IHF Options History — May 2017

In May 2017, IHF traded between $27.68 and $28.41. ATM implied volatility averaged 9.9%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 1.2% (HV 20d: 8.6%). Max pain ranged from $26.40 to $28.40. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.36.

Notable Days

  • 2017-05-19: Highest Volume — 335 contracts
  • 2017-05-05: Largest IV spike — 14.8% change
  • 2017-05-18: Highest IV Rank — 14.4%
  • 2017-05-18: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.06$27.68$28.41$27.68$28.01
Max Pain$27.47$26.40$28.40$26.40$27.00
ATM IV9.9%8.9%11.6%9.2%9.7%
Expected Move2.9%2.5%3.3%2.6%2.8%
HV 20d8.6%6.7%10.1%6.7%8.9%
HV 60d10.0%9.3%10.8%10.6%9.4%
IV Rank5.1%0.0%14.4%1.5%4.5%
IV Percentile6.2%0.0%21.0%0.8%4.8%
Term Structure0.8%-0.4%2.2%0.8%0.2%
VWIV9.8%7.7%12.5%10.7%9.6%
Skew 25d2.0%-2.5%5.0%2.8%0.7%
Skew 10d3.5%-1.9%9.4%2.8%2.9%
Call IV 25d9.1%7.2%10.6%9.3%9.6%
Put IV 25d11.1%7.0%12.7%12.1%10.3%
Bid-Ask Spread %92.5273.05107.52103.56105.28
Gamma HHI0.640.420.920.450.70
Net GEX20.5K-3.7K42.1K-1.3K31.9K
Net DEX-132.3K-226.1K-39.3K-39.3K-104.4K
Net VEX-892-1.1K-482-523-1.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.413.383.380.59
Total Volume230.227170335175175
Total OI251.136205335210210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$27.68$26.409.2%2.6%6.7%1.5%10.7%2.8%0.8%-1.3K-39.3K-5233.38103.56N/AN/A4013550160
2017-05-02$28.05$26.4010.0%2.9%7.9%5.6%12.5%1.6%0.7%-3.0K-62.1K-4893.38100.36N/AN/A4013550160
2017-05-03$27.86$26.409.0%2.6%7.8%0.4%11.6%-2.5%1.3%-3.7K-52.0K-5153.38106.70N/AN/A4013550160
2017-05-04$28.01$0.009.0%2.9%7.9%0.8%0.0%1.9%0.5%-3.0K-56.6K-4943.3884.11N/AN/A4013550160
2017-05-05$28.06$0.0010.4%3.1%7.9%7.9%0.0%0.5%0.0%-3.1K-64.1K-4823.3894.76N/AN/A4013550160
2017-05-08$28.10$0.009.0%2.8%7.9%0.5%0.0%0.2%0.2%3.0K-161.4K-8381.5089.67N/AN/A90135100160
2017-05-09$28.22$0.0010.1%2.9%7.8%6.3%0.0%0.9%0.4%1.3K-169.0K-8161.4277.53N/AN/A95135100160
2017-05-10$28.40$0.0010.1%2.9%8.0%6.4%10.0%2.6%0.7%1.3K-128.2K-7980.8290.24N/AN/A16513585160
2017-05-11$28.41$28.409.3%2.7%7.6%2.2%9.6%1.4%0.8%29.6K-226.1K-1.0K0.8282.46N/AN/A165135155160
2017-05-12$28.21$28.4010.3%2.9%8.2%7.2%9.2%2.1%0.9%29.0K-212.8K-1.1K0.8273.05N/AN/A165135155160
2017-05-15$28.20$28.4010.3%3.0%8.0%7.5%9.9%1.3%0.3%28.8K-209.8K-1.0K0.7794.91N/AN/A175135155160
2017-05-16$27.91$28.4010.0%2.9%9.3%5.6%10.0%0.8%1.6%35.5K-184.3K-1.0K0.7598.94N/AN/A180135165160
2017-05-17$27.71$28.4010.9%3.1%9.8%10.8%10.2%2.8%0.3%27.1K-142.8K-1.0K0.7585.61N/AN/A180135170160
2017-05-18$27.77$28.4011.6%3.3%9.4%14.4%7.9%4.7%-0.2%26.2K-151.3K-1.0K0.7887.94N/AN/A180140170160
2017-05-19$27.91$28.4011.3%3.2%9.4%12.4%9.9%4.8%-0.4%32.1K-166.9K-1.1K0.7685.71N/AN/A190145170165
2017-05-22$27.96$27.009.9%2.8%9.1%5.1%10.2%2.3%1.1%28.3K-110.7K-1.1K0.4192.16N/AN/A1456014560
2017-05-23$28.01$27.009.9%2.8%9.1%5.2%9.4%2.1%1.2%31.4K-111.0K-1.1K0.5580.51N/AN/A1106014560
2017-05-24$28.09$27.008.9%2.6%9.1%0.0%8.3%4.0%0.9%38.6K-112.1K-1.1K0.5594.27N/AN/A1106014560
2017-05-25$28.39$27.008.9%2.5%9.7%0.0%9.0%5.0%2.2%42.1K-169.5K-1.1K0.5596.79N/AN/A1106014560
2017-05-26$28.19$27.009.1%2.6%10.1%1.0%10.2%0.7%2.2%39.3K-147.5K-1.1K0.59107.52N/AN/A1106514560
2017-05-30$28.05$27.0010.3%2.9%10.0%7.4%7.7%3.8%0.6%38.7K-129.1K-1.0K0.59103.29N/AN/A1106514565
2017-05-31$28.01$27.009.7%2.8%8.9%4.5%9.6%0.7%0.2%31.9K-104.4K-1.0K0.59105.28N/AN/A1106514565