IHDG Options History — December 2016 In December 2016, IHDG traded between $25.30 and $26.32. ATM implied volatility averaged 16.7%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 6.4% (HV 20d: 10.3%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 5 of 21 days.
Notable Days 2016-12-14 : Largest IV drop — 55.7% change2016-12-13 : Highest IV Rank — 12.8%2016-12-02 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $25.97 $25.30 $26.32 $25.39 $26.31 ATM IV 16.7% 12.1% 29.0% 19.3% 15.3% Expected Move 3.9% 3.4% 5.8% 5.5% 4.4% HV 20d 10.3% 8.5% 12.9% 12.9% 8.5% HV 60d 11.3% 10.3% 12.2% 12.2% 10.3% IV Rank 6.4% 4.0% 12.8% 7.7% 5.6% IV Percentile 42.2% 4.0% 94.0% 66.3% 46.0% Term Structure -1.1% -7.4% 1.3% -6.1% -2.5% Skew 25d 5.1% 1.6% 8.7% 1.6% 8.7% Skew 10d 9.9% 1.4% 17.7% 2.1% 17.7% Call IV 25d 14.0% 12.5% 20.2% 20.2% 14.5% Put IV 25d 19.0% 15.1% 23.6% 21.8% 23.2% Bid-Ask Spread % 183.14 136.22 200.00 136.22 194.78 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 2016-12-01 $25.39 $0.00 19.3% 5.5% 12.9% 7.7% 0.0% 1.6% -6.1% 0 0 0 0.00 136.22 N/A N/A 0 0 0 0 2016-12-02 $25.30 $0.00 20.1% 5.8% 12.6% 8.2% 0.0% 2.9% -7.4% 0 0 0 0.00 137.63 N/A N/A 0 0 0 0 2016-12-05 $25.43 $0.00 19.4% 3.8% 12.1% 7.8% 0.0% 3.1% 0.7% 0 0 0 0.00 139.39 N/A N/A 0 0 0 0 2016-12-06 $25.51 $0.00 18.0% 3.4% 10.5% 7.1% 0.0% 2.8% -0.8% 0 0 0 0.00 170.06 N/A N/A 0 0 0 0 2016-12-07 $25.68 $0.00 18.1% 3.4% 10.4% 7.1% 0.0% 3.8% -0.1% 0 0 0 0.00 184.81 N/A N/A 0 0 0 0 2016-12-08 $25.67 $0.00 20.0% 3.4% 10.2% 8.1% 0.0% 3.8% -0.3% 0 0 0 0.00 183.90 N/A N/A 0 0 0 0 2016-12-09 $25.98 $0.00 19.1% 3.5% 9.4% 7.7% 0.0% 2.7% -0.3% 0 0 0 0.00 195.99 N/A N/A 0 0 0 0 2016-12-12 $25.73 $0.00 26.1% 3.5% 10.1% 11.3% 0.0% 3.1% -0.5% 0 0 0 0.00 185.09 N/A N/A 0 0 0 0 2016-12-13 $26.10 $0.00 29.0% 4.1% 11.1% 12.8% 0.0% 2.7% 0.4% 0 0 0 0.00 192.46 N/A N/A 0 0 0 0 2016-12-14 $25.99 $0.00 12.9% 3.7% 10.9% 4.4% 0.0% 2.3% 1.3% 0 0 0 0.00 197.90 N/A N/A 0 0 0 0 2016-12-15 $26.11 $0.00 13.0% 3.7% 10.4% 4.5% 0.0% 3.1% 0.9% 0 0 0 0.00 197.65 N/A N/A 0 0 0 0 2016-12-16 $26.13 $0.00 13.8% 3.9% 9.9% 4.9% 0.0% 1.8% -0.6% 0 0 0 0.00 170.22 N/A N/A 0 0 0 0 2016-12-19 $26.19 $0.00 12.1% 3.5% 9.9% 4.0% 0.0% 7.4% 0.7% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2016-12-20 $26.28 $0.00 12.6% 3.6% 9.9% 4.3% 0.0% 7.3% -0.2% 0 0 0 0.00 197.78 N/A N/A 0 0 0 0 2016-12-21 $26.23 $0.00 12.9% 3.7% 10.0% 4.4% 0.0% 7.8% -0.4% 0 0 0 0.00 197.78 N/A N/A 0 0 0 0 2016-12-22 $26.25 $0.00 13.1% 3.7% 10.0% 4.5% 0.0% 8.1% -0.5% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2016-12-23 $26.27 $0.00 13.3% 3.8% 9.8% 4.6% 0.0% 8.3% -0.8% 0 0 0 0.00 197.90 N/A N/A 0 0 0 0 2016-12-27 $26.32 $0.00 14.2% 4.1% 9.6% 5.1% 0.0% 8.6% -1.5% 0 0 0 0.00 196.19 N/A N/A 0 0 0 0 2016-12-28 $26.27 $0.00 14.6% 4.2% 9.6% 5.3% 0.0% 8.4% -1.8% 0 0 0 0.00 174.03 N/A N/A 0 0 0 0 2016-12-29 $26.28 $0.00 14.9% 4.3% 9.6% 5.5% 0.0% 8.4% -2.7% 0 0 0 0.00 196.19 N/A N/A 0 0 0 0 2016-12-30 $26.31 $0.00 15.3% 4.4% 8.5% 5.6% 0.0% 8.7% -2.5% 0 0 0 0.00 194.78 N/A N/A 0 0 0 0
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