IHF Options History — June 2017

In June 2017, IHF traded between $28.58 and $29.86. ATM implied volatility averaged 9.1%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 2.6%. IV traded below realized volatility by 1.8% (HV 20d: 10.8%). Max pain ranged from $27.00 to $29.60. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.97.

Notable Days

  • 2017-06-29: Highest Volume — 1,355 contracts
  • 2017-06-29: Largest IV spike — 45.7% change
  • 2017-06-29: Highest IV Rank — 16.0%
  • 2017-06-29: Largest Expected Move — 3.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.19$28.58$29.86$28.61$29.78
Max Pain$28.39$27.00$29.60$27.00$29.60
ATM IV9.1%7.2%10.6%9.2%10.1%
Expected Move2.6%2.1%3.0%2.6%2.9%
HV 20d10.8%9.4%11.6%11.3%9.5%
HV 60d9.5%8.9%10.1%10.0%9.5%
IV Rank3.7%0.0%16.0%1.8%13.8%
IV Percentile5.1%0.0%22.2%3.6%17.5%
Term Structure0.6%-0.9%2.3%1.0%0.6%
VWIV10.0%7.2%14.3%8.5%9.8%
Skew 25d1.5%-0.1%3.2%1.0%1.3%
Skew 10d1.9%-3.2%5.1%3.1%1.0%
Call IV 25d8.5%5.2%10.6%9.1%9.6%
Put IV 25d10.0%8.4%11.2%10.1%10.9%
Bid-Ask Spread %95.2159.37136.92104.40102.81
Gamma HHI0.690.380.960.800.38
Net GEX-145.7K-425.6K98.7K49.9K-4.3K
Net DEX163.1K-368.8K936.2K-217.8K-320.5K
Net VEX-2.7K-6.3K-829-964-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.970.2814.330.590.32
Total Volume734.0911751,3551751,355
Total OI923.8642102,3502102,350

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$28.61$27.009.2%2.6%11.3%1.8%8.5%1.0%1.0%49.9K-217.8K-9640.59104.40N/AN/A1106514565
2017-06-02$28.68$27.009.7%2.8%11.2%4.4%9.7%1.7%-0.9%37.8K-243.1K-9490.59101.03N/AN/A1106514565
2017-06-05$28.59$27.209.6%2.8%11.3%3.7%14.3%2.0%0.3%47.5K-230.3K-9510.4359.37N/AN/A1506514565
2017-06-06$28.58$27.209.6%2.8%11.3%3.7%12.5%2.7%0.1%76.7K-258.2K-1.0K0.4374.37N/AN/A1506518565
2017-06-07$28.76$27.208.9%2.8%11.4%0.0%13.0%2.1%0.0%98.5K-323.7K-9290.4361.67N/AN/A1506518565
2017-06-08$28.72$27.208.8%2.7%11.2%0.0%12.4%1.9%0.2%76.1K-314.6K-9450.4376.85N/AN/A1506518565
2017-06-09$28.81$27.2010.0%2.7%11.3%6.3%12.4%1.7%0.2%66.4K-349.6K-9080.4366.95N/AN/A1506518565
2017-06-12$28.79$27.2010.6%2.9%10.9%9.6%9.8%1.3%0.5%98.7K-333.1K-8630.5080.72N/AN/A1507518565
2017-06-13$29.01$28.409.3%2.7%11.1%2.7%9.4%1.9%-0.5%63.0K-368.8K-8297.1785.08N/AN/A1501,07518575
2017-06-14$29.17$29.009.6%2.7%10.3%4.0%9.6%1.2%1.0%-324.4K829.8K-4.4K7.17101.40N/AN/A1501,0751851,075
2017-06-15$29.01$29.009.3%2.7%10.1%2.7%9.3%0.6%0.3%-365.3K872.2K-4.4K7.2089.72N/AN/A1501,0801851,075
2017-06-16$29.10$29.009.1%2.6%10.1%1.4%9.0%1.1%0.3%-425.6K936.2K-4.3K7.2093.03N/AN/A1501,0801851,080
2017-06-19$29.37$29.008.7%2.5%10.4%0.0%9.3%1.5%1.4%-404.8K872.0K-3.8K14.3387.55N/AN/A751,075751,075
2017-06-20$29.26$29.008.9%2.5%10.6%1.0%9.0%1.7%0.5%-383.2K847.9K-3.7K14.3391.64N/AN/A751,075751,075
2017-06-21$29.38$29.007.7%2.2%10.6%0.0%8.7%0.1%0.7%-372.4K669.9K-3.5K12.65117.44N/AN/A851,075751,075
2017-06-22$29.83$29.008.6%2.5%11.6%4.6%10.1%0.2%1.7%-311.1K273.0K-2.5K8.27122.48N/AN/A1301,075851,075
2017-06-23$29.78$29.007.9%2.3%11.3%1.0%7.2%3.2%-0.0%-252.5K309.3K-3.3K0.92116.59N/AN/A1301201301,115
2017-06-26$29.80$29.008.6%2.5%10.8%4.3%9.3%2.9%1.0%-244.7K294.6K-3.1K1.88112.32N/AN/A1302451301,115
2017-06-27$29.57$29.207.3%2.1%11.1%0.0%7.8%1.8%2.3%-373.4K469.5K-3.4K1.35119.20N/AN/A1852501301,240
2017-06-28$29.86$29.607.2%2.1%11.2%0.0%8.2%1.9%0.5%-240.1K218.5K-3.1K0.28136.92N/AN/A9052501851,245
2017-06-29$29.68$29.6010.6%3.0%9.4%16.0%10.8%-0.1%1.4%-118.4K-45.5K-5.0K0.3293.16N/AN/A1,0303259051,245
2017-06-30$29.78$29.6010.1%2.9%9.5%13.8%9.8%1.3%0.6%-4.3K-320.5K-6.3K0.32102.81N/AN/A1,0303251,0301,320