IHF Options History — October 2017

In October 2017, IHF traded between $28.38 and $30.14. ATM implied volatility averaged 10.3%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded below realized volatility by 4.4% (HV 20d: 14.7%). Max pain ranged from $28.00 to $29.20. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 3.27.

Notable Days

  • 2017-10-26: Highest Volume — 1,500 contracts
  • 2017-10-11: Largest IV spike — 19.7% change
  • 2017-10-30: Highest IV Rank — 25.9%
  • 2017-10-30: Largest Expected Move — 3.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.39$28.38$30.14$29.76$29.89
Max Pain$28.16$28.00$29.20$29.20$28.00
ATM IV10.3%8.3%12.6%9.0%12.2%
Expected Move3.0%2.4%3.6%2.6%3.5%
HV 20d14.7%12.9%16.2%12.9%16.2%
HV 60d12.1%11.0%13.1%11.0%13.1%
IV Rank14.8%4.9%25.9%8.4%24.0%
IV Percentile34.8%2.0%72.2%6.3%67.9%
Term Structure0.9%-0.4%2.2%1.2%-0.4%
VWIV13.3%9.0%15.3%13.6%15.3%
Skew 25d2.3%-0.6%6.4%2.5%3.1%
Skew 10d5.3%-2.5%8.1%7.1%7.8%
Call IV 25d9.6%7.7%11.4%8.3%9.9%
Put IV 25d11.9%10.0%14.8%10.8%13.0%
Bid-Ask Spread %80.2843.33109.3890.9191.26
Gamma HHI0.290.190.410.250.37
Net GEX-36.2K-176.5K250.3K-64.4K250.3K
Net DEX-192.5K-1.8M726.7K28.6K-1.5M
Net VEX-2.6K-4.8K-1.5K-2.4K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.271.054.324.281.05
Total Volume1,165.6829951,5001,0551,500
Total OI1,185.4551,0201,7551,0451,755

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-10-02$29.76$29.209.0%2.6%12.9%8.4%13.6%2.5%1.2%-64.4K28.6K-2.4K4.2890.91N/AN/A200855150895
2017-10-03$29.96$29.208.3%2.4%13.0%4.9%10.3%1.8%2.2%-45.3K-66.1K-2.0K4.2897.29N/AN/A200855150895
2017-10-04$29.87$29.208.7%2.5%12.9%7.1%9.0%2.7%1.3%-27.7K-160.7K-1.5K4.28109.38N/AN/A200855150895
2017-10-05$29.72$28.008.7%2.9%13.1%7.2%13.4%2.5%1.6%-53.8K-56.7K-2.0K4.2843.33N/AN/A200855150895
2017-10-06$29.64$28.008.3%2.8%13.1%5.1%14.9%1.0%1.3%-55.1K-21.8K-2.2K4.2878.21N/AN/A200855150895
2017-10-09$28.99$28.009.6%3.1%14.8%11.1%10.0%-0.6%1.5%-123.7K77.9K-2.0K4.2889.40N/AN/A200855150895
2017-10-10$28.77$28.008.5%3.1%14.9%6.0%12.6%0.3%1.8%-175.7K266.2K-2.4K4.3088.17N/AN/A200860150895
2017-10-11$28.87$28.0010.2%2.9%15.0%14.0%13.7%1.9%1.6%-164.5K282.5K-2.6K4.30105.24N/AN/A200860170900
2017-10-12$28.66$28.0010.6%3.0%15.1%16.1%13.2%2.6%1.8%-168.6K391.5K-2.6K4.3093.72N/AN/A200860170900
2017-10-13$28.39$28.0011.1%3.2%15.4%18.6%14.2%6.4%0.8%-176.5K726.7K-2.9K4.2081.92N/AN/A205860170900
2017-10-16$28.38$28.0011.8%3.4%15.3%22.3%13.7%3.3%-0.2%-170.9K664.7K-2.7K4.2090.90N/AN/A205860175900
2017-10-17$28.95$28.0011.4%3.3%14.9%20.0%15.0%2.8%0.1%-166.0K228.5K-2.3K4.3261.05N/AN/A205885175900
2017-10-18$29.11$28.0010.1%2.9%14.8%14.0%14.2%2.5%1.2%-155.5K157.8K-2.3K4.3255.68N/AN/A205885175925
2017-10-19$29.34$28.0010.3%2.9%15.0%14.6%13.4%2.1%0.5%-66.2K-12.2K-1.8K3.7459.26N/AN/A210785160925
2017-10-20$29.73$28.009.8%2.8%15.7%12.5%13.3%2.1%1.1%-19.7K-134.3K-1.6K2.9676.54N/AN/A265785165925
2017-10-23$29.84$28.0010.2%2.9%14.9%14.4%14.8%1.5%1.4%-3.1K-264.3K-1.8K2.9688.66N/AN/A260770210810
2017-10-24$29.64$28.0010.7%3.1%15.0%16.8%13.0%2.2%0.2%-13.5K-221.3K-1.8K1.2762.03N/AN/A605770210810
2017-10-25$29.57$28.0011.4%3.3%14.9%19.9%13.3%1.9%-0.1%86.5K-762.7K-3.6K1.2770.79N/AN/A605770605810
2017-10-26$29.69$28.0012.0%3.4%14.6%23.0%13.5%4.3%1.5%91.0K-852.7K-3.8K1.0584.99N/AN/A730770605810
2017-10-27$30.14$28.0011.5%3.3%15.5%20.6%13.5%2.2%0.4%210.0K-1.8M-4.6K1.0579.91N/AN/A730770940810
2017-10-30$29.70$28.0012.6%3.6%16.2%25.9%15.2%2.3%-0.4%216.6K-1.3M-4.8K1.0567.64N/AN/A730770945810
2017-10-31$29.89$28.0012.2%3.5%16.2%24.0%15.3%3.1%-0.4%250.3K-1.5M-4.7K1.0591.26N/AN/A730770945810