IHDG Options History — January 2016

In January 2016, IHDG traded between $24.29 and $26.03. ATM implied volatility averaged 23.7%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.7% (HV 20d: 21.0%). Max pain ranged from $26.75 to $26.75. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 7 of 19 days.

Notable Days

  • 2016-01-04: Highest Volume — 3 contracts
  • 2016-01-28: Largest IV spike — 416.4% change
  • 2016-01-20: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.09$24.29$26.03$26.03$25.54
Max Pain$26.75$26.75$26.75$26.75$26.75
ATM IV23.7%4.3%34.0%21.8%19.2%
Expected Move6.2%1.2%7.5%5.7%5.5%
HV 20d21.0%19.2%23.5%20.3%23.2%
HV 60d17.9%16.4%19.0%16.4%19.0%
Term Structure7.4%-1.5%142.4%0.5%-0.3%
VWIV25.8%13.6%183.4%14.5%17.0%
Skew 25d8.3%3.8%15.7%5.9%9.2%
Skew 10d6.4%3.7%15.7%3.8%6.0%
Call IV 25d24.5%13.9%147.6%16.5%17.6%
Put IV 25d32.8%20.8%163.3%22.3%26.7%
Bid-Ask Spread %112.71106.17166.87109.29112.02
Gamma HHI1.001.001.001.001.00
Net GEX-271-416-59-416-407
Net DEX6.1K3.4K7.0K5.0K6.4K
Net VEX-6-10-3-10-5
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume33333
Total OI33333

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$26.03$26.7521.8%5.7%20.3%0.0%14.5%5.9%0.5%-4165.0K-100.00109.29N/AN/A0303
2016-01-05$26.00$26.7522.0%5.8%19.2%0.0%13.6%8.4%-0.2%-4115.1K-100.00112.13N/AN/A0303
2016-01-06$25.62$26.7523.5%5.8%19.7%0.0%14.8%6.0%-0.1%-3815.7K-90.00110.92N/AN/A0303
2016-01-07$25.08$26.7526.2%7.1%20.1%0.0%16.8%7.4%-1.2%-2886.0K-70.00107.32N/AN/A0303
2016-01-08$24.85$26.7529.1%6.9%19.7%0.0%16.2%4.3%-1.4%-2586.3K-60.00107.45N/AN/A0303
2016-01-11$25.03$26.7534.0%6.9%19.9%0.0%16.6%8.1%-1.5%-2796.3K-60.00108.22N/AN/A0303
2016-01-12$25.29$26.7530.9%4.7%19.3%0.0%14.5%4.9%1.6%-3186.0K-70.00111.86N/AN/A0303
2016-01-13$24.84$26.7522.9%6.6%20.1%0.0%16.0%5.3%-0.4%-2516.5K-50.00108.56N/AN/A0303
2016-01-14$25.06$26.7521.9%6.3%19.4%0.0%16.2%9.4%0.1%-2896.2K-60.00111.94N/AN/A0303
2016-01-15$24.29$26.7524.2%6.9%20.1%0.0%19.9%10.9%-1.2%-1676.6K-40.00106.17N/AN/A0303
2016-01-19$24.63$26.7523.3%6.7%21.2%0.0%18.1%12.4%-1.2%-1597.0K-30.00107.47N/AN/A0303
2016-01-20$24.30$26.7526.2%7.5%20.9%0.0%21.6%13.4%1.0%-1626.7K-30.00106.79N/AN/A0303
2016-01-21$24.41$26.7525.4%7.3%20.9%0.0%18.5%12.1%2.8%-1636.8K-30.00106.64N/AN/A0303
2016-01-22$25.11$26.7523.9%6.8%23.5%0.0%17.4%10.9%-0.6%-2786.7K-40.00110.40N/AN/A0303
2016-01-25$24.96$26.7524.8%7.1%22.7%0.0%18.6%3.8%-0.4%-2436.8K-30.00111.75N/AN/A0303
2016-01-26$25.22$26.7524.6%7.1%23.2%0.0%16.9%6.3%-0.1%-2956.7K-40.00112.98N/AN/A0303
2016-01-27$25.21$26.754.3%1.2%23.2%0.0%183.4%15.7%142.4%-593.4K-70.00166.87N/AN/A0303
2016-01-28$25.18$26.7522.4%6.4%22.4%0.0%19.8%4.0%0.5%-3216.4K-40.00112.67N/AN/A0303
2016-01-29$25.54$26.7519.2%5.5%23.2%0.0%17.0%9.2%-0.3%-4076.4K-50.00112.02N/AN/A0303