IHDG Options History — May 2017 In May 2017, IHDG traded between $29.55 and $30.28. ATM implied volatility averaged 12.5%, placing in the 1.2% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.8% (HV 20d: 8.7%). Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2017-05-19 : Highest Volume — 1 contracts2017-05-10 : Largest IV drop — 26.3% change2017-05-09 : Highest IV Rank — 2.5%2017-05-03 : Largest Expected Move — 4.0%Monthly Statistics Metric Avg Min Max Open Close Price $30.00 $29.55 $30.28 $29.55 $30.28 ATM IV 12.5% 10.7% 15.1% 12.8% 12.7% Expected Move 3.4% 3.1% 4.0% 3.7% 3.6% HV 20d 8.7% 7.3% 10.1% 9.1% 7.8% HV 60d 7.8% 7.4% 8.3% 7.8% 7.8% IV Rank 1.2% 0.2% 2.5% 1.3% 1.3% IV Percentile 18.2% 1.2% 56.3% 19.0% 21.4% Term Structure 39.3% -3.5% 84.3% -2.3% -3.5% Skew 25d 2.0% -0.0% 5.0% 5.0% 2.2% Skew 10d 5.2% 2.7% 8.0% 8.0% 6.2% Call IV 25d 12.4% 10.8% 15.4% 12.2% 13.5% Put IV 25d 14.3% 12.8% 17.2% 17.2% 15.7% Bid-Ask Spread % 134.97 128.35 138.38 128.35 132.86 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 8 0 25 0 25 Net DEX -599 -1.9K 0 0 -1.9K Net VEX -3 -8 0 0 -8 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.364 0 1 0 1 Total OI 0.318 0 1 0 1
Daily Data (22 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 2017-05-01 $29.55 $0.00 12.8% 3.7% 9.1% 1.3% 0.0% 5.0% -2.3% 0 0 0 0.00 128.35 N/A N/A 0 0 0 0 2017-05-02 $29.65 $0.00 13.4% 3.8% 9.0% 1.6% 0.0% 3.0% -2.6% 0 0 0 0.00 130.31 N/A N/A 0 0 0 0 2017-05-03 $29.73 $0.00 13.9% 4.0% 9.0% 1.9% 0.0% 1.2% -3.0% 0 0 0 0.00 128.71 N/A N/A 0 0 0 0 2017-05-04 $29.84 $0.00 13.4% 3.1% 8.8% 1.6% 0.0% 1.7% 73.6% 0 0 0 0.00 137.67 N/A N/A 0 0 0 0 2017-05-05 $30.03 $0.00 14.9% 3.2% 8.9% 2.5% 0.0% 2.7% 70.8% 0 0 0 0.00 136.13 N/A N/A 0 0 0 0 2017-05-08 $29.99 $0.00 14.4% 3.1% 8.9% 2.2% 0.0% 1.8% 70.6% 0 0 0 0.00 138.21 N/A N/A 0 0 0 0 2017-05-09 $30.08 $0.00 15.1% 3.1% 8.9% 2.5% 0.0% 1.7% 70.2% 0 0 0 0.00 135.62 N/A N/A 0 0 0 0 2017-05-10 $30.10 $0.00 11.1% 3.2% 8.9% 0.4% 0.0% 1.9% 70.5% 0 0 0 0.00 136.25 N/A N/A 0 0 0 0 2017-05-11 $30.01 $0.00 12.6% 3.6% 9.1% 1.2% 0.0% 1.1% 76.0% 0 0 0 0.00 128.63 N/A N/A 0 0 0 0 2017-05-12 $30.10 $0.00 10.7% 3.1% 9.0% 0.2% 0.0% 2.1% 72.4% 0 0 0 0.00 137.85 N/A N/A 0 0 0 0 2017-05-15 $30.10 $0.00 10.9% 3.1% 9.0% 0.3% 0.0% 2.6% 73.2% 0 0 0 0.00 137.62 N/A N/A 0 0 0 0 2017-05-16 $30.16 $0.00 10.7% 3.1% 7.3% 0.2% 0.0% 1.9% 72.9% 0 0 0 0.00 138.38 N/A N/A 0 0 0 0 2017-05-17 $29.65 $0.00 11.9% 3.4% 10.1% 0.9% 0.0% 0.2% 74.7% 0 0 0 0.00 135.23 N/A N/A 0 0 0 0 2017-05-18 $29.76 $0.00 11.4% 3.3% 9.9% 0.6% 0.0% 2.1% 84.3% 0 0 0 0.00 133.02 N/A N/A 0 0 0 0 2017-05-19 $29.92 $0.00 12.7% 3.6% 9.9% 1.3% 0.0% -0.0% 80.0% 0 0 0 0.00 131.70 N/A N/A 1 0 0 0 2017-05-22 $30.07 $0.00 11.5% 3.3% 8.1% 0.7% 0.0% 1.8% -1.4% 25 -1.9K -8 0.00 137.95 N/A N/A 1 0 1 0 2017-05-23 $30.12 $0.00 11.7% 3.4% 8.0% 0.8% 0.0% 1.9% -1.5% 25 -1.8K -8 0.00 138.03 N/A N/A 1 0 1 0 2017-05-24 $30.14 $0.00 12.0% 3.4% 8.0% 0.9% 0.0% 2.0% -2.5% 25 -1.9K -8 0.00 137.84 N/A N/A 1 0 1 0 2017-05-25 $30.28 $0.00 12.1% 3.5% 8.0% 1.0% 0.0% 2.2% -2.5% 25 -1.9K -8 0.00 136.34 N/A N/A 1 0 1 0 2017-05-26 $30.26 $0.00 12.0% 3.4% 8.0% 0.9% 0.0% 1.6% -2.8% 25 -1.9K -8 0.00 136.12 N/A N/A 1 0 1 0 2017-05-30 $30.25 $0.00 12.8% 3.7% 7.8% 1.4% 0.0% 2.6% -2.7% 23 -1.9K -8 0.00 136.44 N/A N/A 1 0 1 0 2017-05-31 $30.28 $0.00 12.7% 3.6% 7.8% 1.3% 0.0% 2.2% -3.5% 25 -1.9K -8 0.00 132.86 N/A N/A 1 0 1 0
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