IHDG Options History — September 2018 In September 2018, IHDG traded between $31.62 and $32.34. ATM implied volatility averaged 20.3%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 11.5% (HV 20d: 8.8%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2018-09-04 : Highest Volume — 4 contracts2018-09-17 : Largest IV spike — 41.1% change2018-09-21 : Highest IV Rank — 51.4%2018-09-12 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $31.99 $31.62 $32.34 $32.34 $32.04 ATM IV 20.3% 15.5% 26.2% 22.4% 17.9% Expected Move 5.4% 4.4% 7.5% 6.4% 5.1% HV 20d 8.8% 7.6% 10.0% 9.2% 7.6% HV 60d 8.7% 8.0% 9.4% 9.0% 8.1% IV Rank 29.3% 9.5% 51.4% 14.7% 40.4% IV Percentile 75.1% 48.4% 94.4% 85.7% 65.1% Term Structure -2.8% -8.3% -0.9% -8.3% -2.3% Skew 25d 1.4% 0.0% 3.1% 0.9% 0.1% Skew 10d 1.9% -5.7% 6.3% -3.7% 2.2% Call IV 25d 21.3% 17.5% 31.5% 24.0% 21.6% Put IV 25d 22.7% 19.3% 32.8% 24.9% 21.7% Bid-Ask Spread % 176.51 165.37 190.58 172.77 174.73 Gamma HHI 0.39 0.36 0.40 0.39 0.40 Net GEX 901 729 978 840 950 Net DEX -19.1K -20.5K -17.2K -20.3K -19.6K Net VEX -36 -42 -31 -36 -31 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 4 4 4 4 4 Total OI 8 8 8 8 8
Daily Data (19 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 2018-09-04 $32.34 $0.00 22.4% 6.4% 9.2% 14.7% 0.0% 0.9% -8.3% 840 -20.3K -36 0.00 172.77 N/A N/A 4 0 8 0 2018-09-05 $31.99 $0.00 20.6% 5.9% 9.9% 13.3% 0.0% 0.0% -4.4% 909 -19.1K -39 0.00 171.39 N/A N/A 4 0 8 0 2018-09-06 $31.83 $0.00 21.3% 4.5% 10.0% 13.9% 0.0% 1.7% -1.3% 950 -18.6K -39 0.00 173.35 N/A N/A 4 0 8 0 2018-09-07 $31.62 $0.00 23.4% 4.8% 9.9% 15.5% 0.0% 2.3% -0.9% 947 -17.5K -40 0.00 171.09 N/A N/A 4 0 8 0 2018-09-10 $31.71 $0.00 25.4% 4.9% 9.8% 16.9% 0.0% 1.7% -1.2% 945 -18.0K -39 0.00 165.37 N/A N/A 4 0 8 0 2018-09-11 $31.68 $0.00 25.4% 4.8% 9.8% 16.9% 0.0% 3.1% -1.0% 965 -17.8K -40 0.00 173.22 N/A N/A 4 0 8 0 2018-09-12 $31.80 $0.00 26.2% 7.5% 9.5% 17.6% 0.0% 1.3% -3.2% 729 -17.2K -42 0.00 190.58 N/A N/A 4 0 8 0 2018-09-13 $31.79 $0.00 16.2% 4.7% 8.3% 10.1% 0.0% 1.5% -1.9% 978 -18.5K -38 0.00 175.77 N/A N/A 4 0 8 0 2018-09-14 $31.96 $0.00 15.5% 4.4% 8.3% 9.5% 0.0% 1.4% -1.2% 947 -19.2K -36 0.00 177.68 N/A N/A 4 0 8 0 2018-09-17 $31.85 $0.00 21.9% 6.3% 8.3% 50.8% 0.0% 1.4% -3.2% 844 -18.0K -39 0.00 185.07 N/A N/A 4 0 8 0 2018-09-18 $32.03 $0.00 21.1% 6.1% 8.4% 48.9% 0.0% 1.7% -2.4% 827 -18.6K -37 0.00 186.94 N/A N/A 4 0 8 0 2018-09-19 $32.08 $0.00 16.3% 4.7% 8.5% 36.1% 0.0% 1.4% -1.6% 929 -19.7K -33 0.00 177.89 N/A N/A 4 0 8 0 2018-09-20 $32.27 $0.00 16.5% 4.7% 8.8% 36.5% 0.0% 2.4% -1.6% 883 -20.5K -32 0.00 174.71 N/A N/A 4 0 8 0 2018-09-21 $32.30 $0.00 22.1% 6.3% 8.8% 51.4% 0.0% 1.6% -3.0% 786 -19.3K -36 0.00 179.87 N/A N/A 4 0 8 0 2018-09-24 $32.07 $0.00 17.2% 4.9% 9.0% 38.3% 0.0% 1.0% -2.3% 938 -19.7K -32 0.00 177.35 N/A N/A 4 0 8 0 2018-09-25 $32.15 $0.00 17.5% 5.0% 7.8% 39.1% 0.0% 0.5% -2.8% 923 -20.1K -32 0.00 175.59 N/A N/A 4 0 8 0 2018-09-26 $32.19 $0.00 18.6% 5.3% 7.8% 42.1% 0.0% 0.6% -4.7% 913 -20.2K -31 0.00 175.06 N/A N/A 4 0 8 0 2018-09-27 $32.19 $0.00 19.8% 5.7% 7.8% 45.3% 0.0% 1.4% -5.8% 916 -20.2K -31 0.00 175.21 N/A N/A 4 0 8 0 2018-09-28 $32.04 $0.00 17.9% 5.1% 7.6% 40.4% 0.0% 0.1% -2.3% 950 -19.6K -31 0.00 174.73 N/A N/A 4 0 8 0
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