IHDG Options History — April 2016

In April 2016, IHDG traded between $25.19 and $26.50. ATM implied volatility averaged 16.8%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 12.5%). Max pain ranged from $24.75 to $24.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days.

Notable Days

  • 2016-04-01: Highest Volume — 3 contracts
  • 2016-04-13: Largest IV drop — 37.6% change
  • 2016-04-12: Highest IV Rank — 11.8%
  • 2016-04-07: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.85$25.19$26.50$25.50$25.62
Max Pain$24.75$24.75$24.75$24.75$24.75
ATM IV16.8%12.4%26.8%15.7%16.4%
Expected Move4.4%3.6%5.4%4.5%4.7%
HV 20d12.5%10.7%14.7%11.5%14.6%
HV 60d17.3%15.8%19.3%19.3%15.9%
IV Rank6.7%4.4%11.8%6.1%6.5%
IV Percentile21.9%5.7%53.9%19.3%25.5%
Term Structure33.7%-1.1%70.7%-0.9%-1.1%
VWIV17.3%13.8%19.4%13.8%16.9%
Skew 25d2.5%0.8%4.7%2.6%0.8%
Skew 10d3.4%2.1%4.6%3.8%2.1%
Call IV 25d13.8%12.5%16.0%14.4%16.0%
Put IV 25d16.3%14.2%19.0%17.0%16.8%
Bid-Ask Spread %121.96116.11131.33131.33124.17
Gamma HHI1.001.001.001.001.00
Net GEX-400-519-238-514-519
Net DEX1.5K6352.8K2.2K1.4K
Net VEX-6-10-4-10-5
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume33333
Total OI33333

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$25.50$0.0015.7%4.5%11.5%6.1%0.0%2.6%-0.9%-5142.2K-100.00131.33N/AN/A0303
2016-04-04$25.49$24.7518.5%4.2%11.2%7.5%13.8%0.9%67.5%-4912.1K-90.00121.75N/AN/A0303
2016-04-05$25.19$24.7518.7%5.1%11.8%7.6%18.0%2.3%66.9%-4542.7K-100.00116.24N/AN/A0303
2016-04-06$25.52$24.7518.4%4.3%12.6%7.5%18.6%4.7%70.2%-5062.1K-90.00117.74N/AN/A0303
2016-04-07$25.25$24.7519.1%5.4%12.8%7.8%18.9%3.1%66.1%-4492.8K-100.00116.11N/AN/A0303
2016-04-08$25.43$24.7519.7%4.5%12.6%8.1%19.4%4.7%67.4%-4912.2K-90.00116.16N/AN/A0303
2016-04-11$25.41$24.7526.2%4.5%10.7%11.4%14.7%1.1%69.3%-5092.1K-80.00121.86N/AN/A0303
2016-04-12$25.61$24.7526.8%4.6%11.0%11.8%15.3%2.0%70.7%-4511.8K-80.00119.83N/AN/A0303
2016-04-13$25.99$24.7516.7%4.8%12.0%6.6%16.3%3.5%68.1%-3831.3K-60.00120.64N/AN/A0303
2016-04-14$26.01$24.7516.8%4.8%12.0%6.6%15.9%2.7%68.3%-3661.3K-60.00120.05N/AN/A0303
2016-04-15$25.95$24.7516.4%4.7%12.0%6.4%15.9%2.8%69.4%-3801.3K-60.00120.44N/AN/A0303
2016-04-18$26.15$24.7514.6%4.2%12.2%5.5%16.1%3.0%3.3%-3911.0K-50.00122.41N/AN/A0303
2016-04-19$26.48$24.7512.4%3.6%12.8%4.4%17.6%2.1%5.1%-252725-40.00124.46N/AN/A0303
2016-04-20$26.50$24.7513.4%3.9%12.8%4.9%18.0%1.3%3.2%-238635-40.00124.17N/AN/A0303
2016-04-21$26.25$24.7514.5%4.2%13.4%5.5%18.0%2.1%1.5%-309982-40.00123.57N/AN/A0303
2016-04-22$26.28$24.7512.8%3.7%13.1%4.6%18.5%2.3%4.5%-300922-40.00123.66N/AN/A0303
2016-04-25$26.13$24.7514.5%4.2%13.4%5.5%18.7%3.0%2.6%-3371.0K-40.00123.43N/AN/A0303
2016-04-26$26.13$24.7514.8%4.2%13.3%5.6%19.0%3.6%2.5%-3361.0K-40.00123.62N/AN/A0303
2016-04-27$26.26$24.7512.7%3.6%13.1%4.5%19.1%2.2%3.5%-290756-40.00123.30N/AN/A0303
2016-04-28$25.70$24.7514.2%4.1%14.7%5.4%17.7%1.7%0.3%-4361.1K-40.00126.25N/AN/A0303
2016-04-29$25.62$24.7516.4%4.7%14.6%6.5%16.9%0.8%-1.1%-5191.4K-50.00124.17N/AN/A0303