IHF Options History — November 2017

In November 2017, IHF traded between $29.07 and $31.35. ATM implied volatility averaged 10.6%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 3.2% (HV 20d: 13.8%). Max pain ranged from $28.00 to $29.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2017-11-06: Highest Volume — 1,630 contracts
  • 2017-11-24: Largest IV spike — 35.4% change
  • 2017-11-30: Highest IV Rank — 52.5%
  • 2017-11-30: Largest Expected Move — 3.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.74$29.07$31.35$29.56$31.35
Max Pain$29.41$28.00$29.60$28.00$29.20
ATM IV10.6%7.9%12.8%12.3%12.8%
Expected Move3.1%2.3%3.7%3.5%3.7%
HV 20d13.8%11.0%16.8%16.7%14.0%
HV 60d13.5%13.1%14.6%13.3%14.6%
IV Rank24.8%6.3%52.5%24.4%52.5%
IV Percentile42.6%1.6%82.9%69.4%82.9%
Term Structure1.0%-1.8%3.5%-0.3%-1.8%
VWIV10.4%8.4%13.3%13.3%13.1%
Skew 25d2.1%-1.1%3.5%3.0%1.4%
Skew 10d3.2%-0.2%6.7%6.4%-0.2%
Call IV 25d10.0%8.4%12.9%11.8%12.9%
Put IV 25d12.1%9.4%14.8%14.8%14.3%
Bid-Ask Spread %62.0341.68102.9590.5998.92
Gamma HHI0.300.180.400.340.18
Net GEX191.2K52.0K334.9K208.2K52.0K
Net DEX-1.2M-1.9M-712.8K-1.2M-1.9M
Net VEX-4.3K-5.4K-2.8K-4.5K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.291.161.100.57
Total Volume1,138.813951,6301,470605
Total OI1,4707351,9151,755825

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$29.56$28.0012.3%3.5%16.7%24.4%13.3%3.0%-0.3%208.2K-1.2M-4.5K1.1090.59N/AN/A700770945810
2017-11-02$29.74$29.6011.7%3.5%16.7%21.5%12.4%1.6%0.2%243.1K-1.3M-4.5K0.9148.31N/AN/A850770945810
2017-11-03$29.86$29.6011.6%3.2%16.8%21.2%12.0%3.2%0.5%324.0K-1.7M-5.4K0.9150.24N/AN/A8507701,095810
2017-11-06$29.79$29.6011.5%3.3%14.5%20.4%11.2%2.5%0.9%334.9K-1.7M-5.2K0.9241.68N/AN/A8507801,095810
2017-11-07$29.70$29.6010.4%3.4%14.2%15.4%11.3%3.2%0.9%305.1K-1.5M-5.1K0.9254.57N/AN/A8507801,095820
2017-11-08$29.52$29.6010.1%2.9%14.5%14.3%9.8%3.0%1.7%272.6K-1.3M-5.0K0.9245.58N/AN/A8507801,095820
2017-11-09$29.46$29.6010.8%3.1%14.2%25.7%9.8%2.8%1.2%246.5K-1.2M-4.9K0.9249.41N/AN/A8507801,095820
2017-11-10$29.38$29.6011.2%3.2%13.7%28.5%10.9%2.2%3.4%191.7K-1.0M-4.6K0.9243.14N/AN/A8507801,095820
2017-11-13$29.46$29.6010.7%3.1%13.7%25.1%10.0%2.9%1.8%249.4K-1.1M-4.6K0.9252.67N/AN/A8507801,095820
2017-11-14$29.32$29.6010.9%3.1%12.1%28.2%10.3%1.6%1.3%153.9K-949.0K-4.3K1.1642.75N/AN/A6707801,095820
2017-11-15$29.07$29.6011.5%3.3%12.4%39.5%9.7%1.0%3.5%100.9K-805.9K-4.2K1.1663.88N/AN/A6707801,095820
2017-11-16$29.57$29.6010.3%2.9%13.6%28.3%9.9%3.5%1.9%173.2K-1.1M-4.3K1.1654.78N/AN/A6707801,095820
2017-11-17$29.36$29.6010.1%2.9%12.9%27.0%8.9%3.0%1.0%116.2K-943.1K-4.2K1.1655.70N/AN/A6707801,095820
2017-11-20$29.34$29.609.5%2.7%12.8%21.1%9.5%2.1%1.2%125.7K-712.8K-4.1K0.3762.56N/AN/A300110625110
2017-11-21$29.64$29.609.3%2.7%13.2%19.8%9.4%1.2%0.9%144.8K-893.9K-4.1K0.3757.31N/AN/A300110630110
2017-11-22$29.83$29.207.9%2.3%13.3%6.3%8.7%0.7%2.3%166.1K-1.2M-4.1K0.3161.21N/AN/A350110680110
2017-11-24$29.84$29.2010.7%3.1%13.3%32.6%9.5%2.6%0.2%162.6K-1.1M-4.1K0.3174.57N/AN/A350110680110
2017-11-27$29.87$29.208.9%2.6%12.0%15.7%8.4%1.0%0.3%179.4K-1.2M-4.0K0.2955.94N/AN/A380110680110
2017-11-28$30.05$29.209.1%2.6%11.0%17.7%10.0%2.6%-0.6%183.5K-1.3M-3.9K0.3995.94N/AN/A285110710110
2017-11-29$30.74$29.2011.1%3.2%13.4%36.5%11.2%-1.1%-0.6%80.7K-1.8M-3.0K0.39102.95N/AN/A285110715110
2017-11-30$31.35$29.2012.8%3.7%14.0%52.5%13.1%1.4%-1.8%52.0K-1.9M-2.8K0.5798.92N/AN/A385220715110