IHF Options History — September 2018

In September 2018, IHF traded between $38.84 and $39.94. ATM implied volatility averaged 9.4%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 2.7%. IV traded above realized volatility by 1.4% (HV 20d: 8.0%). Max pain ranged from $38.40 to $39.40. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2018-09-20: Highest Volume — 1,945 contracts
  • 2018-09-17: Largest IV spike — 19.5% change
  • 2018-09-17: Highest IV Rank — 18.3%
  • 2018-09-17: Largest Expected Move — 3.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.38$38.84$39.94$39.19$39.94
Max Pain$39.11$38.40$39.40$38.80$39.20
ATM IV9.4%8.3%10.7%8.9%8.9%
Expected Move2.7%2.4%3.1%2.6%2.6%
HV 20d8.0%6.7%8.8%7.1%8.8%
HV 60d9.6%8.9%10.0%9.8%9.0%
IV Rank11.9%6.2%18.3%9.3%9.2%
IV Percentile18.1%2.8%40.5%7.5%8.3%
Term Structure0.9%-0.7%1.9%1.2%1.8%
VWIV10.3%9.5%11.8%9.7%10.4%
Skew 25d2.9%1.1%4.2%3.5%2.7%
Skew 10d4.7%0.2%7.5%7.5%1.0%
Call IV 25d8.7%7.2%10.0%7.2%9.0%
Put IV 25d11.7%9.9%13.5%10.8%11.7%
Bid-Ask Spread %58.1433.7690.5382.3985.35
Gamma HHI0.110.100.160.100.11
Net GEX56.0K12.1K143.4K60.4K53.3K
Net DEX-5.6M-6.1M-4.8M-5.4M-6.0M
Net VEX-11.2K-12.9K-9.6K-11.9K-9.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.470.650.470.62
Total Volume1,855.7891,7951,9451,8451,925
Total OI2,668.1582,5552,8452,5552,590

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$39.19$38.808.9%2.6%7.1%9.3%9.7%3.5%1.2%60.4K-5.4M-11.9K0.4782.39N/AN/A1,2555901,865690
2018-09-05$39.22$38.8010.1%2.9%6.8%15.6%10.6%2.6%-0.3%68.2K-5.3M-12.2K0.4982.81N/AN/A1,2556151,870690
2018-09-06$39.41$38.4010.0%2.9%6.7%15.0%11.8%3.1%0.8%62.9K-5.5M-11.9K0.5134.98N/AN/A1,2556351,870720
2018-09-07$39.37$38.609.5%3.0%6.7%12.0%11.6%3.2%0.7%55.2K-5.5M-11.7K0.6333.76N/AN/A1,1056951,870740
2018-09-10$38.84$39.4010.0%3.0%8.6%15.0%10.4%4.2%1.5%14.9K-4.8M-12.9K0.6340.10N/AN/A1,1106951,885800
2018-09-11$38.96$39.409.6%2.9%8.6%12.5%10.1%4.1%1.4%12.1K-5.0M-12.6K0.6537.12N/AN/A1,0907051,895800
2018-09-12$39.02$39.2010.3%3.0%7.8%16.4%9.7%4.2%0.0%16.4K-5.0M-12.4K0.6547.25N/AN/A1,0907051,900810
2018-09-13$39.40$39.209.5%2.7%8.1%12.3%10.1%2.0%0.6%37.6K-5.6M-11.0K0.6546.86N/AN/A1,0907051,900810
2018-09-14$39.43$39.208.9%2.6%7.6%9.2%9.5%2.4%1.9%47.4K-5.7M-11.2K0.6554.38N/AN/A1,0907051,900810
2018-09-17$39.28$39.2010.7%3.1%7.8%18.3%10.7%4.1%-0.7%30.9K-5.6M-10.7K0.6452.74N/AN/A1,1657451,890810
2018-09-18$39.55$39.209.4%2.7%8.1%11.6%10.6%2.6%0.8%61.2K-5.9M-11.0K0.6344.86N/AN/A1,1907451,970860
2018-09-19$39.36$39.208.8%2.5%8.3%8.4%9.8%3.1%1.0%68.7K-5.7M-11.5K0.6349.63N/AN/A1,1907451,970860
2018-09-20$39.57$39.208.6%2.5%8.5%7.3%9.7%2.1%1.7%128.3K-6.1M-10.7K0.6257.92N/AN/A1,2007451,970860
2018-09-21$39.57$39.208.3%2.4%8.5%6.2%9.7%2.2%0.8%143.4K-6.1M-10.7K0.6260.61N/AN/A1,2007451,985860
2018-09-24$39.64$39.209.1%2.6%8.4%10.0%10.2%2.6%1.3%52.9K-5.7M-10.2K0.6459.63N/AN/A1,1057051,850705
2018-09-25$39.40$39.209.3%2.7%8.7%11.4%10.4%3.4%1.0%47.6K-5.5M-10.5K0.6459.23N/AN/A1,1057051,855705
2018-09-26$39.49$39.209.8%2.8%8.7%13.9%10.4%1.1%1.0%51.2K-5.7M-9.9K0.6484.53N/AN/A1,1107051,860705
2018-09-27$39.61$39.209.4%2.7%8.6%11.9%10.5%2.4%1.5%51.6K-5.8M-9.7K0.6290.53N/AN/A1,1357051,860705
2018-09-28$39.94$39.208.9%2.6%8.8%9.2%10.4%2.7%1.8%53.3K-6.0M-9.6K0.6285.35N/AN/A1,1857401,885705