IHF Options History — July 2016

In July 2016, IHF traded between $25.25 and $26.52. ATM implied volatility averaged 13.1%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded below realized volatility by 5.4% (HV 20d: 18.5%). Max pain ranged from $25.20 to $25.40. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.31.

Notable Days

  • 2016-07-01: Highest Volume — 1,785 contracts
  • 2016-07-11: Largest IV spike — 31.0% change
  • 2016-07-11: Highest IV Rank — 16.2%
  • 2016-07-07: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.81$25.25$26.52$25.46$25.73
Max Pain$25.36$25.20$25.40$25.20$25.40
ATM IV13.1%11.3%14.8%12.9%11.8%
Expected Move3.8%3.4%4.5%3.7%3.4%
HV 20d18.5%13.4%20.6%19.8%13.5%
HV 60d15.9%15.6%16.0%15.8%15.9%
IV Rank8.5%0.0%16.2%6.7%2.6%
IV Percentile9.0%0.0%21.0%6.0%1.2%
Term Structure1.4%-0.6%3.0%2.5%1.1%
VWIV14.1%12.2%15.8%13.2%12.2%
Skew 25d3.8%2.2%6.8%2.2%4.8%
Skew 10d5.4%-0.7%10.3%5.9%10.3%
Call IV 25d11.9%9.4%14.0%12.1%10.6%
Put IV 25d15.7%14.3%17.7%14.3%15.4%
Bid-Ask Spread %87.5272.4995.8193.8295.81
Gamma HHI0.330.180.790.300.18
Net GEX164.7K-119.4K1.1M130.6K-119.4K
Net DEX-1.1M-2.5M-73.0K-760.1K-73.0K
Net VEX-6.1K-7.4K-4.9K-5.9K-7.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.642.040.972.04
Total Volume1,502.51,2101,7851,7851,550
Total OI2,6922,1153,3102,4152,550

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$25.46$25.2012.9%3.7%19.8%6.7%13.2%2.2%2.5%130.6K-760.1K-5.9K0.9793.82N/AN/A9058801,435980
2016-07-05$25.25$25.2014.5%4.4%19.7%14.2%15.2%5.1%1.6%90.3K-366.4K-5.2K0.9777.95N/AN/A9058801,440980
2016-07-06$25.47$25.2013.8%4.3%19.9%11.3%15.7%4.8%1.7%130.7K-652.2K-5.2K1.0983.34N/AN/A8058801,440980
2016-07-07$25.26$25.2014.6%4.5%19.5%15.1%15.8%3.4%1.8%88.1K-374.0K-4.9K0.6472.49N/AN/A1,0556701,440980
2016-07-08$25.70$25.4011.3%3.9%20.6%0.0%15.0%5.1%1.8%471.4K-1.3M-6.7K0.6575.69N/AN/A1,0256702,0801,175
2016-07-11$25.70$25.4014.8%3.9%19.8%16.2%15.1%3.3%2.4%509.1K-1.7M-6.6K1.2481.57N/AN/A5406702,1301,175
2016-07-12$25.76$25.4014.1%3.9%19.2%12.9%14.9%4.4%1.7%696.7K-1.7M-6.3K1.2487.41N/AN/A5406702,1351,175
2016-07-13$25.96$25.4013.0%3.7%19.3%8.0%13.4%3.5%2.0%1.0M-2.5M-5.9K1.2483.45N/AN/A5406702,1351,175
2016-07-14$25.86$25.4013.3%3.8%19.3%9.4%14.6%2.4%2.3%1.1M-2.2M-5.6K1.0586.02N/AN/A6406702,1351,175
2016-07-15$25.82$25.4012.5%3.6%19.3%5.6%13.4%3.1%3.0%-57.7K-1.2M-5.0K0.7490.77N/AN/A9106701,9351,175
2016-07-18$25.92$25.4011.9%3.4%19.2%2.8%13.0%4.2%1.6%-85.9K-1.1M-5.0K1.0990.50N/AN/A5856351,0001,115
2016-07-19$25.72$25.4012.7%3.6%19.2%6.4%13.0%3.9%1.0%-85.3K-887.6K-5.3K1.0988.04N/AN/A5856351,0301,140
2016-07-20$26.01$25.4012.5%3.6%19.6%5.8%13.2%3.5%1.2%-75.2K-1.3M-5.1K1.0287.38N/AN/A6506601,0301,140
2016-07-21$26.21$25.4012.7%3.6%19.7%6.6%14.5%3.5%1.4%-35.2K-1.7M-5.7K1.5890.28N/AN/A6501,0251,1701,165
2016-07-22$26.52$25.4012.8%3.7%19.8%7.2%15.2%2.7%0.6%-54.5K-1.8M-6.5K1.6993.62N/AN/A6051,0251,1701,530
2016-07-25$26.13$25.4013.3%3.8%18.9%9.4%13.7%2.7%0.6%-64.0K-1.6M-6.8K1.9492.32N/AN/A5351,0401,2001,530
2016-07-26$26.08$25.4013.7%3.9%14.9%11.3%14.1%5.0%0.3%-88.8K-1.1M-7.2K1.9492.39N/AN/A5351,0401,1401,580
2016-07-27$25.75$25.4013.0%3.7%15.3%8.2%13.7%2.4%0.9%-112.4K-240.7K-7.4K2.0494.14N/AN/A5101,0409451,580
2016-07-28$25.82$25.4013.4%3.8%13.4%9.8%13.9%6.8%-0.6%-105.0K-241.6K-7.4K2.0493.38N/AN/A5101,0409701,580
2016-07-29$25.73$25.4011.8%3.4%13.5%2.6%12.2%4.8%1.1%-119.4K-73.0K-7.3K2.0495.81N/AN/A5101,0409701,580