IHF Options History — January 2017

In January 2017, IHF traded between $25.13 and $26.20. ATM implied volatility averaged 13.3%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.8% (HV 20d: 10.4%). Max pain ranged from $25.20 to $25.80. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 2.31.

Notable Days

  • 2017-01-19: Highest Volume — 595 contracts
  • 2017-01-11: Largest IV spike — 23.5% change
  • 2017-01-11: Highest IV Rank — 26.8%
  • 2017-01-11: Largest Expected Move — 4.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.90$25.13$26.20$25.13$25.90
Max Pain$25.49$25.20$25.80$25.20$25.60
ATM IV13.3%10.9%15.3%14.1%10.9%
Expected Move3.9%3.1%4.4%4.1%3.1%
HV 20d10.4%9.0%12.0%9.4%10.0%
HV 60d16.3%14.5%17.8%17.4%14.6%
IV Rank15.7%2.4%26.8%20.5%2.4%
IV Percentile22.5%0.4%50.0%32.5%0.4%
Term Structure1.3%-0.9%5.8%1.7%1.4%
VWIV14.2%12.1%15.5%15.3%12.9%
Skew 25d3.3%1.3%5.4%3.0%3.2%
Skew 10d6.7%1.1%10.3%1.7%8.0%
Call IV 25d12.1%10.5%14.4%13.0%11.4%
Put IV 25d15.4%13.2%17.4%16.0%14.6%
Bid-Ask Spread %93.6164.46106.7092.51104.67
Gamma HHI0.170.140.230.170.18
Net GEX-42.1K-77.3K-15.9K-46.7K-15.9K
Net DEX-46.9K-218.1K358.4K358.4K-117.1K
Net VEX-1.5K-2.2K-981-2.2K-981
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.311.452.772.201.45
Total Volume478350595480405
Total OI855.757401,010805805

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$25.13$25.2014.1%4.1%9.4%20.5%15.3%3.0%1.7%-46.7K358.4K-2.2K2.2092.51N/AN/A150330215590
2017-01-04$25.61$25.2013.9%4.0%11.6%19.4%14.4%1.6%0.8%-37.1K86.5K-2.2K2.2096.02N/AN/A150330245590
2017-01-05$25.60$25.4013.6%4.2%11.6%17.6%14.7%4.1%0.5%-35.2K57.6K-2.1K2.2064.46N/AN/A150330245590
2017-01-06$25.63$25.4013.1%4.0%11.6%14.7%13.9%3.5%3.0%-36.1K63.0K-2.1K2.2095.69N/AN/A150330245590
2017-01-09$25.75$25.4011.9%4.1%11.7%8.1%14.5%4.2%2.1%-34.4K-5.2K-1.9K2.2091.66N/AN/A150330245590
2017-01-10$25.95$25.4012.4%3.8%12.0%10.7%14.2%4.3%-0.9%-35.3K-107.1K-1.8K2.2090.84N/AN/A150330245590
2017-01-11$26.01$25.4015.3%4.4%11.9%26.8%15.1%2.9%1.8%-30.4K-126.9K-1.6K2.7784.04N/AN/A155430245590
2017-01-12$26.13$25.4014.2%4.1%11.9%21.1%15.4%3.0%5.8%-62.0K-185.9K-1.7K2.7794.20N/AN/A155430250760
2017-01-13$26.20$25.4013.9%4.0%9.9%19.2%15.0%2.0%1.5%-45.7K-218.1K-1.6K2.7794.96N/AN/A155430250760
2017-01-17$26.19$25.4013.5%3.9%9.8%17.2%15.5%4.9%2.0%-62.8K-214.1K-1.4K2.7782.99N/AN/A155430250760
2017-01-18$26.07$25.4014.1%4.1%10.0%20.6%15.2%3.8%-0.1%-62.0K-156.6K-1.5K2.6996.52N/AN/A160430250760
2017-01-19$25.98$25.4014.8%4.2%9.8%24.4%13.1%3.6%-0.3%-54.6K-154.5K-1.3K2.7291.62N/AN/A160435225760
2017-01-20$25.95$25.4013.7%3.9%9.8%18.1%13.9%2.8%1.4%-77.3K-72.3K-1.4K2.7292.40N/AN/A160435225765
2017-01-23$25.91$25.4013.0%3.7%9.8%14.1%14.1%3.8%1.4%-35.6K14.9K-1.2K2.1893.73N/AN/A110240175565
2017-01-24$25.99$25.8012.8%3.7%9.8%13.4%14.4%4.4%0.1%-36.9K-4.2K-1.2K2.1897.56N/AN/A110240175570
2017-01-25$26.18$25.8013.0%3.7%9.6%14.4%14.3%5.4%0.7%-37.0K-76.7K-1.1K2.1892.67N/AN/A110240175570
2017-01-26$26.09$25.8012.2%3.5%9.7%9.9%12.4%2.4%0.6%-33.7K-78.5K-1.1K2.18103.04N/AN/A110240180570
2017-01-27$25.97$25.8011.9%3.4%9.0%8.4%12.1%1.6%1.3%-31.9K-52.8K-1.0K2.18105.95N/AN/A110240180570
2017-01-30$25.69$25.8012.9%3.7%10.0%13.6%12.8%1.3%0.8%-30.9K51.9K-9961.45106.70N/AN/A165240180570
2017-01-31$25.90$25.6010.9%3.1%10.0%2.4%12.9%3.2%1.4%-15.9K-117.1K-9811.45104.67N/AN/A165240235570