IHDG Options History — October 2016 In October 2016, IHDG traded between $25.69 and $26.49. ATM implied volatility averaged 15.2%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.3% (HV 20d: 11.9%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days.
Notable Days 2016-10-28 : Largest IV spike — 57.1% change2016-10-28 : Highest IV Rank — 9.6%2016-10-28 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $26.12 $25.69 $26.49 $26.37 $25.69 ATM IV 15.2% 12.5% 23.1% 14.2% 16.1% Expected Move 4.4% 3.6% 6.6% 4.1% 4.6% HV 20d 11.9% 8.0% 14.8% 14.7% 8.0% HV 60d 11.0% 10.8% 11.4% 11.4% 11.0% IV Rank 5.6% 4.2% 9.6% 5.1% 6.1% IV Percentile 32.7% 7.1% 70.6% 20.2% 48.8% Term Structure 40.0% -2.7% 74.4% 1.7% -2.7% Skew 25d 2.7% 0.9% 4.3% 3.7% 1.9% Skew 10d 5.2% 3.1% 15.6% 4.1% 5.1% Call IV 25d 14.1% 11.4% 26.1% 13.0% 17.7% Put IV 25d 16.7% 14.9% 29.3% 16.7% 19.6% Bid-Ask Spread % 128.96 121.00 143.21 131.05 136.61 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 2016-10-03 $26.37 $0.00 14.2% 4.1% 14.7% 5.1% 0.0% 3.7% 1.7% 0 0 0 0.00 131.05 N/A N/A 0 0 0 0 2016-10-04 $26.49 $0.00 14.8% 4.3% 14.7% 5.4% 0.0% 2.1% 2.1% 0 0 0 0.00 128.73 N/A N/A 0 0 0 0 2016-10-05 $26.46 $0.00 15.4% 4.4% 14.7% 5.7% 0.0% 2.1% 0.8% 0 0 0 0.00 130.93 N/A N/A 0 0 0 0 2016-10-06 $26.40 $0.00 14.8% 4.5% 14.8% 5.4% 0.0% 4.3% 73.6% 0 0 0 0.00 123.28 N/A N/A 0 0 0 0 2016-10-07 $26.15 $0.00 14.6% 4.5% 13.3% 5.3% 0.0% 3.3% 66.5% 0 0 0 0.00 121.00 N/A N/A 0 0 0 0 2016-10-10 $26.29 $0.00 16.2% 4.4% 13.1% 6.1% 0.0% 3.7% 66.8% 0 0 0 0.00 124.95 N/A N/A 0 0 0 0 2016-10-11 $26.17 $0.00 16.6% 4.6% 12.7% 6.3% 0.0% 2.7% 67.1% 0 0 0 0.00 121.59 N/A N/A 0 0 0 0 2016-10-12 $26.10 $0.00 16.1% 4.6% 12.5% 6.0% 0.0% 3.6% 68.0% 0 0 0 0.00 121.28 N/A N/A 0 0 0 0 2016-10-13 $26.00 $0.00 15.3% 4.4% 12.0% 5.6% 0.0% 2.2% 69.8% 0 0 0 0.00 122.33 N/A N/A 0 0 0 0 2016-10-14 $26.11 $0.00 15.0% 4.3% 12.1% 5.5% 0.0% 3.3% 69.7% 0 0 0 0.00 123.50 N/A N/A 0 0 0 0 2016-10-17 $25.89 $0.00 15.4% 4.4% 12.4% 5.7% 0.0% 1.7% 71.8% 0 0 0 0.00 122.76 N/A N/A 0 0 0 0 2016-10-18 $26.15 $0.00 14.8% 4.2% 12.9% 5.4% 0.0% 3.8% 71.1% 0 0 0 0.00 125.78 N/A N/A 0 0 0 0 2016-10-19 $26.21 $0.00 13.8% 4.0% 12.7% 4.9% 0.0% 2.8% 72.8% 0 0 0 0.00 126.05 N/A N/A 0 0 0 0 2016-10-20 $26.26 $0.00 12.6% 3.6% 12.0% 4.3% 0.0% 3.2% 73.7% 0 0 0 0.00 125.73 N/A N/A 0 0 0 0 2016-10-21 $26.16 $0.00 12.5% 3.6% 11.9% 4.2% 0.0% 2.4% 74.4% 0 0 0 0.00 128.54 N/A N/A 0 0 0 0 2016-10-24 $26.11 $0.00 14.9% 4.3% 10.2% 5.4% 0.0% 1.6% -2.0% 0 0 0 0.00 133.85 N/A N/A 0 0 0 0 2016-10-25 $26.04 $0.00 14.1% 4.0% 10.0% 5.0% 0.0% 1.6% -1.0% 0 0 0 0.00 139.07 N/A N/A 0 0 0 0 2016-10-26 $25.89 $0.00 14.4% 4.1% 9.4% 5.2% 0.0% 1.8% -0.4% 0 0 0 0.00 138.44 N/A N/A 0 0 0 0 2016-10-27 $25.93 $0.00 14.7% 4.2% 8.1% 5.3% 0.0% 0.9% -1.4% 0 0 0 0.00 139.53 N/A N/A 0 0 0 0 2016-10-28 $25.72 $0.00 23.1% 6.6% 8.0% 9.6% 0.0% 3.2% -2.4% 0 0 0 0.00 143.21 N/A N/A 0 0 0 0 2016-10-31 $25.69 $0.00 16.1% 4.6% 8.0% 6.1% 0.0% 1.9% -2.7% 0 0 0 0.00 136.61 N/A N/A 0 0 0 0
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