IHF Options History — October 2016

In October 2016, IHF traded between $23.21 and $24.69. ATM implied volatility averaged 17.2%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 1.2% (HV 20d: 16.0%). Max pain ranged from $24.60 to $25.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.25.

Notable Days

  • 2016-10-19: Highest Volume — 1,410 contracts
  • 2016-10-11: Largest IV spike — 32.1% change
  • 2016-10-31: Highest IV Rank — 80.1%
  • 2016-10-31: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.23$23.21$24.69$24.50$23.44
Max Pain$24.95$24.60$25.00$24.80$25.00
ATM IV17.2%12.6%24.9%14.4%24.9%
Expected Move5.0%3.9%7.1%4.1%7.1%
HV 20d16.0%14.3%17.9%15.5%17.7%
HV 60d13.8%13.1%14.8%13.1%14.8%
IV Rank37.6%12.1%80.1%22.1%80.1%
IV Percentile57.4%11.1%96.4%30.2%96.4%
Term Structure-1.1%-5.2%1.2%0.2%-5.2%
VWIV16.2%13.0%21.4%13.5%21.4%
Skew 25d4.5%1.6%7.7%3.3%7.2%
Skew 10d7.8%2.5%12.6%5.6%12.6%
Call IV 25d14.5%12.1%19.6%12.7%19.6%
Put IV 25d18.9%14.5%26.8%16.0%26.8%
Bid-Ask Spread %80.6970.6396.8977.1686.87
Gamma HHI0.280.240.360.240.32
Net GEX-44.4K-123.4K59.3K-17.8K-94.1K
Net DEX934.3K328.6K1.8M545.9K1.7M
Net VEX-4.2K-5.2K-2.5K-5.2K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.251.121.381.151.12
Total Volume1,167.6191,0551,4101,0551,250
Total OI1,627.1431,4351,8651,6401,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$24.50$24.8014.4%4.1%15.5%22.1%13.5%3.3%0.2%-17.8K545.9K-5.2K1.1577.16N/AN/A490565690950
2016-10-04$24.44$24.8014.8%4.2%15.4%24.1%13.3%1.6%0.9%-23.9K649.5K-5.0K1.2178.43N/AN/A490595690950
2016-10-05$24.56$24.8013.6%3.9%15.2%17.5%13.0%2.4%1.2%-9.5K442.2K-5.1K1.2085.69N/AN/A495595690950
2016-10-06$24.42$25.0014.0%4.4%15.3%19.7%14.6%5.0%0.5%-20.5K645.3K-4.9K1.2078.77N/AN/A495595695950
2016-10-07$24.41$25.0012.6%4.3%14.5%12.1%14.3%3.4%0.3%-29.9K747.7K-4.7K1.2073.01N/AN/A495595695950
2016-10-10$24.69$25.0012.6%4.4%14.5%12.1%14.6%4.9%-0.3%18.7K328.6K-4.8K1.2385.02N/AN/A495610695950
2016-10-11$24.23$25.0016.7%4.9%15.1%34.5%16.3%3.1%-0.8%-43.0K929.9K-4.6K1.2671.49N/AN/A495625695980
2016-10-12$24.02$25.0017.5%5.0%15.0%39.3%16.2%4.2%-0.4%-56.9K1.1M-4.3K1.2682.25N/AN/A495625695980
2016-10-13$24.10$25.0017.8%5.1%14.7%40.7%15.6%5.2%-1.0%-68.5K1.2M-4.0K1.2878.81N/AN/A490625695980
2016-10-14$24.06$25.0017.5%5.0%14.3%39.5%16.0%4.8%-0.2%-62.4K1.1M-4.2K1.2877.62N/AN/A490625695980
2016-10-17$23.89$25.0018.6%5.3%14.5%45.1%16.7%3.9%-0.8%-78.5K1.3M-3.7K1.2879.49N/AN/A490625695980
2016-10-18$24.58$25.0017.6%5.0%17.9%39.6%17.7%6.1%-0.3%13.7K572.6K-4.3K1.1571.93N/AN/A545625695980
2016-10-19$24.63$24.6017.1%4.9%17.4%37.1%17.1%6.2%-1.1%59.3K520.6K-4.3K1.2670.63N/AN/A625785745980
2016-10-20$24.63$25.0017.7%5.1%16.9%40.2%17.3%4.6%-1.0%38.4K695.8K-4.5K1.2675.76N/AN/A6257857251,140
2016-10-21$24.54$25.0016.6%4.8%16.9%34.2%16.6%4.7%-0.8%-8.7K908.4K-4.3K1.2771.63N/AN/A6207857251,140
2016-10-24$24.54$25.0017.6%5.0%16.4%39.6%16.7%7.7%-1.8%-110.1K745.9K-4.1K1.3886.92N/AN/A4806604201,015
2016-10-25$24.41$25.0018.3%5.3%16.2%43.7%16.8%4.6%-2.3%-111.7K819.7K-4.1K1.3888.87N/AN/A4806604451,015
2016-10-26$23.99$25.0019.2%5.5%17.2%48.8%17.8%3.0%-2.2%-123.4K1.3M-3.7K1.3884.23N/AN/A4806604451,015
2016-10-27$23.57$25.0018.9%5.4%17.9%47.0%15.3%2.0%-3.9%-122.3K1.6M-3.1K1.2893.00N/AN/A5156604451,015
2016-10-28$23.21$25.0023.4%6.7%17.7%72.0%18.5%6.0%-4.2%-81.0K1.8M-2.5K1.2796.89N/AN/A5206604801,015
2016-10-31$23.44$25.0024.9%7.1%17.7%80.1%21.4%7.2%-5.2%-94.1K1.7M-2.7K1.1286.87N/AN/A5906604851,015