IHDG Options History — September 2016 In September 2016, IHDG traded between $25.94 and $26.80. ATM implied volatility averaged 15.7%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.9% (HV 20d: 11.8%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days.
Notable Days 2016-09-29 : Largest IV spike — 99.8% change2016-09-13 : Highest IV Rank — 11.3%2016-09-29 : Largest Expected Move — 7.0%Monthly Statistics Metric Avg Min Max Open Close Price $26.40 $25.94 $26.80 $26.40 $26.41 ATM IV 15.7% 10.7% 26.4% 14.2% 14.1% Expected Move 4.1% 3.0% 7.0% 4.1% 4.0% HV 20d 11.8% 8.5% 15.5% 8.5% 15.5% HV 60d 15.3% 11.2% 18.5% 18.4% 11.7% IV Rank 5.9% 3.2% 11.3% 5.3% 5.0% IV Percentile 27.9% 1.2% 69.4% 19.4% 19.4% Term Structure 1.4% -1.9% 3.3% 0.6% 1.0% Skew 25d 2.6% 1.2% 4.1% 1.7% 2.8% Skew 10d 3.2% 1.4% 5.7% 1.8% 3.8% Call IV 25d 13.2% 10.3% 27.4% 15.1% 12.9% Put IV 25d 15.8% 13.0% 29.4% 16.8% 15.7% Bid-Ask Spread % 129.03 118.92 165.68 128.61 130.20 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 2016-09-01 $26.40 $0.00 14.2% 4.1% 8.5% 5.3% 0.0% 1.7% 0.6% 0 0 0 0.00 128.61 N/A N/A 0 0 0 0 2016-09-02 $26.75 $0.00 12.9% 3.7% 9.5% 4.6% 0.0% 2.5% -1.9% 0 0 0 0.00 132.65 N/A N/A 0 0 0 0 2016-09-06 $26.66 $0.00 14.3% 3.3% 9.4% 5.4% 0.0% 2.2% 2.0% 0 0 0 0.00 128.28 N/A N/A 0 0 0 0 2016-09-07 $26.69 $0.00 14.4% 3.0% 9.0% 5.4% 0.0% 2.5% 2.1% 0 0 0 0.00 129.81 N/A N/A 0 0 0 0 2016-09-08 $26.69 $0.00 15.3% 3.1% 8.9% 5.6% 0.0% 2.8% 3.3% 0 0 0 0.00 129.82 N/A N/A 0 0 0 0 2016-09-09 $26.16 $0.00 17.2% 4.2% 10.5% 6.6% 0.0% 1.9% 1.2% 0 0 0 0.00 123.73 N/A N/A 0 0 0 0 2016-09-12 $26.37 $0.00 22.9% 4.0% 11.0% 9.6% 0.0% 4.1% 2.9% 0 0 0 0.00 126.75 N/A N/A 0 0 0 0 2016-09-13 $26.11 $0.00 26.4% 4.8% 11.4% 11.3% 0.0% 1.8% 0.4% 0 0 0 0.00 118.92 N/A N/A 0 0 0 0 2016-09-14 $25.94 $0.00 16.2% 4.7% 11.0% 6.1% 0.0% 1.9% 1.0% 0 0 0 0.00 122.83 N/A N/A 0 0 0 0 2016-09-15 $26.21 $0.00 15.3% 4.4% 11.7% 5.6% 0.0% 3.4% 1.0% 0 0 0 0.00 122.98 N/A N/A 0 0 0 0 2016-09-16 $26.17 $0.00 15.2% 4.4% 11.7% 5.6% 0.0% 2.5% 1.8% 0 0 0 0.00 124.79 N/A N/A 0 0 0 0 2016-09-19 $26.23 $0.00 15.3% 4.4% 11.7% 5.7% 0.0% 3.1% 0.9% 0 0 0 0.00 123.63 N/A N/A 0 0 0 0 2016-09-20 $26.36 $0.00 14.7% 4.2% 11.8% 5.3% 0.0% 3.9% 2.9% 0 0 0 0.00 124.64 N/A N/A 0 0 0 0 2016-09-21 $26.50 $0.00 14.7% 4.2% 12.0% 5.3% 0.0% 3.4% 1.4% 0 0 0 0.00 127.30 N/A N/A 0 0 0 0 2016-09-22 $26.80 $0.00 10.7% 3.1% 12.6% 3.2% 0.0% 2.4% 2.8% 0 0 0 0.00 130.42 N/A N/A 0 0 0 0 2016-09-23 $26.64 $0.00 11.1% 3.2% 12.7% 3.5% 0.0% 2.9% 3.1% 0 0 0 0.00 130.14 N/A N/A 0 0 0 0 2016-09-26 $26.18 $0.00 14.0% 4.0% 14.2% 5.0% 0.0% 1.2% 0.3% 0 0 0 0.00 130.72 N/A N/A 0 0 0 0 2016-09-27 $26.33 $0.00 13.3% 3.8% 14.2% 4.6% 0.0% 2.6% 2.4% 0 0 0 0.00 128.27 N/A N/A 0 0 0 0 2016-09-28 $26.59 $0.00 12.2% 3.5% 14.5% 4.0% 0.0% 2.4% -0.2% 0 0 0 0.00 129.52 N/A N/A 0 0 0 0 2016-09-29 $26.22 $0.00 24.4% 7.0% 15.3% 10.3% 0.0% 2.0% 0.3% 0 0 0 0.00 165.68 N/A N/A 0 0 0 0 2016-09-30 $26.41 $0.00 14.1% 4.0% 15.5% 5.0% 0.0% 2.8% 1.0% 0 0 0 0.00 130.20 N/A N/A 0 0 0 0
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