IHDG Options History — March 2016

In March 2016, IHDG traded between $25.34 and $25.96. ATM implied volatility averaged 14.4%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.1% (HV 20d: 16.5%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days.

Notable Days

  • 2016-03-01: Highest Volume — 3 contracts
  • 2016-03-09: Largest IV drop — 34.4% change
  • 2016-03-08: Highest IV Rank — 8.5%
  • 2016-03-08: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.66$25.34$25.96$25.71$25.68
ATM IV14.4%12.0%20.4%14.7%14.0%
Expected Move4.0%3.4%5.2%4.2%4.0%
HV 20d16.5%10.7%22.2%22.2%11.2%
HV 60d20.3%19.2%22.0%22.0%19.2%
IV Rank5.4%4.2%8.5%5.8%5.2%
IV Percentile10.0%4.3%24.2%8.7%13.2%
Term Structure2.0%-1.7%5.0%-0.3%-0.5%
Skew 25d2.8%1.0%6.3%6.3%1.0%
Skew 10d4.2%3.0%6.4%4.4%3.2%
Call IV 25d14.2%12.2%17.0%17.0%15.7%
Put IV 25d17.0%14.6%23.3%23.3%16.7%
Bid-Ask Spread %127.35119.76132.02119.90131.27
Gamma HHI1.001.001.001.001.00
Net GEX-402-496-310-310-451
Net DEX2.2K1.4K2.9K2.6K1.7K
Net VEX-11-13-8-13-8
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume33333
Total OI33333

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$25.71$0.0014.7%4.2%22.2%0.0%0.0%6.3%-0.3%-3102.6K-130.00119.90N/AN/A0303
2016-03-02$25.55$0.0015.7%4.5%21.1%0.0%0.0%2.5%1.4%-3332.8K-130.00124.86N/AN/A0303
2016-03-03$25.56$0.0015.0%3.4%20.9%0.0%0.0%4.2%4.2%-3502.7K-130.00124.45N/AN/A0303
2016-03-04$25.72$0.0015.2%3.6%20.3%5.8%0.0%4.2%3.2%-3952.3K-120.00126.15N/AN/A0303
2016-03-07$25.57$0.0017.5%3.7%20.3%7.0%0.0%4.1%3.4%-3642.6K-130.00125.53N/AN/A0303
2016-03-08$25.41$0.0020.4%5.2%18.6%8.5%0.0%4.3%-1.7%-3512.8K-130.00121.89N/AN/A0303
2016-03-09$25.60$0.0013.4%3.8%18.0%4.9%0.0%3.9%3.6%-3472.6K-120.00125.14N/AN/A0303
2016-03-10$25.34$0.0016.6%4.7%18.4%6.5%0.0%1.0%0.4%-3802.9K-130.00119.76N/AN/A0303
2016-03-11$25.80$0.0012.4%3.6%18.5%4.4%0.0%3.8%1.8%-4652.0K-100.00123.99N/AN/A0303
2016-03-14$25.90$0.0014.2%4.1%18.2%5.3%0.0%3.4%5.0%-4141.9K-100.00128.69N/AN/A0303
2016-03-15$25.74$0.0015.0%4.3%16.3%5.8%0.0%1.6%1.7%-4062.2K-110.00123.47N/AN/A0303
2016-03-16$25.78$0.0013.5%3.9%15.2%5.0%0.0%2.6%4.0%-4082.1K-100.00130.10N/AN/A0303
2016-03-17$25.68$0.0013.9%4.0%15.3%5.2%0.0%3.2%3.4%-4962.1K-100.00128.67N/AN/A0303
2016-03-18$25.70$0.0012.5%3.6%15.3%4.5%0.0%2.8%3.8%-4772.1K-100.00131.19N/AN/A0303
2016-03-21$25.62$0.0012.7%3.6%14.8%4.5%0.0%1.6%2.2%-4292.1K-110.00130.23N/AN/A0303
2016-03-22$25.67$0.0012.0%3.5%13.8%4.2%0.0%1.8%2.5%-4111.9K-100.00132.02N/AN/A0303
2016-03-23$25.68$0.0012.3%3.5%13.7%4.4%0.0%1.2%2.5%-4212.0K-100.00131.69N/AN/A0303
2016-03-24$25.53$0.0013.9%4.0%13.7%5.2%0.0%2.1%0.9%-3962.4K-110.00131.00N/AN/A0303
2016-03-28$25.60$0.0013.8%3.9%13.7%5.1%0.0%1.8%-0.1%-3982.3K-100.00130.76N/AN/A0303
2016-03-29$25.74$0.0013.8%4.0%13.7%5.1%0.0%2.8%1.9%-4761.8K-90.00131.97N/AN/A0303
2016-03-30$25.96$0.0014.8%4.2%10.7%5.6%0.0%1.6%0.3%-3701.4K-80.00128.98N/AN/A0303
2016-03-31$25.68$0.0014.0%4.0%11.2%5.2%0.0%1.0%-0.5%-4511.7K-80.00131.27N/AN/A0303