IHF Options History — March 2017

In March 2017, IHF traded between $26.24 and $27.44. ATM implied volatility averaged 11.7%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 0.6% (HV 20d: 12.3%). Max pain ranged from $27.00 to $27.40. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.29.

Notable Days

  • 2017-03-16: Highest Volume — 305 contracts
  • 2017-03-13: Largest IV spike — 31.1% change
  • 2017-03-14: Highest IV Rank — 30.5%
  • 2017-03-24: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.92$26.24$27.44$27.41$26.86
Max Pain$27.05$27.00$27.40$27.40$27.00
ATM IV11.7%8.9%15.7%12.3%8.9%
Expected Move3.3%2.5%3.7%3.5%2.5%
HV 20d12.3%10.8%13.3%13.2%10.9%
HV 60d11.4%11.0%11.8%11.0%11.0%
IV Rank8.8%0.0%30.5%10.9%0.0%
IV Percentile14.4%0.0%69.0%14.7%0.0%
Term Structure1.1%-0.2%2.4%0.4%2.3%
VWIV11.2%9.2%12.5%12.1%9.2%
Skew 25d1.6%-0.4%3.8%0.7%1.4%
Skew 10d2.0%-2.3%5.8%-2.3%1.5%
Call IV 25d10.9%8.2%13.0%12.4%9.3%
Put IV 25d12.6%10.7%14.6%13.0%10.7%
Bid-Ask Spread %85.6751.99107.06102.44107.06
Gamma HHI0.290.220.440.440.24
Net GEX4.7K-29.6K36.7K-29.6K-16.7K
Net DEX10.0K-140.8K102.2K23.5K23.8K
Net VEX-512-684-291-518-548
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.892.001.001.79
Total Volume241.52285305300195
Total OI261.957110335225215

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$27.41$27.4012.3%3.5%13.2%10.9%12.1%0.7%0.4%-29.6K23.5K-5181.00102.44N/AN/A15015050175
2017-03-02$27.30$27.4011.7%3.4%13.2%7.6%11.5%3.2%0.6%13.2K-101.3K-6841.00104.77N/AN/A150150155175
2017-03-03$27.44$27.4011.4%3.3%12.8%5.7%11.4%3.6%1.2%16.4K-140.8K-6461.00101.37N/AN/A150150155175
2017-03-06$27.38$27.0011.7%3.4%12.7%7.2%11.8%0.4%1.1%20.5K-113.0K-6591.0068.40N/AN/A150150155175
2017-03-07$27.06$27.0011.9%3.5%12.9%8.8%12.2%1.1%1.5%18.7K-30.7K-6131.0074.17N/AN/A150150155175
2017-03-08$27.08$27.0011.9%3.4%12.9%8.6%12.0%1.4%0.7%20.5K-39.7K-5961.0080.24N/AN/A150150155175
2017-03-09$27.09$27.0013.4%3.4%12.9%17.1%11.9%1.9%1.1%17.4K-3.2K-5921.0051.99N/AN/A150150155175
2017-03-10$27.08$27.0010.3%3.4%12.4%0.0%11.7%0.4%1.1%24.2K-2.2K-5011.0068.12N/AN/A150150155175
2017-03-13$27.13$27.0013.5%3.1%12.3%18.2%11.3%2.7%0.4%36.7K-14.2K-4451.0069.87N/AN/A150150155175
2017-03-14$26.88$27.0015.7%3.2%12.9%30.5%11.8%0.7%0.1%8.0K79.8K-4081.0071.73N/AN/A150150155175
2017-03-15$27.22$27.0011.8%3.4%13.2%8.4%12.2%0.6%1.3%32.9K-50.9K-3711.0085.42N/AN/A150150155175
2017-03-16$26.99$27.0012.4%3.6%13.3%12.1%12.4%1.3%-0.2%32.1K50.3K-3360.9770.32N/AN/A155150155175
2017-03-17$26.99$27.0011.4%3.3%13.2%6.1%11.4%1.6%2.3%15.5K96.5K-3310.9792.39N/AN/A155150160175
2017-03-20$26.73$27.0011.3%3.2%12.9%5.6%11.1%0.1%0.8%88-9.4K-3130.8982.92N/AN/A45404565
2017-03-21$26.42$27.0011.6%3.3%11.4%7.5%10.6%0.9%1.9%-4309.5K-2911.4485.47N/AN/A45654565
2017-03-22$26.37$27.0012.5%3.6%11.4%12.4%12.5%-0.4%1.3%-7.4K61.8K-3591.0887.12N/AN/A60654590
2017-03-23$26.24$27.0011.8%3.4%11.4%8.8%10.7%0.6%2.4%-13.5K102.2K-6042.0090.00N/AN/A6012060140
2017-03-24$26.50$27.0012.7%3.7%11.9%13.8%9.9%3.4%0.3%-15.9K93.4K-6031.9296.35N/AN/A6512560145
2017-03-27$26.60$27.0012.2%3.5%11.4%11.0%11.2%3.8%0.3%-15.4K71.1K-6181.9291.89N/AN/A6512565150
2017-03-28$26.79$27.009.7%2.8%11.5%0.0%9.2%3.7%2.0%-16.5K48.6K-5921.9298.24N/AN/A6512565150
2017-03-29$26.72$27.009.9%2.9%10.8%1.5%10.3%1.9%1.1%-16.9K53.1K-5861.9287.24N/AN/A6512565150
2017-03-30$26.91$27.009.0%2.6%11.2%0.0%9.8%2.9%1.1%-16.5K22.8K-5621.92102.96N/AN/A6512565150
2017-03-31$26.86$27.008.9%2.5%10.9%0.0%9.2%1.4%2.3%-16.7K23.8K-5481.79107.06N/AN/A7012565150