IHF Options History — December 2019

In December 2019, IHF traded between $38.62 and $40.33. ATM implied volatility averaged 17.0%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.3% (HV 20d: 13.7%). Max pain ranged from $36.80 to $40.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 3.99.

Notable Days

  • 2019-12-12: Highest Volume — 645 contracts
  • 2019-12-09: Largest IV spike — 27.3% change
  • 2019-12-02: Highest IV Rank — 41.0%
  • 2019-12-09: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.45$38.62$40.33$38.86$40.15
Max Pain$39.03$36.80$40.00$36.80$39.60
ATM IV17.0%14.6%19.2%19.2%17.6%
Expected Move5.0%4.2%5.5%5.5%5.0%
HV 20d13.7%10.6%16.2%15.7%10.7%
HV 60d17.7%16.1%18.5%18.3%16.1%
IV Rank30.3%18.8%41.0%41.0%33.1%
IV Percentile43.6%15.5%68.3%68.3%54.0%
Term Structure1.5%-0.3%6.2%-0.2%0.9%
VWIV17.4%12.9%24.7%24.7%17.9%
Skew 25d4.3%2.6%5.9%5.8%3.6%
Skew 10d8.3%2.7%14.1%6.7%11.4%
Call IV 25d15.2%12.3%17.4%15.4%15.2%
Put IV 25d19.5%15.6%23.0%21.2%18.8%
Bid-Ask Spread %68.1734.4093.2072.5093.20
Gamma HHI0.170.110.270.270.12
Net GEX-1.2K-155.6K112.1K-141.4K84.6K
Net DEX-3.3M-5.7M-1.6M-2.1M-3.8M
Net VEX-20.7K-32.1K-11.5K-30.5K-11.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.0920.004.501.53
Total Volume199.04855645110380
Total OI11,685.47610,95012,23011,61010,950

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$38.86$36.8019.2%5.5%15.7%41.0%0.0%5.8%-0.2%-141.4K-2.1M-30.5K4.5072.50N/AN/A20901,7609,850
2019-12-03$38.62$36.8016.4%4.7%16.2%27.6%24.7%4.5%6.2%-155.6K-1.6M-31.4K0.0071.23N/AN/A02151,7809,930
2019-12-04$39.00$36.8018.5%5.3%16.0%37.6%20.8%4.2%-0.3%-101.9K-2.7M-27.3K0.0078.59N/AN/A01501,7809,875
2019-12-05$38.99$37.6018.1%5.5%15.8%35.4%0.0%5.9%1.4%-98.4K-2.8M-26.9K0.0034.40N/AN/A01001,7809,805
2019-12-06$39.27$37.6014.6%5.4%15.7%18.8%20.2%4.4%1.3%-126.3K-2.3M-32.1K4.3840.64N/AN/A1054601,7809,705
2019-12-09$38.87$40.0018.6%5.5%16.1%37.9%19.4%5.7%1.8%-108.7K-2.1M-26.9K13.5039.37N/AN/A101351,7809,965
2019-12-10$38.68$40.0016.8%5.3%15.5%29.2%16.8%5.6%2.7%-133.9K-1.6M-27.7K0.5942.32N/AN/A85501,77010,065
2019-12-11$38.64$40.0018.6%5.3%15.5%37.7%0.0%4.8%1.4%-104.0K-1.7M-27.3K0.0051.31N/AN/A0801,84010,060
2019-12-12$39.02$40.0018.3%5.3%15.7%36.6%15.3%5.3%1.9%-8.7K-2.6M-25.2K4.6148.81N/AN/A1155302,09510,080
2019-12-13$38.89$40.0018.3%5.3%15.8%36.6%12.9%5.1%-0.3%-5.8K-2.6M-24.3K0.4481.26N/AN/A135602,1559,905
2019-12-16$39.45$40.0015.7%4.5%12.2%24.2%15.4%4.5%0.5%83.9K-4.2M-16.4K0.4057.01N/AN/A2501002,1259,845
2019-12-17$39.23$39.6015.6%4.5%12.3%23.3%15.6%3.5%1.5%108.8K-3.9M-18.3K1.1457.74N/AN/A70802,2459,920
2019-12-18$39.65$39.6016.4%4.7%12.6%27.2%0.0%3.9%1.6%73.3K-4.5M-18.4K20.0068.74N/AN/A51002,2909,870
2019-12-19$39.91$39.6014.8%4.2%12.7%19.5%14.4%4.2%2.0%77.4K-5.4M-14.8K1.8066.15N/AN/A50902,2959,935
2019-12-20$40.03$39.2015.7%4.5%12.7%24.1%0.0%2.6%1.3%90.5K-5.7M-13.7K7.0085.93N/AN/A10702,2859,925
2019-12-23$40.28$39.2016.6%4.8%12.8%28.4%16.4%3.3%0.1%96.6K-4.2M-12.2K3.3892.18N/AN/A401351,7709,480
2019-12-24$40.21$39.2016.1%4.6%11.5%26.1%15.7%3.3%2.7%112.1K-4.2M-12.3K0.1088.76N/AN/A5051,8059,425
2019-12-26$40.24$39.2015.7%4.5%10.6%23.9%15.4%2.7%2.4%103.8K-4.2M-12.8K0.0983.27N/AN/A115101,8059,425
2019-12-27$40.33$39.2017.4%5.0%10.6%32.2%0.0%3.7%0.6%87.6K-4.2M-12.5K0.4089.78N/AN/A100401,7559,415
2019-12-30$40.07$39.6018.1%5.2%10.9%35.4%20.5%4.6%1.8%41.2K-3.6M-13.2K0.0088.33N/AN/A01401,6959,375
2019-12-31$40.15$39.6017.6%5.0%10.7%33.1%17.9%3.6%0.9%84.6K-3.8M-11.5K1.5393.20N/AN/A1502301,6959,255