IHF Options History — March 2016

In March 2016, IHF traded between $23.35 and $24.48. ATM implied volatility averaged 16.3%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.8% (HV 20d: 22.1%). Max pain ranged from $22.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2016-03-03: Highest Volume — 1,630 contracts
  • 2016-03-11: Largest IV drop — 15.6% change
  • 2016-03-08: Highest IV Rank — 38.4%
  • 2016-03-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.90$23.35$24.48$23.49$24.42
Max Pain$22.91$22.00$23.00$22.00$23.00
ATM IV16.3%13.3%19.5%18.9%13.3%
Expected Move4.7%3.8%5.4%5.4%3.8%
HV 20d22.1%19.3%26.0%26.0%22.2%
HV 60d23.0%21.9%24.0%22.8%23.9%
IV Rank23.6%9.5%38.4%36.0%9.5%
IV Percentile44.2%12.3%68.7%64.3%12.3%
Term Structure0.2%-3.1%2.3%-0.5%1.8%
VWIV18.0%14.2%20.1%19.8%14.2%
Skew 25d3.3%1.0%5.0%4.9%1.0%
Skew 10d4.8%-1.6%10.2%10.2%-1.6%
Call IV 25d15.4%12.7%17.4%15.8%13.6%
Put IV 25d18.7%14.7%21.5%20.6%14.7%
Bid-Ask Spread %59.4438.7990.7869.4190.78
Gamma HHI0.150.100.240.210.11
Net GEX98.0K22.8K296.5K132.4K23.9K
Net DEX-1.7M-2.8M-723.2K-1.6M-1.3M
Net VEX-5.0K-6.2K-4.3K-5.6K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.521.440.561.36
Total Volume1,374.3181,0651,6301,5501,395
Total OI2,087.0451,5252,4652,0101,930

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$23.49$22.0018.9%5.4%26.0%36.0%19.8%4.9%-0.5%132.4K-1.6M-5.6K0.5669.41N/AN/A9955551,355655
2016-03-02$23.59$22.0017.7%5.1%25.2%30.0%19.8%4.2%-0.3%132.3K-1.7M-5.4K0.5673.72N/AN/A9955551,355655
2016-03-03$23.92$23.0016.7%5.0%25.0%25.1%19.2%3.3%-3.1%127.6K-2.1M-4.8K0.5239.98N/AN/A1,0755551,355655
2016-03-04$23.78$23.0017.6%5.0%25.1%29.4%18.5%2.9%0.6%133.7K-2.1M-5.1K0.5242.64N/AN/A1,0755551,435655
2016-03-07$23.85$23.0017.9%5.0%22.7%31.1%19.0%2.7%0.1%133.0K-2.1M-4.9K0.5344.07N/AN/A1,0055301,435655
2016-03-08$23.42$23.0019.5%5.1%20.0%38.4%19.4%2.6%-1.5%188.9K-1.9M-5.6K0.7438.89N/AN/A8556301,555730
2016-03-09$23.53$23.0018.4%5.3%19.9%33.2%20.1%5.0%-1.3%170.0K-1.8M-6.2K0.7439.29N/AN/A8556301,555880
2016-03-10$23.52$23.0018.0%5.2%19.6%31.2%19.3%4.6%0.5%177.7K-1.8M-6.0K0.9938.79N/AN/A6356301,555880
2016-03-11$24.21$23.0015.2%4.4%19.3%18.3%18.5%3.8%0.9%72.1K-2.7M-4.7K1.0349.49N/AN/A6356551,560880
2016-03-14$24.21$23.0015.4%4.4%19.4%19.3%17.9%2.4%0.6%33.6K-2.8M-4.6K1.0362.20N/AN/A6356551,560905
2016-03-15$23.70$23.0017.1%4.9%21.0%27.2%18.4%3.7%-1.3%150.2K-2.2M-5.3K1.1149.32N/AN/A5906551,505905
2016-03-16$23.85$23.0017.3%5.0%19.8%28.1%19.0%3.3%-0.3%116.6K-2.2M-5.1K0.9956.44N/AN/A6606551,480905
2016-03-17$23.35$23.0016.9%4.8%21.5%26.0%17.6%3.6%2.3%296.5K-1.7M-5.4K1.0048.29N/AN/A6556551,530905
2016-03-18$24.06$23.0015.8%4.5%23.6%21.1%18.2%3.0%-1.3%26.6K-2.6M-4.6K1.0056.68N/AN/A6556551,525905
2016-03-21$23.91$23.0015.3%4.4%22.3%18.7%17.1%3.3%1.2%40.4K-1.0M-4.6K1.0966.32N/AN/A510555920605
2016-03-22$24.08$23.0015.1%4.3%22.4%17.9%16.3%3.9%0.8%43.5K-1.1M-4.4K1.1866.02N/AN/A490580920605
2016-03-23$24.04$23.0015.0%4.3%22.4%17.4%15.2%2.8%1.0%40.5K-1.2M-4.5K1.4474.19N/AN/A540780950630
2016-03-24$23.93$23.0015.2%4.4%22.4%18.5%16.4%4.2%-0.1%33.2K-723.2K-5.1K1.4269.25N/AN/A5507801,000830
2016-03-28$23.96$23.0015.0%4.3%22.2%17.4%17.5%3.7%1.0%31.8K-820.8K-4.9K1.4274.30N/AN/A5507801,010830
2016-03-29$24.42$23.0014.6%4.2%22.4%15.8%17.1%2.6%1.3%22.8K-1.2M-4.5K1.2581.96N/AN/A6257801,010830
2016-03-30$24.48$23.0013.6%3.9%22.1%10.8%18.1%2.0%1.2%28.9K-1.3M-4.4K1.2975.63N/AN/A6258051,085830
2016-03-31$24.42$23.0013.3%3.8%22.2%9.5%14.2%1.0%1.8%23.9K-1.3M-4.3K1.3690.78N/AN/A5908051,075855