IHF Options History — June 2016

In June 2016, IHF traded between $24.46 and $26.10. ATM implied volatility averaged 16.1%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.2% (HV 20d: 14.9%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.12.

Notable Days

  • 2016-06-17: Highest Volume — 1,890 contracts
  • 2016-06-24: Largest IV spike — 21.1% change
  • 2016-06-27: Highest IV Rank — 48.4%
  • 2016-06-27: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.43$24.46$26.10$25.27$25.44
Max Pain$25.52$25.00$26.00$25.00$25.20
ATM IV16.1%11.4%21.8%12.7%14.9%
Expected Move4.7%3.6%6.2%3.6%4.3%
HV 20d14.9%13.0%20.6%13.7%19.9%
HV 60d15.4%13.7%17.1%17.1%15.9%
IV Rank22.4%0.9%48.4%6.9%16.5%
IV Percentile37.8%0.4%79.0%6.0%21.0%
Term Structure0.3%-1.9%1.4%1.4%0.1%
VWIV15.7%13.6%21.4%14.2%13.6%
Skew 25d4.8%1.7%7.0%5.8%5.7%
Skew 10d7.7%1.6%13.3%7.8%8.7%
Call IV 25d14.3%10.3%19.8%10.3%11.1%
Put IV 25d19.0%14.9%24.8%16.1%16.8%
Bid-Ask Spread %62.4750.3486.6585.7086.65
Gamma HHI0.230.160.380.220.30
Net GEX72.3K11.6K165.1K39.5K123.7K
Net DEX-842.7K-1.8M298.1K-936.8K-648.4K
Net VEX-5.4K-6.8K-3.6K-4.2K-5.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.120.941.381.060.97
Total Volume1,647.7271,1951,8901,1951,785
Total OI2,028.6361,4802,4151,4802,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$25.27$25.0012.7%3.6%13.7%6.9%14.2%5.8%1.4%39.5K-936.8K-4.2K1.0685.70N/AN/A580615840640
2016-06-02$25.64$0.0011.4%4.1%14.2%0.9%0.0%2.1%0.7%49.2K-1.3M-3.8K1.0659.53N/AN/A580615840640
2016-06-03$25.50$0.0011.6%4.0%14.3%1.5%0.0%2.5%1.1%45.1K-1.2M-3.9K1.3862.18N/AN/A580800840640
2016-06-06$25.75$0.0012.4%3.9%14.5%5.3%0.0%4.2%1.2%15.2K-1.2M-4.3K1.3859.03N/AN/A580800840845
2016-06-07$25.78$0.0013.3%4.1%14.3%9.7%0.0%1.7%0.5%19.2K-1.2M-4.3K1.3462.67N/AN/A595800840845
2016-06-08$26.10$0.0013.9%4.0%14.8%12.4%14.0%2.8%0.4%23.6K-1.5M-3.6K1.0263.55N/AN/A830850855845
2016-06-09$26.04$26.0014.0%4.0%14.1%12.6%14.0%2.0%0.3%59.3K-1.8M-4.6K1.1864.12N/AN/A8159601,100875
2016-06-10$25.62$26.0015.6%4.5%13.0%20.0%14.8%4.3%1.1%69.1K-1.1M-5.7K1.1859.28N/AN/A8159601,105985
2016-06-13$25.29$26.0017.4%5.0%14.1%28.8%15.5%7.0%1.0%70.8K-796.8K-5.5K1.2154.59N/AN/A8159851,105985
2016-06-14$25.33$26.0017.3%5.0%13.6%28.3%15.7%6.3%0.7%62.7K-653.6K-5.6K1.2151.94N/AN/A8159851,1051,010
2016-06-15$25.25$26.0018.1%5.2%13.6%31.8%15.1%6.0%-0.1%78.3K-664.9K-5.5K1.2160.85N/AN/A8159851,1051,010
2016-06-16$25.33$26.0017.2%4.9%13.5%27.6%15.0%5.5%1.0%148.6K-742.9K-5.2K1.2155.51N/AN/A8159851,1051,010
2016-06-17$25.19$26.0018.5%5.3%13.7%33.6%16.3%4.9%0.9%165.1K-598.8K-5.1K1.3652.19N/AN/A8001,0901,1051,010
2016-06-20$25.45$25.2016.8%4.8%13.9%25.7%16.2%4.7%0.4%11.6K-571.5K-6.0K0.9664.37N/AN/A830800975900
2016-06-21$25.45$25.2018.4%5.3%13.7%33.3%16.0%5.3%-1.2%99.2K-824.8K-6.7K0.9757.51N/AN/A8258001,350900
2016-06-22$25.47$25.2019.5%5.6%13.0%37.8%18.3%5.0%-1.9%92.6K-944.6K-6.8K0.9453.19N/AN/A8558001,355900
2016-06-23$25.73$25.2016.4%4.7%13.0%23.4%15.9%5.5%-0.0%125.9K-1.2M-6.6K0.9463.88N/AN/A8558001,385900
2016-06-24$25.20$25.2019.9%5.7%15.1%39.5%17.7%6.3%-0.6%85.4K-537.9K-6.6K1.0250.34N/AN/A8558751,385900
2016-06-27$24.46$25.2021.8%6.2%18.4%48.4%21.4%5.0%-0.7%38.0K298.1K-6.0K1.0360.73N/AN/A8558801,385975
2016-06-28$24.81$25.2018.0%5.2%19.1%30.8%14.5%5.6%1.0%51.3K71.3K-6.0K0.9771.80N/AN/A9058801,385980
2016-06-29$25.35$25.2015.2%4.3%20.6%17.5%14.0%6.7%-0.2%117.3K-583.1K-6.2K0.9774.78N/AN/A9058801,435980
2016-06-30$25.44$25.2014.9%4.3%19.9%16.5%13.6%5.7%0.1%123.7K-648.4K-5.9K0.9786.65N/AN/A9058801,435980