IHF Options History — November 2016

In November 2016, IHF traded between $22.73 and $25.45. ATM implied volatility averaged 19.7%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 3.1% (HV 20d: 22.8%). Max pain ranged from $24.40 to $25.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.43.

Notable Days

  • 2016-11-01: Highest Volume — 1,310 contracts
  • 2016-11-09: Largest IV drop — 35.6% change
  • 2016-11-07: Highest IV Rank — 96.8%
  • 2016-11-02: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.33$22.73$25.45$23.03$25.37
Max Pain$24.93$24.40$25.00$24.60$25.00
ATM IV19.7%14.1%27.9%25.6%16.5%
Expected Move5.3%4.0%7.5%7.4%4.7%
HV 20d22.8%18.5%26.2%18.5%20.8%
HV 60d17.9%15.1%19.0%15.1%18.8%
IV Rank51.2%20.4%96.8%84.3%33.4%
IV Percentile68.0%29.4%99.6%96.8%52.8%
Term Structure-0.9%-5.1%1.1%-4.6%-1.0%
VWIV16.4%12.3%21.9%21.9%16.3%
Skew 25d3.5%0.6%6.9%0.6%1.8%
Skew 10d6.8%0.0%10.4%7.8%0.0%
Call IV 25d17.0%14.1%24.6%24.6%15.7%
Put IV 25d20.5%15.6%26.6%25.1%17.5%
Bid-Ask Spread %78.3754.61101.7292.2899.29
Gamma HHI0.260.190.420.250.21
Net GEX-52.1K-134.9K21.1K-60.0K-20.0K
Net DEX570.8K-834.8K1.9M1.8M79.2K
Net VEX-2.5K-3.5K-1.9K-2.4K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.942.241.052.11
Total Volume843.812201,3101,310280
Total OI1,419.7624752,0351,580645

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$23.03$24.6025.6%7.4%18.5%84.3%21.9%0.6%-4.6%-60.0K1.8M-2.4K1.0592.28N/AN/A6406705651,015
2016-11-02$23.20$24.4026.3%7.5%18.7%87.9%21.0%4.4%-5.1%-62.4K1.7M-2.6K1.0590.87N/AN/A6406706151,025
2016-11-03$22.73$25.0026.3%6.3%19.7%88.1%14.6%2.8%-2.3%-42.0K1.9M-1.9K1.0570.51N/AN/A6406706151,025
2016-11-04$22.91$25.0027.6%6.2%20.1%95.1%12.3%5.4%-2.4%-53.7K1.8M-2.1K1.0561.15N/AN/A6406706151,025
2016-11-07$23.59$25.0027.9%5.8%22.7%96.8%15.7%6.2%-2.7%-89.3K1.5M-2.6K0.9658.87N/AN/A5655406151,025
2016-11-08$23.99$25.0026.9%5.7%22.7%91.4%14.9%6.9%-2.2%-82.5K1.1M-3.1K0.9456.65N/AN/A5755407051,025
2016-11-09$23.58$25.0017.3%5.0%23.3%38.4%16.3%3.9%-0.3%-58.1K1.5M-2.5K1.1986.55N/AN/A5756857601,025
2016-11-10$23.99$25.0019.7%5.6%24.2%51.3%15.0%5.9%-0.5%-98.4K1.1M-3.5K1.1964.92N/AN/A5756857601,180
2016-11-11$23.89$25.0021.1%6.0%24.2%59.0%18.4%4.9%-0.8%-73.7K1.2M-3.4K1.3454.61N/AN/A4355858151,180
2016-11-14$24.59$25.0020.1%5.8%26.2%53.6%18.8%5.4%-1.2%-91.2K147.9K-3.3K1.4155.31N/AN/A4155858351,200
2016-11-15$24.76$25.0017.9%5.1%24.3%41.2%17.9%4.5%0.5%-86.8K-343.7K-2.8K1.4664.49N/AN/A4156058201,200
2016-11-16$24.70$25.0017.5%5.0%24.3%39.2%17.1%2.6%0.2%-134.9K-405.5K-2.6K1.4576.45N/AN/A4156008201,205
2016-11-17$24.94$25.0016.4%4.7%24.5%33.1%16.4%2.8%-0.6%21.1K-834.8K-2.1K1.4872.94N/AN/A4056008201,215
2016-11-18$24.82$25.0015.5%4.4%24.6%27.9%15.5%2.8%1.1%-65.3K-620.1K-2.1K1.6482.13N/AN/A3656008201,215
2016-11-21$24.91$24.6014.1%4.0%24.6%20.4%14.2%1.4%0.7%-12.0K112.5K-2.0K1.5997.11N/AN/A85135135340
2016-11-22$24.97$25.0014.7%4.2%24.5%23.9%15.1%2.1%0.9%-20.1K104.6K-2.3K1.5988.00N/AN/A85135185390
2016-11-23$25.18$25.0015.2%4.3%23.6%26.2%15.1%1.9%0.3%-15.6K43.0K-2.3K1.5992.03N/AN/A85135190390
2016-11-25$25.28$25.0015.0%4.3%22.4%25.5%15.4%1.6%1.1%-13.4K8.1K-2.2K1.5989.39N/AN/A85135190390
2016-11-28$25.04$25.0015.7%4.5%21.8%29.1%16.0%3.7%0.1%-14.7K42.8K-2.2K2.2490.60N/AN/A85190190390
2016-11-29$25.45$25.0015.9%4.6%22.1%30.5%15.9%1.7%-0.6%-20.1K65.8K-2.3K2.11101.72N/AN/A90190190450
2016-11-30$25.37$25.0016.5%4.7%20.8%33.4%16.3%1.8%-1.0%-20.0K79.2K-2.3K2.1199.29N/AN/A90190195450