IHDG Options History — November 2016 In November 2016, IHDG traded between $24.82 and $25.67. ATM implied volatility averaged 22.7%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 11.0% (HV 20d: 11.7%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days.
Notable Days 2016-11-29 : Largest IV spike — 713.8% change2016-11-29 : Highest IV Rank — 67.1%2016-11-01 : Largest Expected Move — 5.7%Monthly Statistics Metric Avg Min Max Open Close Price $25.37 $24.82 $25.67 $25.43 $25.67 ATM IV 22.7% 13.5% 134.1% 19.8% 17.7% Expected Move 4.7% 3.9% 5.7% 5.7% 5.1% HV 20d 11.7% 8.3% 13.2% 8.3% 12.4% HV 60d 11.9% 10.9% 12.4% 11.1% 12.0% IV Rank 9.5% 4.7% 67.1% 7.9% 6.9% IV Percentile 51.8% 15.9% 93.3% 61.9% 61.5% Term Structure 49.5% -6.3% 90.6% -2.6% -6.3% Skew 25d 4.0% 1.3% 23.0% 2.5% 1.3% Skew 10d 3.8% -0.6% 23.0% 4.8% 5.3% Call IV 25d 21.7% 13.8% 140.9% 18.9% 19.5% Put IV 25d 25.6% 17.0% 164.0% 21.4% 20.9% Bid-Ask Spread % 138.86 126.12 183.27 133.41 139.64 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 2016-11-01 $25.43 $0.00 19.8% 5.7% 8.3% 7.9% 0.0% 2.5% -2.6% 0 0 0 0.00 133.41 N/A N/A 0 0 0 0 2016-11-02 $25.27 $0.00 18.9% 5.4% 8.4% 7.5% 0.0% 4.8% 0.5% 0 0 0 0.00 133.93 N/A N/A 0 0 0 0 2016-11-03 $25.06 $0.00 19.7% 4.9% 8.7% 8.0% 0.0% 2.8% 79.8% 0 0 0 0.00 132.75 N/A N/A 0 0 0 0 2016-11-04 $24.82 $0.00 20.8% 5.1% 8.7% 8.5% 0.0% 7.2% 86.0% 0 0 0 0.00 126.12 N/A N/A 0 0 0 0 2016-11-07 $25.26 $0.00 23.6% 5.5% 11.0% 10.0% 0.0% 2.4% 78.1% 0 0 0 0.00 126.28 N/A N/A 0 0 0 0 2016-11-08 $25.44 $0.00 23.4% 4.6% 11.4% 9.9% 0.0% 3.8% 80.6% 0 0 0 0.00 136.06 N/A N/A 0 0 0 0 2016-11-09 $25.60 $0.00 13.5% 3.9% 11.7% 4.7% 0.0% 3.2% 86.1% 0 0 0 0.00 138.72 N/A N/A 0 0 0 0 2016-11-10 $25.22 $0.00 15.0% 4.3% 12.7% 5.5% 0.0% 3.2% 84.1% 0 0 0 0.00 138.09 N/A N/A 0 0 0 0 2016-11-11 $25.16 $0.00 15.6% 4.5% 12.5% 5.8% 0.0% 2.3% 90.6% 0 0 0 0.00 137.05 N/A N/A 0 0 0 0 2016-11-14 $25.14 $0.00 15.2% 4.3% 12.2% 5.6% 0.0% 2.9% 86.8% 0 0 0 0.00 138.40 N/A N/A 0 0 0 0 2016-11-15 $25.38 $0.00 14.7% 4.2% 12.2% 5.4% 0.0% 3.4% 85.8% 0 0 0 0.00 138.43 N/A N/A 0 0 0 0 2016-11-16 $25.18 $0.00 15.2% 4.4% 12.3% 5.6% 0.0% 2.4% 87.5% 0 0 0 0.00 139.19 N/A N/A 0 0 0 0 2016-11-17 $25.44 $0.00 14.6% 4.2% 13.0% 5.3% 0.0% 2.9% 86.6% 0 0 0 0.00 139.16 N/A N/A 0 0 0 0 2016-11-18 $25.46 $0.00 15.8% 4.5% 13.0% 5.9% 0.0% 2.4% 85.1% 0 0 0 0.00 139.72 N/A N/A 0 0 0 0 2016-11-21 $25.48 $0.00 16.2% 4.6% 13.0% 6.1% 0.0% 2.9% -3.2% 0 0 0 0.00 139.04 N/A N/A 0 0 0 0 2016-11-22 $25.48 $0.00 16.0% 4.6% 13.0% 6.0% 0.0% 2.6% -4.1% 0 0 0 0.00 140.71 N/A N/A 0 0 0 0 2016-11-23 $25.46 $0.00 15.9% 4.6% 12.9% 6.0% 0.0% 2.6% -3.4% 0 0 0 0.00 140.46 N/A N/A 0 0 0 0 2016-11-25 $25.64 $0.00 14.9% 4.3% 13.2% 5.5% 0.0% 2.1% -3.2% 0 0 0 0.00 137.66 N/A N/A 0 0 0 0 2016-11-28 $25.54 $0.00 16.5% 4.7% 12.9% 6.3% 0.0% 2.5% -4.3% 0 0 0 0.00 138.01 N/A N/A 0 0 0 0 2016-11-29 $25.63 $0.00 134.1% 0.0% 13.0% 67.1% 0.0% 23.0% 0.0% 0 0 0 0.00 183.27 N/A N/A 0 0 0 0 2016-11-30 $25.67 $0.00 17.7% 5.1% 12.4% 6.9% 0.0% 1.3% -6.3% 0 0 0 0.00 139.64 N/A N/A 0 0 0 0
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