IHF Options History — June 2020

In June 2020, IHF traded between $37.50 and $41.20. ATM implied volatility averaged 28.2%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 1.9% (HV 20d: 30.1%). Max pain ranged from $36.40 to $38.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 2.38.

Notable Days

  • 2020-06-04: Highest Volume — 4,660 contracts
  • 2020-06-11: Largest IV spike — 27.0% change
  • 2020-06-12: Highest IV Rank — 31.1%
  • 2020-06-12: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.93$37.50$41.20$40.06$38.48
Max Pain$37.10$36.40$38.00$37.80$38.00
ATM IV28.2%21.0%34.6%25.7%26.8%
Expected Move8.1%6.5%9.9%7.4%7.7%
HV 20d30.1%21.8%35.2%22.6%35.2%
HV 60d47.2%34.9%61.3%61.3%34.9%
IV Rank21.6%11.0%31.1%18.0%19.5%
IV Percentile76.2%60.3%84.9%75.4%71.0%
Term Structure0.2%-3.6%2.7%-1.2%0.9%
VWIV28.0%19.5%34.4%28.4%29.6%
Skew 25d7.3%-3.3%12.4%7.6%7.5%
Skew 10d13.0%-4.1%20.7%18.3%20.7%
Call IV 25d25.5%19.6%38.5%22.8%23.0%
Put IV 25d32.8%27.8%40.4%30.4%30.6%
Bid-Ask Spread %62.9116.42104.2764.6775.71
Gamma HHI0.290.230.360.270.33
Net GEX-236.1K-328.0K-126.9K-215.3K-302.5K
Net DEX4.3M916.4K6.8M2.5M5.6M
Net VEX-64.7K-68.1K-60.8K-67.3K-62.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.380.0030.000.050.06
Total Volume438.40904,6602595
Total OI7,608.6367,0407,9707,7557,165

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-06-01$40.06$37.8025.7%7.4%22.6%18.0%28.4%7.6%-1.2%-215.3K2.5M-67.3K0.0064.67N/AN/A0251,7006,055
2020-06-02$40.15$37.8025.3%7.2%22.6%17.4%0.0%8.8%1.1%-204.8K2.3M-67.1K0.0569.72N/AN/A10551,7006,080
2020-06-03$40.13$37.8023.8%6.8%21.8%15.2%22.3%6.4%0.5%-206.1K2.4M-66.4K0.0075.46N/AN/A7001,6856,085
2020-06-04$39.23$36.4023.9%7.2%23.0%15.4%22.9%7.3%0.3%-198.4K3.6M-68.1K2.1330.60N/AN/A1,4903,1701,7056,085
2020-06-05$40.61$36.4021.0%6.5%25.5%11.0%0.0%8.2%2.7%-204.5K1.5M-64.1K0.0961.62N/AN/A5551,7006,110
2020-06-08$41.20$36.4024.5%6.8%24.8%16.2%19.5%8.4%-0.5%-222.0K916.4K-60.8K0.0051.79N/AN/A1001,7206,105
2020-06-09$40.81$36.4023.8%6.9%25.2%15.2%0.0%7.9%0.5%-206.7K1.0M-62.4K0.0016.42N/AN/A501,7256,105
2020-06-10$40.21$36.4025.8%7.4%25.3%18.2%0.0%7.8%-0.7%-204.7K1.8M-63.6K0.0036.22N/AN/A001,7306,105
2020-06-11$37.56$36.4032.8%9.4%34.0%28.5%33.5%5.1%-1.6%-237.4K6.1M-67.4K0.0050.81N/AN/A0151,7306,105
2020-06-12$37.50$36.4034.6%9.9%33.1%31.1%0.0%3.5%2.0%-234.6K6.2M-67.3K0.0089.33N/AN/A2501,7356,120
2020-06-15$37.82$36.4031.6%9.1%32.7%26.7%0.0%10.9%1.8%-229.3K6.4M-66.0K0.0090.23N/AN/A2501,7306,120
2020-06-16$38.78$36.4031.3%9.0%33.3%26.3%0.0%-3.3%-0.3%-184.0K4.1M-65.2K0.00104.27N/AN/A001,7556,120
2020-06-17$38.44$36.4030.5%8.7%33.4%25.0%34.4%4.4%1.8%-165.4K4.2M-64.9K0.2661.31N/AN/A95251,7556,120
2020-06-18$38.27$36.4031.1%8.9%33.4%26.0%0.0%7.0%1.0%-135.9K5.0M-65.5K0.0073.41N/AN/A001,8006,170
2020-06-19$38.72$36.4029.5%8.5%33.5%23.6%30.8%8.0%0.4%-126.9K3.7M-63.9K0.6776.33N/AN/A45301,8006,170
2020-06-22$38.51$38.0029.5%8.5%33.5%23.6%29.1%5.8%-0.5%-315.7K5.8M-63.7K1.2557.25N/AN/A20251,2705,770
2020-06-23$38.86$38.0027.4%7.9%33.4%20.5%25.0%10.4%-0.3%-312.4K5.3M-63.4K3.1861.83N/AN/A8752,7851,2905,795
2020-06-24$37.75$38.0030.6%8.8%34.1%25.2%30.3%7.4%-1.3%-328.0K6.6M-63.9K1.5764.09N/AN/A35551,2855,795
2020-06-25$38.04$38.0030.2%8.7%34.0%24.6%0.0%12.4%-3.6%-323.1K6.5M-63.2K0.7570.61N/AN/A20151,3155,800
2020-06-26$37.53$38.0031.0%8.9%34.2%25.8%30.0%10.7%0.4%-321.5K6.8M-63.4K30.0052.54N/AN/A154501,3305,800
2020-06-29$37.74$38.0029.2%8.4%34.3%23.2%28.5%7.4%1.1%-315.6K6.4M-63.0K0.3849.71N/AN/A40151,3455,805
2020-06-30$38.48$38.0026.8%7.7%35.2%19.5%29.6%7.5%0.9%-302.5K5.6M-62.7K0.0675.71N/AN/A9051,3605,805