IHF Options History — September 2016

In September 2016, IHF traded between $24.17 and $25.01. ATM implied volatility averaged 13.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 0.2% (HV 20d: 13.6%). Max pain ranged from $24.80 to $26.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.24.

Notable Days

  • 2016-09-15: Highest Volume — 1,250 contracts
  • 2016-09-09: Largest IV spike — 43.6% change
  • 2016-09-13: Highest IV Rank — 40.5%
  • 2016-09-13: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.64$24.17$25.01$24.40$24.88
Max Pain$24.91$24.80$26.00$26.00$24.80
ATM IV13.8%10.4%19.5%14.4%13.0%
Expected Move4.0%3.2%4.6%4.1%3.7%
HV 20d13.6%10.3%15.2%10.3%15.2%
HV 60d14.5%12.9%15.6%14.9%13.3%
IV Rank14.8%0.0%40.5%15.6%14.3%
IV Percentile22.6%0.0%72.6%25.0%17.5%
Term Structure0.9%-0.2%2.6%0.2%2.1%
VWIV13.3%9.5%15.4%11.9%13.1%
Skew 25d3.6%-0.4%7.8%3.4%7.8%
Skew 10d4.2%0.8%8.0%4.7%8.0%
Call IV 25d11.8%8.2%15.1%11.8%8.2%
Put IV 25d15.4%13.6%17.2%15.2%16.0%
Bid-Ask Spread %68.8843.5698.5094.2678.40
Gamma HHI0.280.230.330.240.23
Net GEX-43.9K-65.2K2.6K-45.5K2.6K
Net DEX568.8K146.7K965.2K687.3K146.7K
Net VEX-5.5K-6.0K-4.3K-4.3K-5.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.901.531.461.15
Total Volume1,030.9528751,2508751,055
Total OI1,510.2381,2001,6951,2001,640

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$24.40$26.0014.4%4.1%10.3%15.6%11.9%3.4%0.2%-45.5K687.3K-4.3K1.4694.26N/AN/A355520490710
2016-09-02$24.73$26.0011.1%3.2%11.0%0.1%9.5%4.4%2.6%-62.0K736.9K-5.4K1.4698.50N/AN/A355520500880
2016-09-06$24.58$24.8013.3%4.2%10.9%10.2%14.2%3.0%0.4%-63.2K791.2K-5.3K1.4643.56N/AN/A355520500880
2016-09-07$24.78$24.8011.8%3.9%11.4%3.4%13.1%4.1%0.9%-65.2K696.5K-5.3K1.2852.41N/AN/A405520500880
2016-09-08$24.84$24.8010.4%3.9%11.5%0.0%13.4%2.1%0.6%-51.8K597.8K-5.5K1.2855.01N/AN/A405520550880
2016-09-09$24.49$24.8015.0%4.4%12.4%20.3%13.8%3.1%0.8%-52.8K744.6K-5.4K1.3158.46N/AN/A405530550880
2016-09-12$24.76$24.8014.7%4.0%13.1%19.2%14.0%3.9%0.2%-62.9K708.3K-5.3K0.9058.12N/AN/A590530550890
2016-09-13$24.39$24.8019.5%4.6%13.9%40.5%14.9%3.3%0.4%-34.5K772.2K-5.6K1.0454.18N/AN/A590615675890
2016-09-14$24.17$24.8016.2%4.6%14.1%25.6%14.6%0.9%0.5%-52.4K965.2K-5.6K1.0162.45N/AN/A610615675975
2016-09-15$24.38$24.8015.2%4.4%14.3%21.3%13.5%4.2%0.1%-51.8K884.0K-5.7K1.0563.95N/AN/A610640695975
2016-09-16$24.58$24.8014.1%4.0%14.5%16.5%14.0%4.7%1.3%-46.9K704.8K-6.0K1.0567.31N/AN/A6106406951,000
2016-09-19$24.57$24.8014.4%4.1%14.5%17.8%13.9%2.0%1.0%-47.9K521.1K-5.8K1.0355.13N/AN/A550565555950
2016-09-20$24.47$24.8014.6%4.2%14.5%18.5%13.3%0.8%0.8%-53.4K628.4K-5.7K1.0359.47N/AN/A550565555950
2016-09-21$24.76$24.8012.3%3.5%15.1%8.4%12.6%6.3%1.3%-52.2K479.3K-5.6K1.5373.13N/AN/A370565555950
2016-09-22$25.01$24.8011.8%3.4%14.9%5.9%12.6%3.3%1.6%-36.9K168.4K-5.5K1.5373.19N/AN/A370565565950
2016-09-23$24.86$24.8012.4%3.6%14.3%8.9%12.4%3.5%1.4%-35.3K225.9K-5.6K1.5378.76N/AN/A370565565950
2016-09-26$24.58$24.8014.1%4.0%14.9%16.3%13.6%4.6%1.3%-46.3K516.9K-5.4K1.5371.75N/AN/A370565565950
2016-09-27$24.76$24.8012.9%3.7%14.7%11.0%12.9%5.0%0.6%-48.2K415.2K-5.4K1.1582.58N/AN/A490565565950
2016-09-28$24.84$24.8012.8%3.7%14.7%10.7%12.9%5.3%0.2%2.4K168.1K-5.6K1.1577.32N/AN/A490565690950
2016-09-29$24.60$24.8015.6%4.5%15.1%26.9%15.4%-0.4%-0.2%-18.4K387.1K-5.6K1.1588.60N/AN/A490565690950
2016-09-30$24.88$24.8013.0%3.7%15.2%14.3%13.1%7.8%2.1%2.6K146.7K-5.5K1.1578.40N/AN/A490565690950