IHDG Options History — February 2020 In February 2020, IHDG traded between $33.03 and $37.67. ATM implied volatility averaged 34.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 18.1% (HV 20d: 16.5%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days.
Notable Days 2020-02-07 : Largest IV spike — 313.3% change2020-02-28 : Highest IV Rank — 37.5%2020-02-28 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $36.52 $33.03 $37.67 $36.14 $33.03 Max Pain $36.00 $36.00 $36.00 $36.00 $36.00 ATM IV 34.6% 10.0% 50.5% 11.7% 50.5% Expected Move 9.1% 2.0% 14.5% 3.4% 14.5% HV 20d 16.5% 12.5% 24.7% 12.5% 24.7% HV 60d 12.1% 10.0% 16.9% 10.0% 16.9% IV Rank 23.4% 1.5% 37.5% 3.0% 37.5% IV Percentile 71.2% 1.6% 92.9% 2.4% 92.9% Term Structure -4.2% -14.6% 59.0% 14.3% -14.6% Skew 25d -3.0% -29.9% 26.7% -26.3% -4.3% Skew 10d -3.0% -29.5% 28.5% -29.5% -15.1% Call IV 25d 36.0% 7.0% 54.4% 38.4% 54.4% Put IV 25d 33.0% 11.6% 50.1% 12.2% 50.1% Bid-Ask Spread % 184.37 126.67 198.09 173.81 198.09 Gamma HHI 0.91 0.71 1.00 0.95 1.00 Net GEX 1.4K 72 4.4K 4.4K 72 Net DEX -20.2K -35.4K -810 -20.1K -810 Net VEX -18 -36 -5 -36 -5 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 7.632 1 10 10 1
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 2020-02-03 $36.14 $36.00 11.7% 3.4% 12.5% 3.0% 0.0% -26.3% 14.3% 4.4K -20.1K -36 0.00 173.81 N/A N/A 0 0 10 0 2020-02-04 $36.75 $36.00 38.1% 10.9% 13.8% 26.5% 0.0% -29.9% -10.6% 2.2K -23.6K -34 0.00 163.93 N/A N/A 0 0 10 0 2020-02-05 $37.26 $36.00 39.0% 11.2% 14.6% 27.3% 0.0% -15.7% -12.7% 1.9K -26.1K -31 0.00 163.86 N/A N/A 0 0 10 0 2020-02-06 $37.38 $0.00 10.0% 2.0% 14.3% 1.5% 0.0% 10.6% 1.1% 2.0K -33.8K -15 0.00 126.67 N/A N/A 0 0 10 0 2020-02-07 $37.14 $0.00 41.4% 7.8% 14.6% 29.4% 0.0% -19.0% -6.3% 2.0K -25.7K -30 0.00 195.94 N/A N/A 0 0 10 0 2020-02-10 $37.18 $0.00 45.2% 8.1% 14.5% 32.8% 0.0% 1.8% -6.9% 1.9K -25.6K -28 0.00 195.94 N/A N/A 0 0 10 0 2020-02-11 $37.39 $0.00 49.2% 8.2% 14.5% 36.4% 0.0% 2.2% -8.2% 1.8K -26.6K -26 0.00 195.51 N/A N/A 0 0 10 0 2020-02-12 $37.66 $0.00 27.0% 7.8% 14.6% 16.6% 0.0% 2.9% -6.7% 1.6K -27.7K -24 0.00 196.22 N/A N/A 0 0 10 0 2020-02-13 $37.43 $0.00 29.4% 8.4% 14.8% 18.8% 0.0% 2.3% -8.6% 1.6K -26.1K -24 0.00 198.04 N/A N/A 0 0 10 0 2020-02-14 $37.42 $0.00 29.6% 8.5% 14.8% 18.9% 0.0% 1.8% -9.0% 2.0K -28.2K -21 0.00 195.24 N/A N/A 0 0 10 0 2020-02-18 $37.24 $0.00 30.1% 8.6% 14.6% 19.4% 0.0% 0.9% -8.1% 2.0K -26.3K -17 0.00 195.64 N/A N/A 0 0 10 0 2020-02-19 $37.67 $0.00 29.7% 8.5% 15.0% 19.0% 0.0% 2.9% -8.5% 1.6K -27.4K -15 0.00 196.60 N/A N/A 0 0 10 0 2020-02-20 $37.46 $0.00 31.9% 9.1% 15.1% 21.0% 0.0% 26.7% -9.9% 1.7K -26.3K -13 0.00 195.48 N/A N/A 0 0 10 0 2020-02-21 $37.08 $0.00 31.8% 9.1% 15.5% 20.9% 0.0% 1.3% -9.1% 126 -35.4K -7 0.00 188.82 N/A N/A 0 0 10 0 2020-02-24 $35.62 $0.00 36.4% 10.4% 21.0% 25.0% 0.0% -4.2% 59.0% 112 -1.5K -6 0.00 185.58 N/A N/A 0 0 1 0 2020-02-25 $34.99 $0.00 39.9% 11.4% 20.8% 28.1% 0.0% -5.5% -10.3% 102 -1.3K -6 0.00 182.61 N/A N/A 0 0 1 0 2020-02-26 $35.08 $0.00 39.3% 11.3% 20.7% 27.5% 0.0% -2.2% -10.9% 104 -1.3K -6 0.00 182.00 N/A N/A 0 0 1 0 2020-02-27 $33.93 $0.00 46.7% 13.4% 23.3% 34.1% 0.0% -3.3% -13.0% 86 -990 -5 0.00 172.97 N/A N/A 0 0 1 0 2020-02-28 $33.03 $0.00 50.5% 14.5% 24.7% 37.5% 0.0% -4.3% -14.6% 72 -810 -5 0.00 198.09 N/A N/A 0 0 1 0
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