IHF Options History — November 2020

In November 2020, IHF traded between $40.98 and $46.47. ATM implied volatility averaged 24.9%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 5.2% (HV 20d: 30.1%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2020-11-03: Highest Volume — 370 contracts
  • 2020-11-04: Largest IV drop — 22.0% change
  • 2020-11-02: Highest IV Rank — 38.1%
  • 2020-11-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.03$40.98$46.47$40.98$44.98
Max Pain$37.90$37.00$43.00$43.00$37.00
ATM IV24.9%20.0%39.4%39.4%23.0%
Expected Move7.1%5.7%11.3%11.3%6.6%
HV 20d30.1%23.4%32.2%23.4%26.4%
HV 60d24.7%21.4%25.3%21.4%24.4%
IV Rank15.7%8.0%38.1%38.1%12.5%
IV Percentile45.4%21.4%88.9%88.9%36.9%
Term Structure0.8%-4.9%5.1%-4.8%0.5%
VWIV27.5%18.0%45.5%45.5%20.8%
Skew 25d5.8%-0.3%11.0%11.0%6.2%
Skew 10d14.4%4.3%19.5%19.5%4.3%
Call IV 25d22.5%18.1%33.6%33.6%22.0%
Put IV 25d28.3%22.7%44.6%44.6%28.1%
Bid-Ask Spread %95.2270.97104.6383.59104.01
Gamma HHI0.220.150.290.220.19
Net GEX-79.1K-434.4K121.4K-434.4K78.0K
Net DEX-4.5M-7.0M2.9M2.9M-3.4M
Net VEX-12.1K-33.4K-5.8K-33.4K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.0013.800.000.00
Total Volume63.25037050
Total OI7,944.256,2308,5958,3706,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$40.98$43.0039.4%11.3%23.4%38.1%0.0%11.0%-4.8%-434.4K2.9M-33.4K0.0083.59N/AN/A501,8056,565
2020-11-03$42.68$43.0035.6%10.2%27.5%32.6%45.5%10.3%-4.9%-374.3K-299.6K-26.8K13.8089.62N/AN/A253451,8056,565
2020-11-04$44.63$43.0027.7%8.0%31.0%21.0%30.4%7.8%-1.7%-233.9K-4.0M-18.3K0.07100.15N/AN/A340251,8256,540
2020-11-05$44.94$37.0028.3%7.5%31.0%21.8%27.6%8.0%-0.3%-218.7K-4.4M-18.1K0.0075.31N/AN/A8001,9656,560
2020-11-06$44.99$37.0026.8%7.3%31.0%19.6%0.0%8.0%0.1%-201.5K-4.9M-15.6K0.3370.97N/AN/A1551,9806,560
2020-11-09$45.74$37.0023.3%6.8%31.4%14.4%0.0%8.6%0.9%-93.1K-6.0M-11.2K0.0083.29N/AN/A1001,9306,560
2020-11-10$46.12$37.0027.2%7.1%31.4%18.9%0.0%7.6%-0.1%-96.7K-6.1M-11.7K0.0583.29N/AN/A11051,9306,560
2020-11-11$45.94$37.0023.7%6.8%31.0%13.6%0.0%4.9%0.9%-111.6K-5.8M-12.5K0.0090.97N/AN/A4501,9706,565
2020-11-12$45.69$37.0024.5%7.0%31.2%14.8%0.0%5.6%0.2%-51.8K-6.5M-9.8K0.0098.48N/AN/A001,9856,565
2020-11-13$46.46$37.0023.3%6.7%31.5%13.0%0.0%6.6%0.5%1.9K-7.0M-7.6K0.00100.53N/AN/A5001,9956,565
2020-11-16$46.47$37.0023.6%6.8%30.7%13.5%24.3%4.6%0.5%7.5K-6.8M-9.7K0.90100.82N/AN/A50452,0306,565
2020-11-17$45.88$37.0022.7%6.5%31.3%12.2%25.7%3.1%1.4%-33-6.7M-6.9K0.17101.99N/AN/A3051,9806,610
2020-11-18$45.28$37.0021.5%6.2%31.8%10.4%0.0%2.4%4.4%-25.6K-6.2M-9.3K0.00101.82N/AN/A001,9806,610
2020-11-19$44.67$37.0022.0%6.3%32.2%11.0%0.0%0.1%3.0%-102.3K-5.8M-8.3K0.00101.23N/AN/A3501,9806,610
2020-11-20$44.79$37.0020.2%5.8%32.0%8.4%0.0%4.0%5.1%47.3K-6.0M-7.4K1.00102.74N/AN/A551,9456,610
2020-11-23$44.96$37.0020.0%5.7%30.6%8.0%18.0%7.0%4.8%41.9K-3.1M-7.6K0.00102.76N/AN/A1001,1755,055
2020-11-24$45.26$37.0021.9%6.3%30.6%10.8%0.0%6.2%1.9%36.6K-3.2M-7.5K0.00104.63N/AN/A001,1705,060
2020-11-25$44.81$37.0021.7%6.2%28.3%10.6%20.8%-0.3%0.8%27.6K-3.0M-8.0K1.00104.36N/AN/A551,1705,060
2020-11-27$45.34$37.0021.1%6.1%27.0%9.8%0.0%4.6%2.6%121.4K-3.5M-5.8K0.00103.83N/AN/A1001,1755,065
2020-11-30$44.98$37.0023.0%6.6%26.4%12.5%0.0%6.2%0.5%78.0K-3.4M-6.6K0.00104.01N/AN/A001,1755,065