IHF Options History — September 2017

In September 2017, IHF traded between $28.68 and $29.78. ATM implied volatility averaged 10.3%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 1.1% (HV 20d: 11.3%). Max pain ranged from $29.00 to $29.20. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 4.50.

Notable Days

  • 2017-09-28: Highest Volume — 1,055 contracts
  • 2017-09-05: Largest IV spike — 24.0% change
  • 2017-09-05: Highest IV Rank — 22.7%
  • 2017-09-05: Largest Expected Move — 3.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.32$28.68$29.78$29.60$29.55
Max Pain$29.18$29.00$29.20$29.00$29.20
ATM IV10.3%9.0%11.9%9.6%9.0%
Expected Move3.0%2.6%3.3%2.8%2.6%
HV 20d11.3%9.1%14.3%9.9%12.7%
HV 60d11.2%10.4%11.8%11.0%11.1%
IV Rank14.5%8.6%22.7%11.5%8.6%
IV Percentile27.3%7.1%52.0%13.1%7.1%
Term Structure0.6%-2.2%1.7%1.3%1.2%
VWIV10.6%9.7%11.8%11.8%9.8%
Skew 25d1.8%0.0%2.9%1.6%1.3%
Skew 10d2.4%-1.3%5.5%5.5%2.0%
Call IV 25d9.8%8.6%10.9%9.6%8.7%
Put IV 25d11.7%10.0%13.6%11.2%10.0%
Bid-Ask Spread %54.9833.2192.9092.9055.78
Gamma HHI0.360.250.540.350.25
Net GEX-73.4K-143.3K10.7K7.1K-83.7K
Net DEX178.2K-145.5K527.2K-145.5K65.2K
Net VEX-3.0K-3.7K-1.8K-1.9K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.501.105.141.104.28
Total Volume9363051,0553051,055
Total OI929.253901,0453901,045

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$29.60$29.009.6%2.8%9.9%11.5%11.8%1.6%1.3%7.1K-145.5K-1.9K1.1092.90N/AN/A145160185205
2017-09-05$29.49$0.0011.9%3.3%10.1%22.7%0.0%1.8%-0.3%10.7K-123.0K-1.8K5.1449.30N/AN/A145745185205
2017-09-06$29.36$0.0010.2%3.2%10.2%14.0%0.0%0.9%-2.2%-48.9K138.5K-3.5K5.1445.16N/AN/A145745185785
2017-09-07$29.35$0.009.9%3.1%10.2%12.6%0.0%2.9%0.3%-52.1K148.8K-3.6K5.1433.74N/AN/A145745185785
2017-09-08$29.48$0.0010.0%3.2%9.3%13.1%0.0%2.9%0.3%-46.9K118.4K-3.4K5.1444.59N/AN/A145745185785
2017-09-11$29.78$0.0010.3%3.0%9.7%14.6%0.0%2.9%0.3%-33.1K46.4K-3.2K5.1449.66N/AN/A145745185785
2017-09-12$29.65$0.0011.5%3.0%9.8%20.6%0.0%1.7%-0.0%-35.5K2.2K-3.1K5.1446.82N/AN/A145745185785
2017-09-13$29.69$0.0010.7%3.1%9.8%16.7%0.0%1.8%-0.2%-36.3K35.8K-3.1K5.1442.95N/AN/A145745185785
2017-09-14$29.62$0.0010.2%2.9%9.8%14.2%0.0%2.3%0.9%-35.0K21.8K-2.9K4.0333.21N/AN/A185745185785
2017-09-15$29.57$0.0010.3%2.9%9.1%14.7%0.0%1.9%0.4%-90.0K84.1K-2.7K4.0366.72N/AN/A185745135785
2017-09-18$29.39$0.0011.2%3.2%9.5%19.0%11.1%0.7%0.4%-57.2K133.9K-3.0K4.0554.61N/AN/A185750135780
2017-09-19$28.71$29.2010.7%3.1%12.8%16.6%10.4%0.0%0.3%-94.2K278.5K-3.1K4.6263.03N/AN/A185855135790
2017-09-20$28.93$29.2010.1%2.9%12.7%14.0%10.6%1.5%1.5%-133.8K501.1K-3.7K4.6288.63N/AN/A185855135895
2017-09-21$28.95$29.2010.6%3.0%12.7%16.0%9.7%2.5%1.4%-124.4K455.2K-3.6K4.6254.04N/AN/A185855135895
2017-09-22$29.02$29.209.7%2.8%12.7%11.7%10.3%2.8%1.3%-128.0K419.0K-3.4K4.6268.86N/AN/A185855135895
2017-09-25$28.68$29.2010.4%3.0%13.3%15.2%9.8%1.1%0.7%-143.3K527.2K-3.4K4.6254.48N/AN/A185855135895
2017-09-26$28.93$29.2010.2%2.9%13.7%14.4%10.6%2.1%1.1%-129.0K405.0K-3.2K4.6246.73N/AN/A185855135895
2017-09-27$29.16$29.209.6%2.8%14.0%11.6%10.6%2.1%1.3%-114.8K276.6K-2.9K4.6256.60N/AN/A185855135895
2017-09-28$29.43$29.209.1%2.6%14.3%9.0%11.5%2.1%1.7%-99.2K174.1K-2.6K4.2851.74N/AN/A200855135895
2017-09-29$29.55$29.209.0%2.6%12.7%8.6%9.8%1.3%1.2%-83.7K65.2K-2.5K4.2855.78N/AN/A200855150895