IHF Options History — December 2020

In December 2020, IHF traded between $45.34 and $46.96. ATM implied volatility averaged 23.1%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 7.2% (HV 20d: 16.0%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.60.

Notable Days

  • 2020-12-28: Highest Volume — 4,195 contracts
  • 2020-12-07: Largest IV spike — 24.9% change
  • 2020-12-22: Highest IV Rank — 17.3%
  • 2020-12-22: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.27$45.34$46.96$45.34$46.91
Max Pain$39.50$30.00$45.00$37.00$45.00
ATM IV23.1%19.3%27.0%21.2%23.4%
Expected Move6.7%5.7%7.7%6.1%6.7%
HV 20d16.0%13.5%25.2%25.2%13.5%
HV 60d22.9%21.4%24.4%24.4%21.4%
IV Rank12.1%7.0%17.3%9.9%11.5%
IV Percentile36.5%15.5%60.3%26.6%35.3%
Term Structure0.1%-3.0%4.2%4.2%-0.6%
VWIV22.9%20.9%24.7%20.9%24.6%
Skew 25d4.4%-0.5%11.3%1.7%5.8%
Skew 10d6.0%-2.0%13.3%4.7%7.0%
Call IV 25d20.7%13.4%24.5%20.1%19.9%
Put IV 25d25.1%21.8%28.0%21.8%25.7%
Bid-Ask Spread %100.9894.78104.85103.5894.78
Gamma HHI0.380.150.950.230.94
Net GEX-281.9K-2.2M300.0K104.4K-1.9M
Net DEX-1.4M-4.1M7.1M-3.6M5.7M
Net VEX-9.9K-30.3K-4.6K-6.0K-27.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.600.0018.290.000.00
Total Volume415.22704,19550
Total OI5,764.5459708,8406,2408,840

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$45.34$37.0021.2%6.1%25.2%9.9%20.9%1.7%4.2%104.4K-3.6M-6.0K0.00103.58N/AN/A051,1755,065
2020-12-02$45.92$37.0020.0%5.7%21.7%8.1%0.0%2.3%3.0%110.6K-3.7M-5.6K0.00104.85N/AN/A001,1755,065
2020-12-03$46.10$42.0021.3%6.5%15.4%10.1%0.0%7.2%0.7%111.6K-3.8M-5.7K0.0099.65N/AN/A21001,1755,065
2020-12-04$46.91$42.0019.3%6.1%16.3%7.0%0.0%11.3%0.2%91.8K-4.1M-6.0K0.00100.64N/AN/A5001,2855,065
2020-12-07$46.48$42.0024.1%6.8%16.8%14.2%0.0%4.2%0.6%103.4K-3.9M-5.5K0.00100.29N/AN/A501,2055,065
2020-12-08$46.96$42.0020.8%6.3%16.2%9.1%0.0%5.6%0.3%93.4K-4.0M-5.0K0.00100.00N/AN/A001,2005,065
2020-12-09$46.66$42.0022.8%6.5%16.2%12.1%23.0%3.9%-0.5%102.3K-3.9M-5.5K0.00100.61N/AN/A501,2005,065
2020-12-10$46.55$42.0023.4%6.7%16.1%13.0%0.0%3.3%-0.4%107.2K-3.8M-5.4K0.00101.18N/AN/A501,2055,065
2020-12-11$46.01$42.0024.2%6.9%16.6%14.2%0.0%3.3%-0.7%108.8K-3.7M-5.4K0.00100.36N/AN/A001,2105,065
2020-12-14$45.68$42.0023.1%6.6%15.6%12.5%0.0%4.0%0.9%110.8K-2.9M-5.2K0.00101.67N/AN/A4501,0405,065
2020-12-15$46.04$42.0023.9%6.8%15.9%13.7%0.0%5.2%0.1%116.8K-3.0M-5.1K0.00102.55N/AN/A20001,0455,065
2020-12-16$45.91$42.0023.8%6.8%15.3%13.6%0.0%2.5%0.1%115.2K-2.9M-5.5K0.00102.79N/AN/A20001,1455,065
2020-12-17$46.37$30.0022.8%6.5%14.8%12.0%21.4%2.5%0.9%114.1K-3.2M-5.6K0.08102.69N/AN/A120101,2805,065
2020-12-18$45.95$30.0023.6%6.8%14.3%13.2%0.0%4.3%-1.7%300.0K-3.2M-5.4K1.00102.70N/AN/A20201,2955,065
2020-12-21$45.78$30.0026.4%7.6%14.4%16.4%0.0%4.1%-1.8%43.7K-2.1M-4.6K3.00101.23N/AN/A1545815155
2020-12-22$45.83$30.0027.0%7.7%14.4%17.3%0.0%-0.5%-3.0%39.4K-2.0M-5.1K0.00102.57N/AN/A250830200
2020-12-23$46.56$30.0022.3%6.4%15.2%10.0%24.7%3.1%0.9%41.8K-2.1M-5.0K18.29102.84N/AN/A2053,750830200
2020-12-24$46.36$45.0024.8%7.1%14.8%13.9%0.0%6.2%-1.0%-888.3K3.2M-21.2K0.00104.37N/AN/A509353,950
2020-12-28$46.56$45.0024.1%6.9%14.4%12.6%24.6%5.3%-0.2%-960.3K2.5M-18.7K0.0098.14N/AN/A04,1958903,950
2020-12-29$46.52$45.0022.7%6.5%14.0%10.4%0.0%5.5%-0.4%-2.1M7.0M-30.3K0.0097.63N/AN/A008907,950
2020-12-30$46.45$45.0024.0%6.9%13.8%12.5%0.0%5.5%-0.6%-2.2M7.1M-29.5K0.0096.42N/AN/A008907,950
2020-12-31$46.91$45.0023.4%6.7%13.5%11.5%0.0%5.8%-0.6%-1.9M5.7M-27.4K0.0094.78N/AN/A008907,950