IHDG Options History — June 2016 In June 2016, IHDG traded between $24.24 and $26.59. ATM implied volatility averaged 22.3%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 6.9% (HV 20d: 15.4%). Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2016-06-23 : Highest Volume — 10 contracts2016-06-09 : Largest IV spike — 43.4% change2016-06-27 : Highest IV Rank — 14.0%2016-06-27 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $25.62 $24.24 $26.59 $26.42 $25.67 ATM IV 22.3% 12.7% 31.2% 14.9% 16.0% Expected Move 6.4% 3.6% 9.0% 4.3% 4.6% HV 20d 15.4% 9.3% 28.8% 10.3% 28.8% HV 60d 13.9% 11.4% 19.1% 12.2% 19.1% IV Rank 9.5% 4.5% 14.0% 5.7% 6.2% IV Percentile 47.5% 7.8% 67.8% 21.9% 28.4% Term Structure -2.1% -7.5% 3.3% 3.3% 1.0% Skew 25d 5.1% -0.7% 11.8% 3.9% 5.2% Skew 10d 5.1% 0.6% 11.1% 3.3% 3.6% Call IV 25d 18.9% 13.1% 33.7% 13.3% 17.8% Put IV 25d 24.0% 16.0% 34.0% 17.2% 23.0% Bid-Ask Spread % 113.17 89.62 129.89 129.89 123.02 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 272 0 1.3K 0 1.3K Net DEX -2.8K -16.7K 0 0 -16.7K Net VEX -8 -38 0 0 -35 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 2.727 0 10 0 10 Total OI 2.273 0 10 0 10
Daily Data (22 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 2016-06-01 $26.42 $0.00 14.9% 4.3% 10.3% 5.7% 0.0% 3.9% 3.3% 0 0 0 0.00 129.89 N/A N/A 0 0 0 0 2016-06-02 $26.43 $0.00 16.0% 5.0% 9.8% 6.2% 0.0% 3.5% 0.2% 0 0 0 0.00 121.22 N/A N/A 0 0 0 0 2016-06-03 $26.31 $0.00 15.0% 4.7% 10.1% 5.7% 0.0% 3.0% -0.6% 0 0 0 0.00 122.69 N/A N/A 0 0 0 0 2016-06-06 $26.49 $0.00 16.3% 4.4% 10.2% 6.4% 0.0% 3.5% 2.6% 0 0 0 0.00 123.25 N/A N/A 0 0 0 0 2016-06-07 $26.59 $0.00 14.8% 3.6% 10.0% 5.6% 0.0% 3.7% 2.1% 0 0 0 0.00 122.85 N/A N/A 0 0 0 0 2016-06-08 $26.53 $0.00 12.7% 3.6% 9.5% 4.5% 0.0% 2.9% 1.4% 0 0 0 0.00 125.28 N/A N/A 0 0 0 0 2016-06-09 $26.33 $0.00 18.2% 5.2% 9.3% 7.4% 0.0% 2.9% -1.0% 0 0 0 0.00 118.34 N/A N/A 0 0 0 0 2016-06-10 $25.76 $0.00 20.8% 6.0% 12.3% 8.7% 0.0% 5.7% -2.1% 0 0 0 0.00 110.16 N/A N/A 0 0 0 0 2016-06-13 $25.28 $0.00 26.3% 7.5% 13.9% 11.5% 0.0% -0.7% -3.7% 0 0 0 0.00 110.49 N/A N/A 0 0 0 0 2016-06-14 $25.02 $0.00 27.4% 7.9% 13.6% 12.1% 0.0% 7.6% -3.9% 0 0 0 0.00 103.11 N/A N/A 0 0 0 0 2016-06-15 $25.06 $0.00 28.3% 8.1% 13.6% 12.6% 0.0% 6.2% -4.3% 0 0 0 0.00 102.11 N/A N/A 0 0 0 0 2016-06-16 $25.13 $0.00 28.7% 8.2% 13.7% 12.7% 0.0% 6.5% -4.5% 0 0 0 0.00 104.55 N/A N/A 0 0 0 0 2016-06-17 $25.18 $0.00 28.3% 8.1% 13.7% 12.5% 0.0% 6.3% -4.6% 0 0 0 0.00 104.06 N/A N/A 0 0 0 0 2016-06-20 $25.35 $0.00 28.1% 8.1% 13.7% 12.4% 0.0% 10.1% -5.5% 0 0 0 0.00 102.48 N/A N/A 0 0 0 0 2016-06-21 $25.63 $0.00 24.8% 7.1% 14.4% 10.8% 0.0% 6.5% -4.7% 0 0 0 0.00 110.24 N/A N/A 0 0 0 0 2016-06-22 $25.54 $0.00 28.6% 8.2% 13.1% 12.7% 0.0% 7.2% -7.5% 0 0 0 0.00 103.97 N/A N/A 0 0 0 0 2016-06-23 $26.04 $0.00 22.5% 6.5% 15.0% 9.6% 0.0% 11.8% -4.4% 0 0 0 0.00 116.12 N/A N/A 10 0 0 0 2016-06-24 $24.59 $0.00 28.0% 8.0% 25.1% 12.4% 0.0% 0.3% -3.7% 1.0K -10.9K -38 0.00 89.62 N/A N/A 10 0 10 0 2016-06-27 $24.24 $0.00 31.2% 9.0% 25.1% 14.0% 0.0% 5.5% -3.9% 1.0K -9.2K -35 0.00 108.08 N/A N/A 10 0 10 0 2016-06-28 $24.81 $0.00 23.2% 6.6% 26.9% 9.9% 0.0% 5.9% -1.7% 1.2K -11.5K -37 0.00 115.22 N/A N/A 10 0 10 0 2016-06-29 $25.17 $0.00 20.8% 5.9% 27.7% 8.7% 0.0% 3.9% -0.4% 1.3K -14.1K -37 0.00 122.98 N/A N/A 10 0 10 0 2016-06-30 $25.67 $0.00 16.0% 4.6% 28.8% 6.2% 0.0% 5.2% 1.0% 1.3K -16.7K -35 0.00 123.02 N/A N/A 10 0 10 0
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