IHF Options History — May 2016

In May 2016, IHF traded between $24.34 and $25.27. ATM implied volatility averaged 15.7%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.8% (HV 20d: 13.9%). Max pain ranged from $24.60 to $25.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2016-05-04: Highest Volume — 2,170 contracts
  • 2016-05-10: Largest IV drop — 13.4% change
  • 2016-05-04: Highest IV Rank — 31.2%
  • 2016-05-06: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.79$24.34$25.27$25.27$25.11
Max Pain$24.94$24.60$25.00$24.60$25.00
ATM IV15.7%12.0%18.0%16.0%12.0%
Expected Move4.5%3.4%5.3%4.6%3.4%
HV 20d13.9%12.7%15.6%15.6%13.6%
HV 60d18.0%17.1%20.8%20.8%17.1%
IV Rank20.5%3.5%31.2%22.2%3.5%
IV Percentile35.5%1.6%59.1%41.7%1.6%
Term Structure0.8%-0.2%2.0%1.1%1.5%
VWIV15.6%12.7%18.2%16.3%13.6%
Skew 25d3.8%1.9%6.5%6.0%3.4%
Skew 10d5.9%1.3%11.8%11.6%6.1%
Call IV 25d13.6%9.5%16.6%13.9%11.7%
Put IV 25d17.5%13.6%19.9%19.9%15.1%
Bid-Ask Spread %70.8943.0991.3491.1289.40
Gamma HHI0.160.110.260.130.22
Net GEX26.8K-55.4K69.1K43.6K32.9K
Net DEX-359.3K-929.5K276.3K-929.5K-797.1K
Net VEX-5.2K-6.3K-4.2K-6.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.201.061.501.061.06
Total Volume1,842.1431,0252,1702,1351,195
Total OI2,190.9521,2452,5652,3851,480

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$25.27$24.6016.0%4.6%15.6%22.2%16.3%6.0%1.1%43.6K-929.5K-6.0K1.0691.12N/AN/A1,0351,1001,2351,150
2016-05-03$25.18$24.6016.8%4.8%14.0%25.7%15.8%6.5%-0.2%45.3K-863.0K-6.3K1.0991.34N/AN/A1,0351,1251,2601,150
2016-05-04$24.97$24.6018.0%5.2%13.7%31.2%15.3%2.6%0.5%46.8K-557.7K-6.3K1.0891.03N/AN/A1,0451,1251,2601,175
2016-05-05$24.88$25.0016.9%5.1%13.4%26.1%17.7%3.7%0.8%49.9K-512.6K-6.3K1.2644.42N/AN/A8901,1251,2701,175
2016-05-06$24.83$25.0017.5%5.3%13.3%28.9%18.2%3.8%-0.1%53.7K-399.5K-6.2K1.3343.09N/AN/A8901,1801,2801,175
2016-05-09$25.03$25.0017.0%5.0%13.2%26.5%17.8%5.6%-0.2%57.4K-573.7K-5.9K1.3347.08N/AN/A8901,1801,2801,230
2016-05-10$25.17$25.0014.7%4.3%13.0%16.0%16.6%4.3%2.0%58.9K-752.0K-5.6K1.2649.40N/AN/A9351,1801,2801,230
2016-05-11$24.90$25.0015.5%4.4%12.7%19.7%15.5%3.3%1.4%69.1K-654.6K-5.6K1.2662.41N/AN/A9351,1801,3351,230
2016-05-12$24.37$25.0016.5%4.7%14.8%24.4%15.9%3.3%0.5%31.8K133.3K-5.4K1.2662.90N/AN/A9351,1801,3351,230
2016-05-13$24.34$25.0016.6%4.7%14.8%24.7%16.2%2.2%0.8%24.0K268.9K-5.1K1.2668.76N/AN/A9351,1801,3351,230
2016-05-16$24.62$25.0015.7%4.5%15.3%20.9%15.0%3.0%1.0%42.3K8.2K-4.8K1.2672.00N/AN/A9351,1801,3351,230
2016-05-17$24.54$25.0016.9%4.9%15.2%26.4%16.7%3.4%0.6%52.0K-42.2K-4.9K1.2657.88N/AN/A9351,1801,3351,230
2016-05-18$24.47$25.0016.8%4.8%13.9%25.9%16.4%3.6%0.3%20.3K152.8K-4.6K1.2673.78N/AN/A9351,1801,3351,230
2016-05-19$24.39$25.0016.8%4.8%13.9%25.8%16.0%2.6%0.9%-55.4K276.3K-4.5K1.2370.69N/AN/A9601,1801,3351,230
2016-05-20$24.56$25.0015.8%4.5%13.4%21.1%15.5%3.6%1.1%-25.7K233.9K-4.5K1.2369.84N/AN/A9601,1801,3351,230
2016-05-23$24.43$25.0015.7%4.5%13.3%20.6%15.0%3.3%1.2%-36.7K-142.8K-4.5K1.5073.78N/AN/A410615630615
2016-05-24$24.76$25.0014.4%4.1%13.2%14.5%14.4%5.8%0.5%-28.7K-319.2K-4.2K1.0877.70N/AN/A570615645615
2016-05-25$25.01$25.0013.4%3.9%13.9%10.2%13.9%5.9%0.5%27.3K-714.6K-4.6K1.0879.84N/AN/A570615830615
2016-05-26$24.86$25.0013.5%3.9%13.8%10.6%13.2%2.8%1.0%23.1K-614.8K-4.6K1.0684.67N/AN/A580615840615
2016-05-27$24.98$25.0012.6%3.6%13.4%6.4%12.7%1.9%0.8%30.9K-745.2K-4.6K1.0687.48N/AN/A580615840615
2016-05-31$25.11$25.0012.0%3.4%13.6%3.5%13.6%3.4%1.5%32.9K-797.1K-4.3K1.0689.40N/AN/A580615840640