IHF Options History — September 2020

In September 2020, IHF traded between $38.01 and $41.92. ATM implied volatility averaged 26.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 6.7% (HV 20d: 19.9%). Max pain ranged from $38.60 to $40.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2020-09-25: Highest Volume — 490 contracts
  • 2020-09-08: Largest IV spike — 21.3% change
  • 2020-09-08: Highest IV Rank — 27.2%
  • 2020-09-24: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$38.01$41.92$40.97$40.36
Max Pain$39.87$38.60$40.00$38.60$40.00
ATM IV26.6%21.9%31.9%23.3%28.3%
Expected Move7.6%6.3%8.7%6.7%8.1%
HV 20d19.9%10.3%26.5%10.3%26.5%
HV 60d18.7%17.0%22.6%21.8%18.9%
IV Rank19.3%12.5%27.2%14.5%21.8%
IV Percentile66.3%50.4%82.1%57.1%71.8%
Term Structure3.1%-0.3%8.0%-0.3%3.0%
VWIV27.0%17.8%36.8%17.8%25.6%
Skew 25d7.1%2.4%13.3%9.1%13.3%
Skew 10d17.6%11.1%25.0%18.9%13.6%
Call IV 25d23.8%18.1%28.0%18.1%20.2%
Put IV 25d30.9%26.1%35.8%27.3%33.5%
Bid-Ask Spread %89.5460.70102.8385.43100.93
Gamma HHI0.330.300.380.330.31
Net GEX-399.9K-486.3K-320.3K-364.8K-396.8K
Net DEX3.5M1.4M6.3M2.2M2.6M
Net VEX-42.7K-46.1K-39.3K-43.4K-40.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.460.000.04
Total Volume66.429049025125
Total OI7,165.2386,9907,3257,0457,320

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-09-01$40.97$38.6023.3%6.7%10.3%14.5%17.8%9.1%-0.3%-364.8K2.2M-43.4K0.0085.43N/AN/A2501,2155,830
2020-09-02$41.92$38.6021.9%6.3%13.2%12.5%22.3%5.9%2.2%-320.3K1.4M-41.9K1.4686.01N/AN/A1301901,2355,830
2020-09-03$40.88$40.0026.6%8.1%15.9%19.3%0.0%5.9%1.2%-335.8K2.3M-44.5K0.0066.96N/AN/A1001,3655,815
2020-09-04$40.76$40.0026.3%7.9%15.8%18.9%0.0%7.9%1.8%-328.8K2.8M-45.4K0.0060.70N/AN/A501,3605,815
2020-09-08$40.03$40.0031.9%8.6%16.8%27.2%0.0%8.9%4.2%-334.8K3.6M-46.1K0.0075.72N/AN/A051,3655,815
2020-09-09$40.42$40.0027.6%7.9%17.3%20.8%0.0%11.0%2.3%-343.3K3.3M-44.6K0.0079.96N/AN/A001,3655,815
2020-09-10$39.88$40.0025.6%7.3%17.4%17.9%0.0%3.1%4.5%-356.3K3.4M-44.6K0.0088.08N/AN/A001,3655,815
2020-09-11$39.41$40.0027.2%7.8%17.7%20.2%28.1%3.1%2.9%-412.6K4.2M-44.8K0.0086.73N/AN/A0101,3655,815
2020-09-14$40.29$40.0024.7%7.1%19.7%16.6%29.5%8.3%2.1%-408.3K3.2M-41.7K0.0084.49N/AN/A051,3655,820
2020-09-15$40.01$40.0024.3%7.0%19.7%15.9%0.0%3.4%3.3%-367.8K2.9M-41.2K0.0093.78N/AN/A001,3605,825
2020-09-16$40.36$40.0025.2%7.2%20.1%17.2%0.0%8.1%4.4%-380.4K2.6M-40.6K0.0097.26N/AN/A001,3605,825
2020-09-17$40.17$40.0026.4%7.6%20.1%19.0%0.0%4.4%2.8%-411.3K3.3M-41.1K0.0096.27N/AN/A001,3605,825
2020-09-18$40.45$40.0025.3%7.3%20.2%17.4%0.0%5.6%3.0%-432.7K2.7M-39.3K0.0097.42N/AN/A001,3605,825
2020-09-21$39.24$40.0028.7%8.2%22.7%22.5%29.0%5.0%1.7%-460.2K4.8M-42.6K0.2591.53N/AN/A40101,2055,785
2020-09-22$38.92$40.0028.1%8.1%22.5%21.5%0.0%8.2%3.4%-439.8K4.5M-42.5K0.0094.52N/AN/A01001,2405,795
2020-09-23$38.20$40.0029.0%8.3%23.1%22.9%27.8%8.6%3.2%-486.3K5.3M-43.3K0.0096.59N/AN/A1001,2405,895
2020-09-24$38.01$40.0030.2%8.7%23.0%24.6%0.0%9.4%1.5%-475.3K6.3M-44.0K0.07100.69N/AN/A150101,2455,895
2020-09-25$39.10$40.0024.3%7.0%25.1%16.0%25.5%10.9%8.0%-477.3K5.2M-42.1K0.0095.06N/AN/A49001,2455,895
2020-09-28$39.42$40.0027.6%7.9%25.4%20.7%36.8%2.4%4.3%-417.1K3.6M-41.4K0.1099.28N/AN/A5051,3805,895
2020-09-29$39.48$40.0025.8%7.4%25.3%18.2%27.7%6.9%5.4%-448.7K3.7M-41.9K0.25102.83N/AN/A2051,4305,895
2020-09-30$40.36$40.0028.3%8.1%26.5%21.8%25.6%13.3%3.0%-396.8K2.6M-40.1K0.04100.93N/AN/A12051,4205,900