IHDG Options History — May 2020 In May 2020, IHDG traded between $31.99 and $34.68. ATM implied volatility averaged 47.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 26.2% (HV 20d: 20.9%). Max pain ranged from $21.00 to $21.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 16 of 20 days.
Notable Days 2020-05-26 : Largest IV spike — 115.6% change2020-05-12 : Highest IV Rank — 62.9%2020-05-19 : Largest Expected Move — 12.0%Monthly Statistics Metric Avg Min Max Open Close Price $33.22 $31.99 $34.68 $31.99 $34.68 Max Pain $21.00 $21.00 $21.00 $21.00 $21.00 ATM IV 47.1% 17.8% 94.2% 41.5% 41.2% Expected Move 10.1% 5.1% 12.0% 11.9% 11.8% HV 20d 20.9% 17.9% 27.6% 27.6% 17.9% HV 60d 48.2% 47.1% 48.9% 48.3% 47.1% IV Rank 28.4% 6.9% 62.9% 24.3% 24.1% IV Percentile 68.3% 12.3% 96.8% 72.6% 68.7% Term Structure 6.8% -11.4% 58.7% -11.4% -0.2% Skew 25d 8.0% 4.5% 27.6% 6.1% 6.2% Skew 10d 11.9% -21.6% 42.2% 11.3% -21.6% Call IV 25d 34.4% 17.1% 45.5% 43.6% 45.5% Put IV 25d 42.4% 22.3% 51.7% 49.7% 51.7% Bid-Ask Spread % 174.73 142.37 183.00 142.37 174.40 Gamma HHI 0.56 0.50 0.85 0.51 0.53 Net GEX 2 -31 42 7 0 Net DEX -12 -236 153 -11 0 Net VEX -1 -3 0 -1 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 28.05 0 51 51 0
Daily Data (20 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 2020-05-01 $31.99 $21.00 41.5% 11.9% 27.6% 24.3% 0.0% 6.1% -11.4% 7 -11 -1 0.00 142.37 N/A N/A 0 0 1 50 2020-05-04 $32.05 $0.00 58.1% 10.6% 27.0% 36.5% 0.0% 7.4% 9.9% -31 153 -3 0.00 180.83 N/A N/A 0 0 1 50 2020-05-05 $32.11 $0.00 63.2% 10.6% 21.5% 40.2% 0.0% 6.5% 8.7% -5 4 -2 0.00 181.93 N/A N/A 0 0 1 50 2020-05-06 $32.11 $0.00 61.6% 10.7% 21.3% 39.1% 0.0% 6.4% 9.3% -3 0 -2 0.00 182.47 N/A N/A 0 0 1 50 2020-05-07 $32.69 $0.00 62.4% 10.0% 21.9% 39.6% 0.0% 6.4% 10.1% 29 -169 -2 0.00 182.88 N/A N/A 0 0 1 50 2020-05-08 $33.00 $0.00 67.2% 9.7% 21.1% 43.2% 0.0% 5.8% 11.2% 42 -236 -1 0.00 183.00 N/A N/A 0 0 1 50 2020-05-11 $33.24 $0.00 83.9% 10.0% 20.6% 55.4% 0.0% 6.3% 8.4% -8 14 -2 0.00 182.70 N/A N/A 0 0 1 50 2020-05-12 $33.00 $0.00 94.2% 10.2% 20.0% 62.9% 0.0% 5.3% 8.0% -7 19 -2 0.00 182.97 N/A N/A 0 0 1 50 2020-05-13 $32.87 $0.00 29.0% 8.3% 19.1% 15.1% 0.0% 5.5% 5.4% 36 -104 0 0.00 164.40 N/A N/A 0 0 1 50 2020-05-14 $32.68 $0.00 36.8% 10.5% 19.2% 20.8% 0.0% 6.7% 58.7% -13 98 0 0.00 182.11 N/A N/A 0 0 1 50 2020-05-15 $32.69 $0.00 17.8% 5.1% 17.9% 6.9% 0.0% 4.6% -3.1% 0 0 0 0.00 162.60 N/A N/A 0 0 1 50 2020-05-18 $33.71 $0.00 35.6% 10.2% 20.8% 20.0% 0.0% 27.6% 6.3% 0 0 0 0.00 182.12 N/A N/A 0 0 0 0 2020-05-19 $33.31 $0.00 41.8% 12.0% 20.5% 24.5% 0.0% 5.8% 5.9% 0 0 0 0.00 176.69 N/A N/A 0 0 0 0 2020-05-20 $33.83 $0.00 40.4% 11.6% 20.5% 23.5% 0.0% 5.7% 5.4% 0 0 0 0.00 176.05 N/A N/A 0 0 0 0 2020-05-21 $33.61 $0.00 29.5% 8.5% 20.4% 15.5% 0.0% 5.3% 2.6% 0 0 0 0.00 163.72 N/A N/A 0 0 0 0 2020-05-22 $33.68 $0.00 18.3% 5.2% 20.3% 7.3% 0.0% 4.5% -3.6% 0 0 0 0.00 159.44 N/A N/A 0 0 0 0 2020-05-26 $34.17 $0.00 39.5% 11.3% 20.6% 22.8% 0.0% 5.7% 1.7% 0 0 0 0.00 178.76 N/A N/A 0 0 0 0 2020-05-27 $34.40 $0.00 40.1% 11.5% 20.7% 23.3% 0.0% 5.5% 1.4% 0 0 0 0.00 178.08 N/A N/A 0 0 0 0 2020-05-28 $34.66 $0.00 39.9% 11.4% 20.2% 23.1% 0.0% 26.4% 1.0% 0 0 0 0.00 176.99 N/A N/A 0 0 0 0 2020-05-29 $34.68 $0.00 41.2% 11.8% 17.9% 24.1% 0.0% 6.2% -0.2% 0 0 0 0.00 174.40 N/A N/A 0 0 0 0
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