IHF Options History — April 2016

In April 2016, IHF traded between $24.07 and $25.79. ATM implied volatility averaged 15.1%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded below realized volatility by 2.8% (HV 20d: 17.9%). Max pain ranged from $23.20 to $24.60. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.32.

Notable Days

  • 2016-04-29: Highest Volume — 2,110 contracts
  • 2016-04-05: Largest IV spike — 19.2% change
  • 2016-04-11: Highest IV Rank — 32.0%
  • 2016-04-29: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.90$24.07$25.79$24.58$25.27
Max Pain$24.44$23.20$24.60$23.20$24.60
ATM IV15.1%11.9%18.1%11.9%17.7%
Expected Move4.3%3.4%5.1%3.4%5.1%
HV 20d17.9%13.9%22.8%21.8%15.6%
HV 60d22.5%20.8%23.9%23.9%20.8%
IV Rank18.0%3.2%32.0%3.2%30.1%
IV Percentile31.7%2.0%60.7%2.0%57.5%
Term Structure0.6%-1.7%2.4%1.7%-1.7%
VWIV14.9%12.7%17.4%12.7%17.4%
Skew 25d4.2%1.1%6.9%3.9%6.9%
Skew 10d9.1%1.5%13.4%7.9%8.6%
Call IV 25d12.8%10.0%15.4%10.0%13.8%
Put IV 25d17.0%14.0%20.7%14.0%20.7%
Bid-Ask Spread %83.3071.3394.3394.3384.78
Gamma HHI0.180.110.320.120.13
Net GEX47.0K-20.8K150.1K26.3K44.6K
Net DEX-1.2M-1.8M-586.2K-1.4M-955.0K
Net VEX-4.5K-6.4K-3.6K-4.2K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.321.061.581.341.09
Total Volume1,605.7141,3152,1101,4052,110
Total OI1,9901,4352,3601,9302,360

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$24.58$23.2011.9%3.4%21.8%3.2%12.7%3.9%1.7%26.3K-1.4M-4.2K1.3494.33N/AN/A6008051,075855
2016-04-04$24.60$24.2012.9%4.1%21.6%7.7%13.0%4.5%1.1%24.6K-1.4M-4.2K1.3481.21N/AN/A6008051,085855
2016-04-05$24.15$24.2015.4%4.3%22.8%19.2%15.1%4.7%1.2%33.8K-1.1M-4.4K1.3371.33N/AN/A6058051,075855
2016-04-06$24.50$24.2017.4%4.6%22.1%28.7%16.0%4.2%0.7%30.1K-1.3M-4.2K1.0777.51N/AN/A7558051,080855
2016-04-07$24.30$24.2018.1%5.0%22.4%31.8%16.9%3.9%-0.1%78.3K-1.2M-4.4K1.2273.86N/AN/A6608051,165855
2016-04-08$24.21$24.2015.9%4.6%22.5%21.5%16.2%4.4%0.3%118.9K-1.2M-4.4K1.3474.93N/AN/A6608851,220855
2016-04-11$24.07$24.6018.1%4.8%20.1%32.0%15.1%3.6%0.4%111.3K-956.6K-4.3K1.4575.87N/AN/A6609601,220935
2016-04-12$24.29$24.6016.8%4.6%20.4%25.6%15.7%6.2%0.4%150.1K-1.1M-4.6K1.4575.30N/AN/A6609601,2201,010
2016-04-13$24.67$24.6014.9%4.3%19.4%17.0%14.3%5.4%1.5%119.3K-1.7M-4.4K1.4580.33N/AN/A6609601,2501,010
2016-04-14$24.74$24.6013.9%4.0%19.4%12.3%14.5%5.3%2.4%84.5K-1.8M-4.1K1.4583.31N/AN/A6609601,2501,010
2016-04-15$24.73$24.6014.0%4.0%17.4%13.0%13.9%5.5%1.9%64.7K-1.8M-4.0K1.4584.02N/AN/A6609601,2501,010
2016-04-18$24.90$24.6014.7%4.2%14.2%16.1%14.0%5.5%0.4%-1.5K-586.2K-3.6K1.2585.44N/AN/A585730685750
2016-04-19$24.99$24.6014.1%4.0%13.9%13.4%14.0%2.3%0.5%32.9K-850.9K-4.2K1.2585.38N/AN/A585730865780
2016-04-20$25.38$24.6014.2%4.1%14.5%13.6%14.3%4.0%0.1%15.8K-1.2M-4.1K1.3386.87N/AN/A585780865780
2016-04-21$25.31$24.6013.5%3.9%14.6%10.6%14.1%1.7%0.5%16.0K-1.1M-4.2K1.5686.13N/AN/A585910865830
2016-04-22$25.62$24.6014.5%4.2%14.7%15.1%15.6%4.1%0.2%-7.9K-1.1M-4.3K1.4187.81N/AN/A645910810960
2016-04-25$25.44$24.6015.1%4.3%15.1%18.0%15.3%3.0%0.5%12.4K-1.1M-4.5K1.5888.23N/AN/A6451,020870960
2016-04-26$25.79$24.6014.0%4.0%14.5%12.9%14.5%3.8%0.6%-20.8K-1.2M-4.4K1.1190.79N/AN/A9151,0208701,070
2016-04-27$25.78$24.6015.0%4.3%14.5%17.5%15.0%4.8%0.4%30.0K-1.6M-5.3K1.1791.98N/AN/A9151,0751,1401,070
2016-04-28$25.56$24.6015.3%4.4%14.9%18.8%15.6%1.1%0.3%24.2K-1.4M-5.8K1.0689.86N/AN/A1,0101,0751,1401,125
2016-04-29$25.27$24.6017.7%5.1%15.6%30.1%17.4%6.9%-1.7%44.6K-955.0K-6.4K1.0984.78N/AN/A1,0101,1001,2351,125