IHDG Options History — February 2017

In February 2017, IHDG traded between $26.72 and $27.81. ATM implied volatility averaged 13.0%, placing in the 1.4% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 6.4% (HV 20d: 6.7%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 12 of 19 days.

Notable Days

  • 2017-02-08: Largest IV drop — 25.4% change
  • 2017-02-07: Highest IV Rank — 3.1%
  • 2017-02-28: Largest Expected Move — 4.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.33$26.72$27.81$26.84$27.72
ATM IV13.0%11.2%16.1%13.8%13.9%
Expected Move3.5%3.2%4.0%4.0%4.0%
HV 20d6.7%5.8%7.4%5.8%6.2%
HV 60d7.9%7.4%9.3%9.3%7.4%
IV Rank1.4%0.5%3.1%1.9%1.9%
IV Percentile19.0%2.4%64.7%24.2%30.2%
Term Structure21.1%-3.7%81.5%-2.2%-3.7%
Skew 25d1.8%1.0%2.6%1.2%1.1%
Skew 10d3.6%2.5%4.7%4.3%4.7%
Call IV 25d13.2%11.9%16.5%16.5%16.1%
Put IV 25d15.0%13.9%17.6%17.6%17.2%
Bid-Ask Spread %141.74133.74145.10133.74134.78
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$26.84$0.0013.8%4.0%5.8%1.9%0.0%1.2%-2.2%0000.00133.74N/AN/A0000
2017-02-02$26.79$0.0014.2%3.2%5.8%2.1%0.0%2.0%80.0%0000.00143.01N/AN/A0000
2017-02-03$26.93$0.0014.2%3.2%6.1%2.1%0.0%1.6%78.9%0000.00142.30N/AN/A0000
2017-02-06$26.72$0.0015.8%3.3%6.6%3.0%0.0%1.5%81.2%0000.00144.06N/AN/A0000
2017-02-07$26.86$0.0016.1%3.2%6.8%3.1%0.0%2.1%81.5%0000.00141.91N/AN/A0000
2017-02-08$27.03$0.0012.0%3.4%7.1%0.9%0.0%2.4%80.5%0000.00145.10N/AN/A0000
2017-02-09$27.18$0.0011.7%3.4%7.3%0.8%0.0%2.3%2.8%0000.00143.25N/AN/A0000
2017-02-10$27.25$0.0012.2%3.5%7.3%1.0%0.0%2.3%2.4%0000.00144.47N/AN/A0000
2017-02-13$27.40$0.0012.6%3.6%7.4%1.2%0.0%1.9%0.6%0000.00142.25N/AN/A0000
2017-02-14$27.36$0.0012.0%3.4%6.6%0.9%0.0%2.1%2.6%0000.00142.06N/AN/A0000
2017-02-15$27.42$0.0012.5%3.6%6.4%1.2%0.0%2.2%2.0%0000.00141.53N/AN/A0000
2017-02-16$27.43$0.0012.7%3.6%6.4%1.3%0.0%1.8%1.6%0000.00141.12N/AN/A0000
2017-02-17$27.68$0.0011.2%3.2%6.9%0.5%0.0%2.2%2.8%0000.00142.86N/AN/A0000
2017-02-21$27.69$0.0012.1%3.5%6.8%1.0%0.0%1.0%-2.2%0000.00142.34N/AN/A0000
2017-02-22$27.76$0.0011.9%3.4%6.8%0.9%0.0%1.3%-1.6%0000.00141.18N/AN/A0000
2017-02-23$27.81$0.0012.3%3.5%6.6%1.0%0.0%1.3%-2.6%0000.00143.35N/AN/A0000
2017-02-24$27.71$0.0012.9%3.7%6.8%1.4%0.0%2.6%-1.8%0000.00142.16N/AN/A0000
2017-02-27$27.73$0.0013.0%3.7%6.8%1.4%0.0%1.8%-2.4%0000.00141.65N/AN/A0000
2017-02-28$27.72$0.0013.9%4.0%6.2%1.9%0.0%1.1%-3.7%0000.00134.78N/AN/A0000