1.1642.89N/AN/A7208351,5451,045
2016-02-08$21.42$23.0025.8%7.0%26.9%67.6%23.5%1.9%2.0%-17.4K1.6M-2.0K1.1858.05N/AN/A7308601,635995
2016-02-09$21.64$22.0028.5%7.3%27.4%80.1%23.5%2.9%2.1%-18.9K1.6M-2.3K1.1538.27N/AN/A7508601,6851,020
2016-02-10$21.97$22.0025.7%7.4%28.0%67.3%24.3%3.7%0.7%-39.2K1.4M-2.6K1.2835.27N/AN/A7509601,6451,020
2016-02-11$21.52$22.0027.5%7.9%26.2%75.7%24.8%4.0%-0.5%-27.4K1.8M-2.3K1.2035.91N/AN/A9901,1851,6951,120
2016-02-12$21.70$22.0026.1%7.5%25.9%69.2%22.6%4.3%-0.3%-15.3K1.6M-3.4K1.2043.22N/AN/A9901,1851,9201,070
2016-02-16$22.09$22.0024.1%6.9%26.5%60.2%21.5%5.8%-0.5%-62.5K1.3M-3.4K1.4541.71N/AN/A9901,4351,9201,015
2016-02-17$22.60$22.0022.0%6.3%27.8%50.6%21.1%5.6%-1.7%-147.7K640.6K-3.8K1.3040.10N/AN/A9901,2851,9201,265
2016-02-18$22.51$22.0021.8%6.3%27.7%49.6%22.1%3.4%-5.5%-154.4K717.5K-3.6K1.3936.37N/AN/A9951,3851,9201,345
2016-02-19$22.46$22.0021.3%6.1%27.7%47.4%20.9%5.4%2.0%50.6K598.6K-3.5K1.3944.77N/AN/A1,0001,3851,8701,445
2016-02-22$23.05$22.0019.3%5.5%29.0%38.1%19.9%3.2%-0.0%73.7K-636.2K-3.5K0.5851.60N/AN/A595345745270
2016-02-23$23.07$22.0021.0%6.0%28.7%46.0%21.4%4.9%-1.0%63.9K-654.1K-4.2K0.5349.24N/AN/A645345835445
2016-02-24$23.08$22.0020.9%6.0%28.5%45.6%22.2%4.3%-1.0%79.3K-693.0K-4.2K0.5645.48N/AN/A990555885445
2016-02-25$23.28$22.0019.5%5.6%28.1%38.8%21.3%4.2%-1.0%127.2K-1.3M-6.2K0.5653.26N/AN/A9905551,345655
2016-02-26$23.51$22.0019.5%5.6%27.1%39.0%20.5%1.4%0.7%121.6K-1.6M-6.0K0.5670.39N/AN/A9905551,345655
2016-02-29$23.20$22.0020.4%5.9%26.7%43.3%21.9%1.9%-0.8%125.7K-1.3M-5.9K0.5665.01N/AN/A9955551,345655