IHF Options History — March 2020

In March 2020, IHF traded between $27.13 and $39.61. ATM implied volatility averaged 62.2%, placing in the 82.2% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 10.0% (HV 20d: 72.3%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 31.88.

Notable Days

  • 2020-03-11: Highest Volume — 7,075 contracts
  • 2020-03-05: Largest IV spike — 42.2% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-16: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.47$27.13$39.61$37.55$33.22
Max Pain$38.64$38.00$41.00$40.00$38.00
ATM IV62.2%37.4%81.3%43.5%50.2%
Expected Move17.3%10.7%23.3%12.5%14.4%
HV 20d72.3%42.8%100.0%42.8%96.7%
HV 60d45.3%27.2%61.1%27.2%61.1%
IV Rank82.2%55.2%100.0%69.3%55.2%
IV Percentile98.0%92.5%100.0%99.2%92.5%
Term Structure-6.1%-14.4%-1.4%-6.3%-7.2%
VWIV58.4%30.9%81.1%37.7%44.8%
Skew 25d21.2%8.3%40.0%14.2%17.2%
Skew 10d38.7%20.7%60.9%29.2%42.2%
Call IV 25d51.1%34.0%74.5%37.2%45.2%
Put IV 25d72.3%43.0%95.4%51.4%62.4%
Bid-Ask Spread %73.7047.0299.2258.9182.78
Gamma HHI0.210.180.280.260.21
Net GEX-818.1K-1.6M-243.8K-1.6M-752.4K
Net DEX29.2M16.3M37.1M24.8M29.6M
Net VEX-82.6K-112.6K-39.2K-110.5K-73.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio31.880.00501.001.400.00
Total Volume1,003.40957,0752405
Total OI16,591.59113,80518,80017,58514,595

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-03-02$37.55$40.0043.5%12.5%42.8%69.3%37.7%14.2%-6.3%-1.6M24.8M-110.5K1.4058.91N/AN/A10014092016,665
2020-03-03$36.73$41.0049.0%14.1%43.4%81.4%57.4%10.7%-10.8%-1.6M28.2M-109.1K0.0060.00N/AN/A012093016,755
2020-03-04$39.61$41.0037.4%10.7%51.0%55.7%39.7%8.3%-3.8%-1.3M16.3M-103.5K0.9859.75N/AN/A52551593016,850
2020-03-05$38.48$38.0053.1%12.0%50.2%90.3%40.6%17.0%-2.1%-1.3M21.6M-112.6K0.7147.02N/AN/A2601851,42517,200
2020-03-06$38.10$39.0059.4%14.4%50.2%100.0%59.6%21.1%-5.2%-1.3M23.8M-112.6K2.3348.26N/AN/A30701,42517,295
2020-03-09$36.48$39.0069.3%17.0%52.2%100.0%54.8%22.4%-5.2%-1.3M28.5M-107.7K0.9247.46N/AN/A60551,43517,320
2020-03-10$37.14$39.0065.6%16.3%52.8%93.6%55.3%24.6%-7.4%-1.3M26.6M-107.9K501.0048.81N/AN/A105,0101,46017,340
2020-03-11$35.92$39.0057.5%16.5%53.2%79.5%54.9%19.5%-6.1%-771.5K23.4M-92.9K10.2351.49N/AN/A6306,4451,46512,340
2020-03-12$32.84$39.0068.7%19.7%59.5%99.0%30.9%22.6%-6.3%-650.0K31.7M-89.3K41.0064.07N/AN/A52052,09514,765
2020-03-13$34.15$39.0064.5%18.5%62.1%91.6%59.4%29.2%-5.4%-771.3K31.5M-94.8K3.2569.02N/AN/A401302,10014,955
2020-03-16$30.52$38.0081.3%23.3%71.9%100.0%71.0%11.8%-8.7%-498.9K33.6M-75.7K0.6595.93N/AN/A85552,23015,005
2020-03-17$31.17$38.0074.5%21.4%72.6%90.1%79.4%28.0%-6.1%-520.6K34.5M-75.8K0.1370.49N/AN/A75102,24015,035
2020-03-18$27.85$38.0080.2%23.0%79.7%98.4%61.7%13.7%-3.0%-278.5K35.2M-54.0K0.0599.22N/AN/A460252,31015,045
2020-03-19$30.07$38.0075.5%21.6%86.9%91.5%76.0%25.5%-1.4%-407.8K35.5M-65.6K9.5283.52N/AN/A1051,0002,63515,040
2020-03-20$28.90$38.0066.6%19.1%87.2%78.8%69.6%20.5%-1.9%-324.5K37.1M-56.6K14.5695.63N/AN/A456552,71015,905
2020-03-23$27.13$38.0074.6%21.4%87.9%90.4%77.4%40.0%-7.3%-243.8K30.9M-39.2K15.0094.83N/AN/A751,1251,17013,085
2020-03-24$29.61$38.0061.9%17.7%94.9%72.0%64.0%19.3%-9.1%-355.7K32.8M-43.8K11.8497.85N/AN/A1251,4801,20012,995
2020-03-25$31.58$38.0068.0%19.5%98.7%80.8%58.8%27.1%-14.4%-593.1K29.2M-71.2K42.3392.98N/AN/A451,9051,31513,120
2020-03-26$32.84$38.0058.7%16.8%100.0%67.4%81.1%35.8%-8.5%-695.4K29.3M-73.5K0.0891.81N/AN/A6051,36013,180
2020-03-27$32.69$38.0057.8%16.6%99.2%66.1%51.3%19.8%-5.1%-702.7K29.4M-72.7K0.5079.32N/AN/A40201,41513,185
2020-03-30$33.68$38.0051.5%14.8%96.8%57.1%44.8%17.3%-3.7%-800.9K29.5M-74.8K13.0082.17N/AN/A101301,39013,180
2020-03-31$33.22$38.0050.2%14.4%96.7%55.2%0.0%17.2%-7.2%-752.4K29.6M-73.0K0.0082.78N/AN/A501,39013,205