IHDG Options History — September 2015 In September 2015, IHDG traded between $24.39 and $25.47. ATM implied volatility averaged 127.4%. The 30-day expected move averaged 41.4%. IV traded above realized volatility by 108.3% (HV 20d: 19.1%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days.
Notable Days 2015-09-08 : Largest IV spike — 4066.5% change2015-09-22 : Largest Expected Move — 56.4%Monthly Statistics Metric Avg Min Max Open Close Price $24.95 $24.39 $25.47 $24.59 $24.90 ATM IV 127.4% 3.8% 196.8% 4.0% 22.6% Expected Move 41.4% 1.1% 56.4% 1.1% 6.5% HV 20d 19.1% 18.5% 19.6% 19.6% 19.5% Term Structure -31.0% -68.8% 157.4% 157.4% -1.5% Skew 25d 33.8% 2.4% 39.5% 28.6% 2.4% Skew 10d 34.5% 3.9% 42.3% 28.6% 3.9% Call IV 25d 133.5% 19.3% 161.4% 128.4% 19.3% Put IV 25d 167.3% 21.6% 194.0% 157.0% 21.6% Bid-Ask Spread % 182.34 115.33 200.00 167.12 115.33 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 0 0 0 0 0
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2015-09-01 $24.59 $0.00 4.0% 1.1% 0.0% 0.0% 0.0% 28.6% 157.4% 0 0 0 0.00 167.12 N/A N/A 0 0 0 0 2015-09-02 $25.04 $0.00 7.9% 2.3% 0.0% 0.0% 0.0% 33.7% 147.5% 0 0 0 0.00 160.37 N/A N/A 0 0 0 0 2015-09-03 $25.14 $0.00 6.6% 45.0% 0.0% 0.0% 0.0% 34.7% -37.0% 0 0 0 0.00 163.91 N/A N/A 0 0 0 0 2015-09-04 $24.73 $0.00 3.8% 45.1% 0.0% 0.0% 0.0% 30.7% -45.7% 0 0 0 0.00 164.49 N/A N/A 0 0 0 0 2015-09-08 $25.29 $0.00 157.9% 45.3% 0.0% 0.0% 0.0% 36.1% -43.3% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-09-09 $25.15 $0.00 168.9% 48.4% 0.0% 0.0% 0.0% 36.1% -41.4% 0 0 0 0.00 164.87 N/A N/A 0 0 0 0 2015-09-10 $25.25 $0.00 169.9% 48.7% 0.0% 0.0% 0.0% 36.5% -45.4% 0 0 0 0.00 164.88 N/A N/A 0 0 0 0 2015-09-11 $25.23 $0.00 172.1% 49.3% 0.0% 0.0% 0.0% 36.8% -52.4% 0 0 0 0.00 165.36 N/A N/A 0 0 0 0 2015-09-14 $24.91 $0.00 180.5% 51.7% 0.0% 0.0% 0.0% 35.1% -57.0% 0 0 0 0.00 165.51 N/A N/A 0 0 0 0 2015-09-15 $25.17 $0.00 175.3% 50.3% 0.0% 0.0% 0.0% 37.7% -54.6% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-09-16 $25.47 $0.00 177.0% 50.7% 0.0% 0.0% 0.0% 38.6% -55.3% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-17 $25.31 $0.00 180.7% 51.8% 0.0% 0.0% 0.0% 38.6% -58.0% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-18 $25.08 $0.00 184.9% 53.0% 0.0% 0.0% 0.0% 38.3% -61.3% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-09-21 $25.13 $0.00 195.4% 56.0% 0.0% 0.0% 0.0% 39.5% -68.8% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-22 $24.62 $0.00 196.8% 56.4% 0.0% 0.0% 0.0% 33.6% -67.2% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-23 $24.71 $0.00 129.4% 0.0% 19.6% 0.0% 0.0% 35.1% -62.5% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-24 $24.59 $0.00 130.9% 0.0% 19.0% 0.0% 0.0% 33.9% -58.1% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-25 $24.83 $0.00 131.4% 0.0% 18.8% 0.0% 0.0% 37.3% -59.4% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-09-28 $24.50 $0.00 139.1% 0.0% 19.0% 0.0% 0.0% 33.9% -56.9% 0 0 0 0.00 199.82 N/A N/A 0 0 0 0 2015-09-29 $24.39 $0.00 140.8% 0.0% 18.5% 0.0% 0.0% 32.6% 0.0% 0 0 0 0.00 199.64 N/A N/A 0 0 0 0 2015-09-30 $24.90 $0.00 22.6% 6.5% 19.5% 0.0% 0.0% 2.4% -1.5% 0 0 0 0.00 115.33 N/A N/A 0 0 0 0
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