IHDG Options History — March 2017 In March 2017, IHDG traded between $27.99 and $28.54. ATM implied volatility averaged 15.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 7.9% (HV 20d: 7.2%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days.
Notable Days 2017-03-15 : Largest IV drop — 54.5% change2017-03-14 : Highest IV Rank — 9.2%2017-03-03 : Largest Expected Move — 4.5%Monthly Statistics Metric Avg Min Max Open Close Price $28.28 $27.99 $28.54 $28.13 $28.47 ATM IV 15.1% 10.9% 27.5% 15.0% 13.9% Expected Move 3.7% 3.1% 4.5% 4.3% 4.0% HV 20d 7.2% 6.1% 8.5% 7.7% 6.6% HV 60d 6.8% 6.1% 7.5% 7.5% 6.8% IV Rank 2.6% 0.3% 9.2% 2.5% 1.9% IV Percentile 41.6% 2.0% 96.0% 53.2% 31.0% Term Structure 0.8% -3.7% 4.5% -3.0% -1.7% Skew 25d 2.0% -1.3% 3.8% 2.5% 2.6% Skew 10d 3.8% -0.0% 7.9% 5.6% 3.3% Call IV 25d 12.7% 9.9% 16.4% 15.3% 13.3% Put IV 25d 14.7% 12.1% 19.7% 17.8% 15.9% Bid-Ask Spread % 136.87 130.97 144.69 137.38 137.19 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 (23 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 2017-03-01 $28.13 $0.00 15.0% 4.3% 7.7% 2.5% 0.0% 2.5% -3.0% 0 0 0 0.00 137.38 N/A N/A 0 0 0 0 2017-03-02 $28.17 $0.00 14.2% 4.1% 7.6% 2.1% 0.0% 2.2% -3.7% 0 0 0 0.00 143.38 N/A N/A 0 0 0 0 2017-03-03 $28.07 $0.00 15.8% 4.5% 7.8% 2.9% 0.0% 3.2% -3.6% 0 0 0 0.00 135.45 N/A N/A 0 0 0 0 2017-03-06 $28.06 $0.00 15.4% 3.7% 7.8% 2.7% 0.0% 1.2% 2.7% 0 0 0 0.00 130.97 N/A N/A 0 0 0 0 2017-03-07 $27.99 $0.00 15.5% 3.2% 7.1% 2.8% 0.0% 1.9% 4.5% 0 0 0 0.00 144.69 N/A N/A 0 0 0 0 2017-03-08 $27.99 $0.00 16.4% 3.4% 7.0% 3.2% 0.0% 2.0% 4.3% 0 0 0 0.00 138.11 N/A N/A 0 0 0 0 2017-03-09 $28.14 $0.00 17.2% 3.7% 7.0% 3.7% 0.0% 3.0% 3.7% 0 0 0 0.00 137.55 N/A N/A 0 0 0 0 2017-03-10 $28.24 $0.00 18.2% 3.1% 6.9% 4.2% 0.0% 2.7% 4.5% 0 0 0 0.00 140.51 N/A N/A 0 0 0 0 2017-03-13 $28.31 $0.00 24.9% 3.4% 6.9% 7.8% 0.0% 0.4% 2.2% 0 0 0 0.00 138.23 N/A N/A 0 0 0 0 2017-03-14 $28.31 $0.00 27.5% 3.5% 6.7% 9.2% 0.0% 0.8% 2.4% 0 0 0 0.00 138.69 N/A N/A 0 0 0 0 2017-03-15 $28.36 $0.00 12.5% 3.6% 6.6% 1.2% 0.0% 2.1% 0.4% 0 0 0 0.00 136.46 N/A N/A 0 0 0 0 2017-03-16 $28.42 $0.00 12.5% 3.6% 6.6% 1.2% 0.0% 3.4% -0.6% 0 0 0 0.00 134.48 N/A N/A 0 0 0 0 2017-03-17 $28.53 $0.00 10.9% 3.1% 6.7% 0.3% 0.0% 3.4% 3.8% 0 0 0 0.00 136.84 N/A N/A 0 0 0 0 2017-03-20 $28.54 $0.00 11.1% 3.2% 6.1% 0.4% 0.0% 1.9% 3.8% 0 0 0 0.00 136.78 N/A N/A 0 0 0 0 2017-03-21 $28.27 $0.00 12.1% 3.5% 7.3% 1.0% 0.0% 2.4% 1.5% 0 0 0 0.00 138.50 N/A N/A 0 0 0 0 2017-03-22 $28.26 $0.00 13.9% 4.0% 7.3% 1.9% 0.0% 3.8% 1.7% 0 0 0 0.00 135.36 N/A N/A 0 0 0 0 2017-03-23 $28.33 $0.00 13.6% 3.9% 7.3% 1.8% 0.0% 1.6% 0.4% 0 0 0 0.00 134.85 N/A N/A 0 0 0 0 2017-03-24 $28.51 $0.00 11.1% 3.2% 7.3% 0.4% 0.0% -1.3% -1.9% 0 0 0 0.00 133.95 N/A N/A 0 0 0 0 2017-03-27 $28.23 $0.00 13.8% 4.0% 8.3% 1.9% 0.0% 2.2% 1.2% 0 0 0 0.00 131.54 N/A N/A 0 0 0 0 2017-03-28 $28.38 $0.00 13.9% 4.0% 8.5% 1.9% 0.0% 0.4% -1.5% 0 0 0 0.00 135.99 N/A N/A 0 0 0 0 2017-03-29 $28.41 $0.00 14.7% 4.2% 6.8% 2.4% 0.0% 1.9% -3.1% 0 0 0 0.00 134.86 N/A N/A 0 0 0 0 2017-03-30 $28.42 $0.00 12.7% 3.6% 6.8% 1.3% 0.0% 2.5% 0.2% 0 0 0 0.00 136.24 N/A N/A 0 0 0 0 2017-03-31 $28.47 $0.00 13.9% 4.0% 6.6% 1.9% 0.0% 2.6% -1.7% 0 0 0 0.00 137.19 N/A N/A 0 0 0 0
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