IHDG Options History — March 2021

In March 2021, IHDG traded between $39.87 and $41.34. ATM implied volatility averaged 31.5%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 19.9% (HV 20d: 11.5%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2021-03-10: Largest IV drop — 39.7% change
  • 2021-03-09: Highest IV Rank — 16.4%
  • 2021-03-03: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.72$39.87$41.34$40.74$41.29
ATM IV31.5%25.9%44.7%32.4%34.5%
Expected Move8.3%7.3%10.1%9.3%9.9%
HV 20d11.5%10.0%12.7%12.7%10.0%
HV 60d12.8%12.2%13.1%12.4%12.2%
IV Rank8.3%4.9%16.4%8.9%10.2%
IV Percentile11.5%3.6%41.7%7.5%15.9%
Term Structure-6.7%-11.7%-3.8%-7.9%-11.7%
Skew 25d-1.7%-14.8%10.8%-1.6%-10.7%
Skew 10d8.2%-2.3%34.4%7.1%34.4%
Call IV 25d32.7%27.9%42.7%39.4%31.8%
Put IV 25d31.0%16.3%39.0%37.9%21.2%
Bid-Ask Spread %180.78172.11183.51172.11181.78
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-03-01$40.74$0.0032.4%9.3%12.7%8.9%0.0%-1.6%-7.9%0000.00172.11N/AN/A0000
2021-03-02$40.73$0.0034.1%9.8%10.8%9.9%0.0%-2.9%-8.9%0000.00173.88N/AN/A0000
2021-03-03$40.55$0.0035.2%10.1%10.7%10.6%0.0%-5.6%-9.7%0000.00174.54N/AN/A0000
2021-03-04$39.87$0.0036.8%7.4%12.3%11.6%0.0%0.7%-3.9%0000.00179.46N/AN/A0000
2021-03-05$40.18$0.0036.7%7.3%12.6%11.6%0.0%1.9%-3.9%0000.00179.01N/AN/A0000
2021-03-08$40.14$0.0041.9%7.5%12.6%14.7%0.0%2.0%-3.8%0000.00179.80N/AN/A0000
2021-03-09$40.42$0.0044.7%7.7%12.6%16.4%0.0%1.1%-4.6%0000.00183.12N/AN/A0000
2021-03-10$40.40$0.0026.9%7.7%12.6%5.6%0.0%1.4%-4.4%0000.00182.84N/AN/A0000
2021-03-11$40.66$0.0026.3%7.5%12.6%5.2%0.0%1.5%-4.8%0000.00183.06N/AN/A0000
2021-03-12$40.76$0.0025.9%7.4%12.3%4.9%0.0%2.2%-4.7%0000.00183.47N/AN/A0000
2021-03-15$40.73$0.0026.8%7.7%12.0%5.5%0.0%1.6%-5.7%0000.00181.90N/AN/A0000
2021-03-16$41.05$0.0027.0%7.7%11.3%5.6%0.0%-4.9%-5.1%0000.00182.43N/AN/A0000
2021-03-17$40.97$0.0026.6%7.6%11.2%5.4%0.0%-8.6%-5.7%0000.00183.51N/AN/A0000
2021-03-18$40.72$0.0027.3%7.8%11.3%5.8%0.0%-5.9%-5.9%0000.00182.71N/AN/A0000
2021-03-19$40.79$0.0027.5%7.9%11.3%5.9%0.0%-6.7%-5.7%0000.00182.15N/AN/A0000
2021-03-22$40.86$0.0028.8%8.3%11.1%6.7%0.0%1.5%-6.9%0000.00183.32N/AN/A0000
2021-03-23$40.57$0.0028.8%8.3%11.4%6.7%0.0%0.7%-8.2%0000.00180.90N/AN/A0000
2021-03-24$40.64$0.0029.7%8.5%11.4%7.3%0.0%0.8%-8.2%0000.00183.08N/AN/A0000
2021-03-25$40.69$0.0029.6%8.5%10.6%7.2%0.0%3.1%-7.4%0000.00181.04N/AN/A0000
2021-03-26$41.19$0.0029.5%8.5%11.2%7.2%0.0%10.8%-7.0%0000.00180.37N/AN/A0000
2021-03-29$41.34$0.0033.2%9.5%10.2%9.4%0.0%-6.5%-9.9%0000.00182.20N/AN/A0000
2021-03-30$41.27$0.0033.1%9.5%10.2%9.4%0.0%-14.8%-9.9%0000.00181.35N/AN/A0000
2021-03-31$41.29$0.0034.5%9.9%10.0%10.2%0.0%-10.7%-11.7%0000.00181.78N/AN/A0000