IHDG Options History — September 2019

In September 2019, IHDG traded between $33.05 and $33.70. ATM implied volatility averaged 31.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 19.8% (HV 20d: 11.9%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2019-09-05: Highest Volume — 8 contracts
  • 2019-09-11: Largest IV spike — 250.0% change
  • 2019-09-11: Highest IV Rank — 100.0%
  • 2019-09-12: Largest Expected Move — 34.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.47$33.05$33.70$33.05$33.59
Max Pain$34.00$34.00$34.00$34.00$34.00
ATM IV31.7%10.3%120.8%13.1%19.4%
Expected Move14.0%3.0%34.6%3.8%5.6%
HV 20d11.9%7.8%15.6%15.4%8.7%
HV 60d12.9%12.6%13.2%13.0%12.6%
IV Rank24.6%1.0%100.0%7.1%9.2%
IV Percentile55.4%0.8%100.0%2.8%33.3%
Term Structure-27.8%-105.5%84.2%-0.6%-3.3%
VWIV112.9%112.9%112.9%112.9%112.9%
Skew 25d13.6%-108.3%141.3%0.4%2.1%
Skew 10d16.4%-108.3%141.3%-0.7%6.5%
Call IV 25d33.3%9.4%126.2%13.2%22.0%
Put IV 25d46.9%11.9%153.5%13.6%24.1%
Bid-Ask Spread %177.01120.48200.00125.32165.59
Gamma HHI1.001.001.001.001.00
Net GEX1.2K03.0K02.1K
Net DEX-10.2K-15.0K00-11.3K
Net VEX-25-3600-23
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.40800
Total OI6.80808

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-09-03$33.05$0.0013.1%3.8%15.4%7.1%0.0%0.4%-0.6%0000.00125.32N/AN/A0000
2019-09-04$33.36$0.0021.9%6.3%15.6%23.0%0.0%1.3%84.2%0000.00173.55N/AN/A0000
2019-09-05$33.55$0.0021.3%31.7%15.5%21.8%112.9%-95.4%-99.4%0000.00200.00N/AN/A8000
2019-09-06$33.70$34.0020.7%32.1%15.2%20.8%0.0%131.5%-100.2%328-15.0K-360.00200.00N/AN/A0080
2019-09-09$33.52$34.0039.9%33.3%15.1%55.6%0.0%135.1%-97.8%327-14.8K-350.00200.00N/AN/A0080
2019-09-10$33.30$34.0034.1%34.4%15.0%45.1%0.0%21.8%-99.3%271-14.9K-340.00200.00N/AN/A0080
2019-09-11$33.53$34.00119.4%34.2%14.7%100.0%0.0%-108.3%-105.0%311-14.9K-340.00200.00N/AN/A0080
2019-09-12$33.70$34.00120.8%34.6%11.7%100.0%0.0%141.3%-105.5%328-15.0K-330.00200.00N/AN/A0080
2019-09-13$33.60$34.0020.6%5.9%11.9%10.2%0.0%12.5%-2.4%1.6K-12.2K-330.00180.27N/AN/A0080
2019-09-16$33.43$34.0022.5%6.4%11.8%11.9%0.0%2.5%-3.1%1.4K-11.5K-310.00181.10N/AN/A0080
2019-09-17$33.57$34.0021.6%6.2%11.6%11.1%0.0%13.3%-2.3%1.6K-12.0K-310.00178.43N/AN/A0080
2019-09-18$33.60$34.0021.9%6.3%11.4%11.4%0.0%12.9%-2.6%1.6K-12.2K-310.00179.08N/AN/A0080
2019-09-19$33.61$34.0022.0%6.3%10.4%11.4%0.0%2.8%-2.8%1.5K-12.3K-300.00179.35N/AN/A0080
2019-09-20$33.48$34.0023.6%6.8%10.2%13.0%0.0%2.8%-3.9%1.5K-11.7K-290.00179.25N/AN/A0080
2019-09-23$33.53$34.0023.3%6.7%7.8%12.6%0.0%3.1%-3.5%1.5K-11.8K-270.00178.98N/AN/A0080
2019-09-24$33.18$34.0018.0%5.2%8.8%7.9%0.0%-6.2%-2.6%1.9K-8.9K-250.00167.58N/AN/A0080
2019-09-25$33.28$34.0010.3%3.0%8.8%1.0%0.0%2.5%1.4%3.0K-6.0K-190.00120.48N/AN/A0080
2019-09-26$33.46$34.0019.7%5.7%8.9%9.4%0.0%-4.8%-4.1%2.1K-10.5K-250.00165.37N/AN/A0080
2019-09-27$33.33$34.0020.0%5.7%8.7%9.6%0.0%0.7%-4.0%1.9K-9.9K-240.00165.79N/AN/A0080
2019-09-30$33.59$34.0019.4%5.6%8.7%9.2%0.0%2.1%-3.3%2.1K-11.3K-230.00165.59N/AN/A0080