IHDG Options History — September 2021

In September 2021, IHDG traded between $43.23 and $46.43. ATM implied volatility averaged 31.2%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 21.4% (HV 20d: 9.8%). Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2021-09-16: Highest Volume — 1 contracts
  • 2021-09-27: Largest IV spike — 182.7% change
  • 2021-09-21: Highest IV Rank — 23.6%
  • 2021-09-21: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.23$43.23$46.43$45.93$43.23
ATM IV31.2%15.6%50.1%29.6%19.3%
Expected Move8.5%4.5%14.4%8.5%5.5%
HV 20d9.8%6.6%15.4%6.8%15.3%
HV 60d10.5%9.5%12.7%9.6%12.5%
IV Rank11.9%2.4%23.6%10.5%4.6%
IV Percentile33.9%1.2%79.4%34.5%3.2%
Term Structure-7.4%-18.2%0.1%-7.6%0.1%
Skew 25d1.3%-31.4%20.8%20.8%0.8%
Skew 10d0.8%-38.7%8.7%8.7%2.8%
Call IV 25d33.8%16.3%60.2%17.5%20.4%
Put IV 25d35.1%18.7%64.5%38.3%21.2%
Bid-Ask Spread %179.14161.74187.41177.12161.74
Gamma HHI1.001.001.001.001.00
Net GEX440140065
Net DEX-297-1.2K00-257
Net VEX-2-600-2
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0480100
Total OI0.4290101

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$45.93$0.0029.6%8.5%6.8%10.5%0.0%20.8%-7.6%0000.00177.12N/AN/A0000
2021-09-02$46.01$0.0030.6%6.1%6.8%11.1%0.0%1.5%-2.5%0000.00183.19N/AN/A0000
2021-09-03$46.19$0.0030.5%6.1%6.7%11.0%0.0%1.7%-3.0%0000.00180.84N/AN/A0000
2021-09-07$46.43$0.0037.5%6.6%6.8%15.2%0.0%1.6%-3.6%0000.00180.69N/AN/A0000
2021-09-08$46.06$0.0022.8%6.5%7.3%6.8%0.0%1.5%-3.7%0000.00181.86N/AN/A0000
2021-09-09$45.83$0.0022.3%6.4%7.4%6.5%0.0%1.3%-4.0%0000.00180.51N/AN/A0000
2021-09-10$45.91$0.0023.3%6.7%7.4%7.1%0.0%1.2%-4.7%0000.00180.89N/AN/A0000
2021-09-13$46.11$0.0024.1%6.9%7.6%7.6%0.0%1.2%-3.8%0000.00182.35N/AN/A0000
2021-09-14$45.93$0.0024.3%7.0%7.6%7.7%0.0%1.5%-4.5%0000.00181.37N/AN/A0000
2021-09-15$45.89$0.0045.8%13.1%7.3%21.0%0.0%5.4%-15.3%0000.00187.41N/AN/A0000
2021-09-16$45.84$0.0024.6%7.0%6.6%7.9%0.0%1.5%-5.7%0000.00173.20N/AN/A1000
2021-09-17$45.24$0.0025.8%7.4%7.8%8.6%0.0%1.8%-6.1%0000.00181.64N/AN/A0000
2021-09-20$44.33$0.0030.6%8.8%10.6%11.6%0.0%1.8%-7.6%104-614-40.00177.80N/AN/A0010
2021-09-21$44.95$0.0050.1%14.4%11.6%23.6%0.0%4.0%-17.5%112-1.2K-60.00180.45N/AN/A0010
2021-09-22$45.24$0.0028.4%8.2%11.9%10.3%0.0%1.5%-7.6%136-828-50.00177.81N/AN/A0010
2021-09-23$45.45$0.0029.0%8.3%12.0%10.6%0.0%1.4%-7.5%140-852-50.00177.79N/AN/A0010
2021-09-24$44.61$0.0015.6%4.5%13.7%2.4%0.0%2.4%-3.1%74-183-20.00163.10N/AN/A0010
2021-09-27$44.17$0.0044.2%12.7%13.9%20.0%0.0%-31.4%-13.8%107-890-50.00186.25N/AN/A0010
2021-09-28$43.23$0.0047.1%13.5%15.3%21.8%0.0%0.4%-15.5%89-710-40.00184.53N/AN/A0010
2021-09-29$43.34$0.0049.9%14.3%15.4%23.5%0.0%4.4%-18.2%91-728-40.00181.34N/AN/A0010
2021-09-30$43.23$0.0019.3%5.5%15.3%4.6%0.0%0.8%0.1%65-257-20.00161.74N/AN/A0010