IHF Options History — August 2016

In August 2016, IHF traded between $24.37 and $25.46. ATM implied volatility averaged 12.6%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 0.5% (HV 20d: 12.1%). Max pain ranged from $25.40 to $26.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.50.

Notable Days

  • 2016-08-19: Highest Volume — 1,640 contracts
  • 2016-08-10: Largest IV spike — 11.3% change
  • 2016-08-25: Highest IV Rank — 13.9%
  • 2016-08-04: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.03$24.37$25.46$25.44$24.60
Max Pain$25.92$25.40$26.00$25.40$26.00
ATM IV12.6%11.1%14.2%12.8%12.8%
Expected Move3.7%3.2%4.1%3.7%3.7%
HV 20d12.1%10.0%14.4%14.1%10.0%
HV 60d15.5%15.1%16.2%16.1%15.1%
IV Rank6.6%0.0%13.9%7.1%8.2%
IV Percentile7.8%0.0%21.4%6.7%11.1%
Term Structure1.4%-1.1%3.1%0.9%1.6%
VWIV11.1%8.4%13.8%11.9%10.8%
Skew 25d2.5%-0.1%6.1%2.3%3.5%
Skew 10d4.1%-2.0%8.8%-2.0%4.0%
Call IV 25d11.5%10.0%13.2%12.3%11.6%
Put IV 25d14.0%12.2%17.5%14.6%15.1%
Bid-Ask Spread %86.5667.3596.5595.6193.22
Gamma HHI0.250.170.830.180.24
Net GEX-168.9K-871.4K7.3K-154.5K-50.9K
Net DEX669.9K78.7K1.7M201.8K640.5K
Net VEX-5.5K-7.0K-4.3K-7.0K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.006.672.041.17
Total Volume1,103.91351,6401,550750
Total OI2,163.4781,1052,8502,5501,175

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-08-01$25.44$25.4012.8%3.7%14.1%7.1%11.9%2.3%0.9%-154.5K201.8K-7.0K2.0495.61N/AN/A5101,0409701,580
2016-08-02$25.15$25.4013.9%4.0%14.4%12.2%13.8%3.9%0.4%-157.3K826.0K-6.7K1.8496.55N/AN/A5651,0409701,580
2016-08-03$25.35$25.4014.2%4.1%14.4%13.8%12.7%6.1%-1.1%-166.0K565.8K-7.0K1.7595.47N/AN/A5951,0401,0251,580
2016-08-04$25.24$26.0013.1%4.1%14.2%8.4%12.2%2.3%1.0%-160.6K649.7K-7.0K1.7569.70N/AN/A5951,0401,0551,580
2016-08-05$25.46$26.0011.9%3.7%13.1%2.8%11.7%3.4%1.9%-187.8K298.1K-6.8K1.7574.72N/AN/A5951,0401,0551,580
2016-08-08$25.29$26.0012.6%3.9%13.3%5.9%12.3%1.7%1.4%-194.3K467.1K-6.4K1.7567.35N/AN/A5951,0401,0551,580
2016-08-09$25.22$26.0011.6%3.8%13.2%1.3%10.1%3.0%0.9%-220.8K667.6K-6.1K1.7575.91N/AN/A5951,0401,0451,580
2016-08-10$25.16$26.0012.9%3.7%12.8%7.4%11.8%1.0%1.2%-229.9K871.0K-5.9K1.7576.89N/AN/A5951,0401,0451,580
2016-08-11$25.18$26.0012.2%3.5%12.8%4.5%11.7%1.9%1.4%-298.8K992.7K-5.5K1.2783.43N/AN/A5557051,0451,580
2016-08-12$25.25$26.0012.5%3.6%12.9%5.6%10.6%2.9%1.5%-370.2K790.6K-5.4K0.8580.84N/AN/A8307051,0601,575
2016-08-15$25.31$26.0011.8%3.4%12.8%2.2%10.1%2.4%1.8%-293.8K326.7K-5.2K0.8590.33N/AN/A8307051,1551,575
2016-08-16$25.14$26.0012.6%3.6%12.8%6.0%11.3%-0.1%2.8%-231.4K871.5K-5.0K0.8878.76N/AN/A8457451,1551,575
2016-08-17$24.92$26.0012.1%3.5%12.1%3.7%0.0%2.4%2.4%-48.5K1.6M-4.9K0.0096.22N/AN/A501,1651,620
2016-08-18$25.06$26.0012.2%3.5%11.9%4.4%0.0%3.1%2.4%-108.9K1.3M-4.8K0.0085.82N/AN/A7501,1701,620
2016-08-19$24.97$26.0011.1%3.2%10.8%0.0%8.4%2.2%3.1%-871.4K1.7M-4.7K0.8390.02N/AN/A8957451,2251,625
2016-08-22$25.03$26.0011.6%3.3%10.0%2.3%9.2%1.8%1.9%607135.9K-4.7K0.9684.08N/AN/A265255520585
2016-08-23$25.08$26.0011.7%3.4%10.1%3.1%9.9%2.5%1.7%7.3K78.7K-4.8K1.0592.62N/AN/A290305550585
2016-08-24$24.77$26.0012.8%3.7%10.1%8.3%0.0%1.0%2.4%-2.5K214.6K-5.0K6.6789.50N/AN/A15100575625
2016-08-25$24.46$26.0014.1%4.0%10.6%13.9%13.3%1.2%1.1%-31.8K517.9K-5.2K1.3590.41N/AN/A300405570725
2016-08-26$24.37$26.0013.6%3.9%10.6%11.8%11.4%1.2%0.9%-40.1K644.8K-5.0K1.4095.51N/AN/A290405570725
2016-08-29$24.61$26.0013.2%3.8%10.9%9.8%9.5%5.0%0.5%-38.4K533.2K-4.9K1.8094.25N/AN/A225405570710
2016-08-30$24.71$26.0012.9%3.7%10.5%8.4%10.0%2.8%0.8%-33.8K463.8K-5.0K1.0993.74N/AN/A370405560710
2016-08-31$24.60$26.0012.8%3.7%10.0%8.2%10.8%3.5%1.6%-50.9K640.5K-4.3K1.1793.22N/AN/A345405465710