IHF Options History — December 2016

In December 2016, IHF traded between $25.03 and $25.48. ATM implied volatility averaged 15.2%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.7% (HV 20d: 12.6%). Max pain ranged from $25.00 to $25.20. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.16.

Notable Days

  • 2016-12-27: Highest Volume — 450 contracts
  • 2016-12-02: Largest IV drop — 9.9% change
  • 2016-12-12: Highest IV Rank — 41.3%
  • 2016-12-01: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.31$25.03$25.48$25.44$25.03
Max Pain$25.11$25.00$25.20$25.00$25.20
ATM IV15.2%13.2%17.9%17.4%14.9%
Expected Move4.3%3.8%5.0%5.0%4.3%
HV 20d12.6%9.0%20.8%20.8%9.2%
HV 60d18.0%17.4%18.7%18.7%17.5%
IV Rank26.7%15.4%41.3%38.9%25.1%
IV Percentile42.0%19.4%70.2%63.5%41.7%
Term Structure0.8%-1.4%1.7%-1.4%1.2%
VWIV14.7%13.4%18.1%18.1%14.4%
Skew 25d2.3%1.0%4.8%1.1%1.9%
Skew 10d2.6%-0.4%5.2%-0.4%1.0%
Call IV 25d13.6%11.1%16.5%16.5%13.6%
Put IV 25d16.0%13.8%18.3%17.6%15.6%
Bid-Ask Spread %79.1555.21104.68100.1891.28
Gamma HHI0.170.130.210.210.16
Net GEX-28.0K-44.1K-15.2K-19.8K-44.1K
Net DEX137.3K19.6K363.8K57.0K363.8K
Net VEX-2.3K-2.4K-2.1K-2.3K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.161.532.752.112.75
Total Volume369.524280450280450
Total OI715.714645805645805

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$25.44$25.0017.4%5.0%20.8%38.9%18.1%1.1%-1.4%-19.8K57.0K-2.3K2.11100.18N/AN/A90190195450
2016-12-02$25.42$25.0015.7%4.5%18.7%29.3%16.4%2.8%-0.2%-19.8K66.7K-2.4K2.1199.95N/AN/A90190195450
2016-12-05$25.35$0.0016.1%4.5%18.9%31.3%0.0%2.6%0.5%-21.8K79.4K-2.2K1.9059.27N/AN/A100190195450
2016-12-06$25.39$0.0015.8%4.4%16.6%29.6%0.0%2.3%0.9%-20.5K41.9K-2.2K1.9060.21N/AN/A100190205450
2016-12-07$25.41$0.0016.4%4.7%16.0%33.4%0.0%2.5%0.3%-19.9K19.6K-2.2K2.4562.03N/AN/A100245205450
2016-12-08$25.46$0.0017.0%4.8%14.1%36.4%0.0%2.5%0.6%-28.5K101.1K-2.4K2.4555.40N/AN/A100245205505
2016-12-09$25.48$0.0017.0%4.4%13.2%36.4%0.0%2.3%0.8%-28.9K90.8K-2.3K2.4564.19N/AN/A100245205505
2016-12-12$25.39$0.0017.9%4.3%13.2%41.3%0.0%2.2%0.7%-30.8K91.4K-2.2K1.8174.57N/AN/A135245205505
2016-12-13$25.45$0.0016.2%4.4%9.0%32.1%0.0%1.6%0.3%-25.9K49.5K-2.3K1.8174.15N/AN/A135245230505
2016-12-14$25.03$0.0015.2%4.4%10.9%26.6%15.4%3.1%0.6%-30.9K207.0K-2.3K1.5372.58N/AN/A160245230505
2016-12-15$25.19$25.0014.8%4.3%11.0%24.5%15.0%2.9%0.6%-30.8K127.2K-2.3K1.5369.95N/AN/A160245245505
2016-12-16$25.32$25.0014.5%4.2%10.7%22.6%15.6%4.8%1.1%-25.0K120.8K-2.3K1.7555.21N/AN/A140245245505
2016-12-19$25.17$25.0014.0%4.0%10.8%19.9%14.2%2.6%1.2%-15.2K115.3K-2.1K1.7083.33N/AN/A115195210455
2016-12-20$25.24$25.0014.3%4.1%10.7%21.8%14.5%1.0%1.7%-15.5K129.0K-2.2K2.1784.89N/AN/A115250210455
2016-12-21$25.22$25.2013.7%3.9%10.7%18.1%13.7%4.0%1.4%-29.6K199.8K-2.3K2.1793.88N/AN/A115250210510
2016-12-22$25.18$25.2013.9%4.0%10.3%19.4%13.8%2.8%1.3%-29.5K206.2K-2.2K2.2986.09N/AN/A120275210510
2016-12-23$25.40$25.2013.2%3.8%10.7%15.4%13.4%1.8%1.4%-32.8K172.0K-2.3K2.2989.64N/AN/A120275215535
2016-12-27$25.48$25.2013.5%3.9%10.2%17.2%13.6%1.7%1.4%-31.0K116.3K-2.2K2.75104.68N/AN/A120330215535
2016-12-28$25.22$25.2014.2%4.1%9.2%20.7%13.4%1.4%1.0%-43.3K260.8K-2.4K2.7590.79N/AN/A120330215590
2016-12-29$25.15$25.2014.0%4.0%9.2%20.0%14.1%1.0%1.1%-43.6K267.6K-2.3K2.7589.98N/AN/A120330215590
2016-12-30$25.03$25.2014.9%4.3%9.2%25.1%14.4%1.9%1.2%-44.1K363.8K-2.3K2.7591.28N/AN/A120330215590