IHDG Options History — October 2017

In October 2017, IHDG traded between $30.83 and $31.61. ATM implied volatility averaged 11.0%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 3.0%. IV traded above realized volatility by 4.8% (HV 20d: 6.2%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 3.50.

Notable Days

2017-10-02: Highest Volume — 27 contracts
2017-10-11: Largest IV drop — 31.7% change
2017-10-10: Highest IV Rank — 4.0%
2017-10-30: Largest Expected Move — 3.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.15	$30.83	$31.61	$30.83	$31.61
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	11.0%	9.2%	13.4%	11.3%	12.0%
Expected Move	3.0%	2.6%	3.8%	3.3%	3.4%
HV 20d	6.2%	5.3%	9.4%	9.4%	6.4%
HV 60d	8.5%	8.3%	8.8%	8.8%	8.5%
IV Rank	2.2%	0.7%	4.0%	2.4%	2.9%
IV Percentile	17.9%	0.4%	54.0%	17.5%	34.5%
Term Structure	32.1%	-3.1%	62.0%	-1.8%	-2.2%
VWIV	16.1%	14.5%	19.3%	14.5%	18.4%
Skew 25d	1.8%	0.8%	3.4%	1.5%	2.0%
Skew 10d	4.8%	3.1%	6.6%	3.5%	3.7%
Call IV 25d	11.3%	9.8%	14.0%	13.1%	13.2%
Put IV 25d	13.1%	11.3%	15.4%	14.6%	15.2%
Bid-Ask Spread %	133.86	126.98	143.16	141.15	131.35
Gamma HHI	0.27	0.26	0.30	0.28	0.30
Net GEX	651	544	859	859	559
Net DEX	-28.4K	-30.7K	-26.1K	-27.6K	-30.7K
Net VEX	-51	-67	-37	-55	-37
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.50	3.50	3.50	3.50	3.50
Total Volume	27	27	27	27	27
Total OI	35	35	35	35	35

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
2017-10-02	$30.83	$0.00	11.3%	3.3%	9.4%	2.4%	0.0%	1.5%	-1.8%	859	-27.6K	-55	3.50	141.15	N/A	N/A	6	21	12	23
2017-10-03	$30.93	$0.00	10.8%	3.1%	7.7%	2.0%	0.0%	2.0%	-1.1%	544	-26.2K	-67	3.50	142.70	N/A	N/A	6	21	12	23
2017-10-04	$30.90	$0.00	11.6%	3.3%	7.4%	2.6%	0.0%	1.4%	-2.4%	555	-26.1K	-66	3.50	143.16	N/A	N/A	6	21	12	23
2017-10-05	$30.95	$29.00	11.9%	2.7%	7.4%	2.9%	14.5%	1.6%	59.7%	575	-26.6K	-64	3.50	134.05	N/A	N/A	6	21	12	23
2017-10-06	$30.87	$29.00	11.3%	2.6%	7.1%	2.4%	14.7%	1.3%	60.3%	581	-26.1K	-65	3.50	135.04	N/A	N/A	6	21	12	23
2017-10-09	$30.85	$29.00	12.8%	2.7%	5.3%	3.6%	15.3%	1.1%	60.7%	604	-26.1K	-63	3.50	134.46	N/A	N/A	6	21	12	23
2017-10-10	$31.05	$29.00	13.4%	2.7%	5.6%	4.0%	14.9%	1.6%	60.5%	657	-27.7K	-56	3.50	134.17	N/A	N/A	6	21	12	23
2017-10-11	$31.10	$29.00	9.2%	2.6%	5.6%	0.7%	14.8%	2.3%	60.8%	656	-28.1K	-55	3.50	133.23	N/A	N/A	6	21	12	23
2017-10-12	$31.15	$29.00	9.6%	2.7%	5.5%	1.1%	15.5%	1.8%	59.7%	646	-28.3K	-54	3.50	134.20	N/A	N/A	6	21	12	23
2017-10-13	$31.21	$29.00	10.0%	2.9%	5.5%	1.4%	15.6%	2.2%	59.3%	632	-28.6K	-51	3.50	134.78	N/A	N/A	6	21	12	23
2017-10-16	$31.25	$29.00	10.4%	3.0%	5.3%	1.7%	16.1%	2.5%	59.8%	637	-29.0K	-50	3.50	132.91	N/A	N/A	6	21	12	23
2017-10-17	$31.26	$29.00	10.2%	2.9%	5.3%	1.6%	16.0%	2.3%	60.0%	652	-29.2K	-48	3.50	133.78	N/A	N/A	6	21	12	23
2017-10-18	$31.36	$29.00	10.3%	2.9%	5.3%	1.6%	15.7%	2.2%	59.7%	642	-29.9K	-45	3.50	131.85	N/A	N/A	6	21	12	23
2017-10-19	$31.10	$29.00	10.3%	3.0%	6.2%	1.7%	16.3%	1.6%	61.2%	691	-28.3K	-49	3.50	130.27	N/A	N/A	6	21	12	23
2017-10-20	$31.08	$29.00	10.2%	2.9%	6.2%	1.5%	16.4%	1.6%	62.0%	718	-28.3K	-49	3.50	133.18	N/A	N/A	6	21	12	23
2017-10-23	$31.10	$29.00	10.8%	3.1%	6.1%	2.0%	17.2%	0.8%	-1.6%	720	-28.5K	-47	3.50	132.98	N/A	N/A	6	21	12	23
2017-10-24	$31.21	$29.00	10.9%	3.1%	5.4%	2.1%	16.5%	1.6%	-1.4%	703	-29.2K	-44	3.50	135.06	N/A	N/A	6	21	12	23
2017-10-25	$31.08	$29.00	10.4%	3.0%	5.5%	1.7%	15.8%	0.9%	-1.4%	783	-28.7K	-44	3.50	126.98	N/A	N/A	6	21	12	23
2017-10-26	$31.38	$29.00	11.1%	3.2%	6.3%	2.3%	15.3%	2.3%	-0.9%	662	-30.4K	-40	3.50	128.09	N/A	N/A	6	21	12	23
2017-10-27	$31.51	$29.00	11.1%	3.2%	6.2%	2.2%	17.5%	3.4%	-1.7%	600	-30.7K	-39	3.50	130.75	N/A	N/A	6	21	12	23
2017-10-30	$31.41	$29.00	13.2%	3.8%	6.2%	3.9%	19.3%	1.9%	-3.1%	640	-30.2K	-40	3.50	130.76	N/A	N/A	6	21	12	23
2017-10-31	$31.61	$29.00	12.0%	3.4%	6.4%	2.9%	18.4%	2.0%	-2.2%	559	-30.7K	-37	3.50	131.35	N/A	N/A	6	21	12	23