IHF Options History — October 2020

In October 2020, IHF traded between $39.87 and $43.45. ATM implied volatility averaged 27.5%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 6.0% (HV 20d: 21.5%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.07.

Notable Days

  • 2020-10-29: Highest Volume — 1,255 contracts
  • 2020-10-14: Largest IV spike — 32.2% change
  • 2020-10-30: Highest IV Rank — 38.4%
  • 2020-10-30: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.00$39.87$43.45$40.30$39.87
Max Pain$39.55$38.00$43.00$40.00$43.00
ATM IV27.5%18.9%39.5%25.8%39.5%
Expected Move8.5%6.9%11.3%7.4%11.3%
HV 20d21.5%15.5%25.0%25.0%22.4%
HV 60d19.1%18.5%20.6%18.9%20.6%
IV Rank20.7%8.0%38.4%18.1%38.4%
IV Percentile63.0%26.6%89.3%60.7%89.3%
Term Structure-1.3%-6.4%5.9%4.8%-6.4%
VWIV28.0%24.0%33.4%26.0%31.0%
Skew 25d7.2%3.6%11.3%3.6%11.3%
Skew 10d16.9%-2.7%35.1%17.6%30.6%
Call IV 25d25.8%20.2%33.2%24.9%33.2%
Put IV 25d33.0%25.9%44.5%28.6%44.5%
Bid-Ask Spread %89.7575.00102.1488.0377.82
Gamma HHI0.260.230.290.280.24
Net GEX-315.3K-507.5K-197.8K-367.5K-473.0K
Net DEX-209.5K-3.0M5.2M2.1M5.2M
Net VEX-30.3K-40.0K-20.0K-40.0K-33.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.070.000.670.000.00
Total Volume85.90901,25555
Total OI7,840.9097,4158,6507,4408,325

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-10-01$40.30$40.0025.8%7.4%25.0%18.1%26.0%3.6%4.8%-367.5K2.1M-40.0K0.0088.03N/AN/A051,5405,900
2020-10-02$40.73$40.0024.0%6.9%23.8%15.4%24.0%5.6%5.9%-377.4K1.8M-38.6K0.0095.97N/AN/A501,5405,895
2020-10-05$41.59$38.0023.6%8.6%24.9%14.8%31.3%8.5%-2.2%-358.0K462.6K-34.9K0.0075.00N/AN/A8501,5455,890
2020-10-06$41.35$38.0025.3%8.7%24.0%17.4%0.0%7.6%-0.7%-295.2K28.2K-34.7K0.0078.86N/AN/A001,6305,890
2020-10-07$42.11$38.0022.9%8.4%24.6%13.8%27.7%9.6%-1.5%-270.2K-633.2K-33.5K0.0480.28N/AN/A14051,6305,890
2020-10-08$42.21$38.0021.8%8.1%23.9%12.2%0.0%6.6%-1.5%-243.0K-733.4K-33.4K0.0080.68N/AN/A001,7455,895
2020-10-09$42.37$38.0018.9%7.8%23.3%8.0%25.0%6.9%0.3%-222.3K-1.3M-30.4K0.0083.09N/AN/A11001,7455,895
2020-10-12$42.63$38.0019.4%7.5%22.2%8.7%0.0%6.8%-0.7%-197.8K-1.7M-30.3K0.0084.65N/AN/A051,8005,895
2020-10-13$42.78$38.0020.6%7.7%21.9%10.5%26.8%6.8%-0.6%-207.2K-2.3M-26.3K0.0086.05N/AN/A1501,8005,900
2020-10-14$42.28$38.0027.3%7.8%22.5%20.3%30.1%6.1%-0.1%-212.5K-2.0M-26.4K0.6795.73N/AN/A15101,8105,900
2020-10-15$42.54$38.0027.0%7.7%22.3%19.9%26.8%7.4%-0.8%-277.2K-1.8M-27.2K0.0094.05N/AN/A501,8205,905
2020-10-16$42.94$38.0026.6%7.6%22.4%19.3%25.7%6.6%0.2%-227.6K-2.6M-24.5K0.0097.51N/AN/A5501,8255,905
2020-10-19$42.28$38.0029.2%8.4%19.9%23.1%33.4%6.4%-1.9%-204.4K-2.4M-23.3K0.00101.19N/AN/A0451,6605,755
2020-10-20$42.51$38.0028.7%8.2%19.4%22.4%0.0%6.7%-1.4%-218.0K-2.2M-25.1K0.00101.70N/AN/A10001,6605,790
2020-10-21$42.42$38.0030.6%8.8%17.7%25.2%0.0%3.6%-2.5%-218.3K-2.0M-26.0K0.00102.11N/AN/A001,7105,790
2020-10-22$42.96$38.0028.7%8.2%17.4%22.4%0.0%7.9%-1.4%-252.6K-3.0M-20.0K0.00101.77N/AN/A001,7105,790
2020-10-23$43.45$43.0029.2%8.4%15.5%23.1%0.0%7.3%-1.4%-429.3K-676.5K-28.4K0.00102.14N/AN/A001,7106,865
2020-10-26$42.43$43.0032.2%9.2%18.5%27.5%0.0%3.8%-4.2%-432.3K-3.9K-29.4K0.00101.62N/AN/A0201,7606,865
2020-10-27$42.55$43.0030.2%8.7%18.5%24.6%0.0%8.7%-2.9%-456.7K700.4K-30.2K0.0084.91N/AN/A001,7606,875
2020-10-28$41.25$43.0037.4%10.7%20.9%35.2%0.0%10.7%-4.6%-487.8K3.5M-34.6K0.0080.68N/AN/A0101,7606,875
2020-10-29$40.45$43.0037.4%10.7%22.2%35.2%31.0%9.8%-4.5%-507.5K4.8M-35.1K0.0080.76N/AN/A01,2551,7606,890
2020-10-30$39.87$43.0039.5%11.3%22.4%38.4%0.0%11.3%-6.4%-473.0K5.2M-33.9K0.0077.82N/AN/A501,7606,565