IHF Options History — August 2020

In August 2020, IHF traded between $40.73 and $41.98. ATM implied volatility averaged 20.2%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.7% (HV 20d: 13.5%). Max pain ranged from $37.20 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.74.

Notable Days

  • 2020-08-17: Highest Volume — 315 contracts
  • 2020-08-10: Largest IV spike — 22.1% change
  • 2020-08-31: Highest IV Rank — 13.2%
  • 2020-08-31: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.47$40.73$41.98$41.04$41.40
Max Pain$37.79$37.20$40.00$40.00$38.60
ATM IV20.2%16.0%22.4%20.5%22.4%
Expected Move5.9%5.1%6.4%5.9%6.4%
HV 20d13.5%9.7%17.7%17.7%9.7%
HV 60d23.8%21.9%25.8%25.8%21.9%
IV Rank9.9%3.7%13.2%10.3%13.2%
IV Percentile40.6%8.7%53.2%42.5%53.2%
Term Structure2.9%0.2%5.3%1.5%1.6%
VWIV22.6%18.5%25.6%24.2%18.5%
Skew 25d6.8%2.4%10.5%7.2%9.0%
Skew 10d10.5%0.8%20.1%20.1%11.0%
Call IV 25d17.7%14.6%20.8%18.3%18.8%
Put IV 25d24.5%21.5%28.9%25.5%27.7%
Bid-Ask Spread %85.6553.34109.3495.0080.56
Gamma HHI0.250.190.330.250.33
Net GEX-174.6K-381.0K-66.3K-183.7K-344.4K
Net DEX436.6K-1.2M2.6M1.1M1.7M
Net VEX-44.5K-48.8K-42.2K-48.8K-42.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.0020.000.170.00
Total Volume54.76203151050
Total OI7,364.5246,9707,7607,4407,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-08-03$41.04$40.0020.5%5.9%17.7%10.3%24.2%7.2%1.5%-183.7K1.1M-48.8K0.0095.00N/AN/A01051,6305,810
2020-08-04$41.24$37.2022.2%6.4%16.9%12.9%0.0%10.5%0.9%-155.2K674.8K-48.2K0.0097.43N/AN/A001,6305,715
2020-08-05$41.21$37.2018.5%5.3%16.7%7.4%21.0%7.5%2.7%-121.1K523.7K-46.7K0.17100.91N/AN/A3051,6305,715
2020-08-06$41.47$37.4020.1%6.3%14.8%9.7%0.0%2.4%3.9%-106.9K209.3K-46.3K0.0083.09N/AN/A13501,6305,715
2020-08-07$41.65$37.4016.0%5.9%14.8%3.7%22.2%5.5%4.1%-102.9K-77.1K-45.0K0.0097.11N/AN/A3001,6605,715
2020-08-10$41.76$37.4019.5%6.0%14.6%8.9%0.0%4.0%4.5%-99.4K-455.9K-43.8K0.00101.04N/AN/A501,6655,715
2020-08-11$41.57$37.4018.4%6.1%14.1%7.2%0.0%6.8%3.2%-105.9K-832.2K-43.2K0.0099.31N/AN/A10501,6655,715
2020-08-12$41.94$37.4021.1%6.0%13.6%11.1%0.0%10.3%3.9%-111.7K-903.4K-43.8K0.0078.73N/AN/A001,7605,715
2020-08-13$41.76$37.4020.6%5.9%13.7%10.5%0.0%8.7%3.3%-82.0K-1.2M-42.5K0.0076.12N/AN/A1001,7605,715
2020-08-14$41.87$37.4020.8%6.0%13.7%10.7%0.0%5.1%3.6%-89.4K-998.4K-43.2K0.0053.34N/AN/A1001,7655,715
2020-08-17$41.98$37.4021.4%6.1%13.1%11.6%24.2%6.6%3.6%-66.9K-1.0M-42.6K20.0057.61N/AN/A153001,7405,715
2020-08-18$41.89$37.4019.8%5.7%13.1%9.3%0.0%5.4%4.8%-69.4K-476.7K-43.7K0.5068.14N/AN/A30151,7356,015
2020-08-19$41.86$37.4019.3%5.5%12.8%8.6%0.0%5.9%5.3%-66.3K-354.0K-44.0K0.0073.60N/AN/A1501,7306,030
2020-08-20$41.48$37.4021.4%6.1%13.3%11.7%0.0%5.3%1.6%-81.3K378.9K-45.6K0.0089.80N/AN/A001,7156,030
2020-08-21$41.51$37.4017.8%5.1%13.1%6.3%0.0%7.9%5.0%-75.6K469.6K-44.9K0.00102.89N/AN/A1001,7156,030
2020-08-24$40.99$37.4019.1%5.5%13.9%8.2%25.6%4.6%2.3%-340.8K1.8M-43.4K0.00100.60N/AN/A02701,1905,780
2020-08-25$41.09$38.6021.6%6.2%13.8%12.0%0.0%9.5%0.2%-381.0K1.9M-42.2K2.00109.34N/AN/A15301,1905,845
2020-08-26$40.73$38.6021.3%6.1%10.1%11.5%0.0%6.1%2.2%-379.6K2.6M-45.3K0.0076.16N/AN/A051,2055,830
2020-08-27$41.21$38.6022.3%6.4%11.0%13.0%0.0%7.2%1.0%-356.4K2.0M-44.6K0.0078.42N/AN/A001,2055,830
2020-08-28$41.29$38.6021.0%6.0%9.9%11.1%18.5%6.4%2.4%-347.2K2.0M-44.4K0.0079.47N/AN/A1001,2105,830
2020-08-31$41.40$38.6022.4%6.4%9.7%13.2%0.0%9.0%1.6%-344.4K1.7M-42.2K0.0080.56N/AN/A001,2155,830