IHF Options History — December 2017

In December 2017, IHF traded between $30.73 and $31.56. ATM implied volatility averaged 10.3%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 3.5% (HV 20d: 13.8%). Max pain ranged from $29.60 to $31.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.42.

Notable Days

  • 2017-12-27: Highest Volume — 1,105 contracts
  • 2017-12-07: Largest IV drop — 16.9% change
  • 2017-12-04: Highest IV Rank — 63.1%
  • 2017-12-06: Largest Expected Move — 3.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.20$30.73$31.56$31.13$31.41
Max Pain$30.93$29.60$31.00$29.60$31.00
ATM IV10.3%8.6%14.0%12.3%9.0%
Expected Move2.9%2.5%3.5%3.5%2.6%
HV 20d13.8%9.0%15.0%14.4%9.0%
HV 60d14.2%13.6%14.7%14.7%13.6%
IV Rank32.0%16.3%63.1%47.0%21.4%
IV Percentile34.9%4.4%91.3%77.0%11.5%
Term Structure0.8%-0.5%1.5%-0.5%1.2%
VWIV10.5%9.6%13.0%13.0%10.2%
Skew 25d2.3%1.0%3.5%2.8%2.8%
Skew 10d4.7%2.0%5.9%5.6%5.9%
Call IV 25d9.4%8.4%11.4%11.1%8.5%
Put IV 25d11.7%10.5%14.0%13.9%11.3%
Bid-Ask Spread %56.7737.94100.59100.5955.80
Gamma HHI0.360.190.550.190.28
Net GEX-36.4K-187.9K57.4K57.4K43.9K
Net DEX-1.1M-1.8M-381.4K-1.8M-1.1M
Net VEX-5.4K-6.5K-3.5K-3.5K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.861.581.580.86
Total Volume9978401,1051,020940
Total OI1,287.58901,4551,0351,330

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$31.13$29.6012.3%3.5%14.4%47.0%13.0%2.8%-0.5%57.4K-1.8M-3.5K1.58100.59N/AN/A395625815220
2017-12-04$30.90$31.0014.0%3.4%14.8%63.1%11.9%1.0%0.5%-21.3K-1.3M-5.7K1.5674.44N/AN/A400625825625
2017-12-05$30.73$31.0013.1%3.4%15.0%54.6%10.7%3.0%0.4%-10.2K-995.2K-6.0K1.5661.41N/AN/A400625830625
2017-12-06$30.73$31.0013.8%3.5%14.9%61.1%12.1%3.5%-0.5%3.6K-940.9K-6.0K1.5667.13N/AN/A400625830625
2017-12-07$30.91$31.0011.4%3.2%14.6%39.3%11.4%2.4%0.8%-29.8K-1.1M-5.8K1.5670.62N/AN/A400625830625
2017-12-08$31.13$31.009.9%2.8%14.6%24.6%10.6%2.4%1.4%-71.5K-1.4M-5.4K1.5637.94N/AN/A400625830625
2017-12-11$31.07$31.0011.4%3.0%14.6%38.7%10.7%2.6%1.3%-106.8K-1.4M-5.2K1.5638.19N/AN/A400625830625
2017-12-12$31.21$31.009.9%2.8%14.6%25.2%10.4%2.1%1.2%-138.1K-1.6M-5.0K1.5642.80N/AN/A400625830625
2017-12-13$31.36$31.009.1%2.6%14.3%21.0%10.3%1.7%1.3%-106.8K-1.8M-4.6K1.5653.83N/AN/A400625830625
2017-12-14$30.93$31.009.5%2.7%15.0%26.6%9.6%2.6%1.3%-187.9K-1.3M-5.0K1.5648.34N/AN/A400625830625
2017-12-15$31.23$31.009.2%2.6%14.3%23.3%9.7%2.3%1.3%-102.8K-1.7M-4.7K1.5643.67N/AN/A400625830625
2017-12-18$31.30$31.009.7%2.8%13.8%28.9%9.7%2.3%1.0%-81.6K-381.4K-4.6K1.5848.10N/AN/A325515375515
2017-12-19$31.41$31.009.2%2.6%13.7%23.6%9.8%1.9%0.7%-33.5K-600.4K-4.8K1.5844.66N/AN/A325515475515
2017-12-20$31.36$31.009.0%2.6%13.6%20.7%9.8%1.6%1.0%-38.2K-607.4K-4.7K1.3460.11N/AN/A385515475515
2017-12-21$31.41$31.009.2%2.6%13.5%22.7%9.9%1.6%0.7%-22.3K-724.5K-5.3K1.3445.25N/AN/A385515535515
2017-12-22$31.39$31.009.5%2.7%13.6%26.5%10.0%1.9%0.5%-27.4K-677.5K-5.3K1.0259.13N/AN/A505515535515
2017-12-26$31.44$31.009.7%2.8%13.6%28.5%10.5%2.5%0.3%51.2K-1.1M-6.5K1.0259.68N/AN/A505515755515
2017-12-27$31.44$31.009.5%2.7%13.5%26.5%9.8%2.2%0.8%45.8K-1.1M-6.4K1.1964.99N/AN/A505600755515
2017-12-28$31.56$31.008.6%2.5%11.2%16.3%10.1%2.2%1.5%48.9K-1.1M-6.5K1.1958.81N/AN/A505600755575
2017-12-29$31.41$31.009.0%2.6%9.0%21.4%10.2%2.8%1.2%43.9K-1.1M-6.5K0.8655.80N/AN/A505435755575