IHDG Options History — October 2015

In October 2015, IHDG traded between $24.75 and $26.95. ATM implied volatility averaged 113.1%. The 30-day expected move averaged 44.2%. IV traded above realized volatility by 95.0% (HV 20d: 18.1%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days.

Notable Days

  • 2015-10-14: Largest IV spike — 522.9% change
  • 2015-10-30: Largest Expected Move — 57.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.02$24.75$26.95$24.75$26.74
ATM IV113.1%16.2%199.2%22.3%199.2%
Expected Move44.2%5.7%57.1%6.4%57.1%
HV 20d18.1%15.7%20.1%18.5%15.7%
Term Structure-56.6%-77.0%2.0%-1.6%-63.6%
Skew 25d23.5%1.4%39.9%1.8%34.9%
Skew 10d24.2%3.4%36.9%3.9%34.9%
Call IV 25d94.3%18.0%157.3%20.7%138.3%
Put IV 25d117.8%20.2%197.2%22.5%173.2%
Bid-Ask Spread %190.79116.29200.00116.29196.82
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$24.75$0.0022.3%6.4%18.5%0.0%0.0%1.8%-1.6%0000.00116.29N/AN/A0000
2015-10-02$25.29$0.0019.9%5.7%20.1%0.0%0.0%4.0%2.0%0000.00116.74N/AN/A0000
2015-10-05$25.77$0.0016.5%39.9%20.1%0.0%0.0%39.9%-59.2%0000.00200.00N/AN/A0000
2015-10-06$25.68$0.0016.4%41.3%18.6%0.0%0.0%3.8%-62.3%0000.00199.03N/AN/A0000
2015-10-07$25.73$0.0017.4%41.7%18.5%0.0%0.0%1.5%-63.4%0000.00199.17N/AN/A0000
2015-10-08$25.85$0.0016.2%42.1%18.5%0.0%0.0%4.0%-64.2%0000.00199.17N/AN/A0000
2015-10-09$25.72$0.0017.9%42.7%18.6%0.0%0.0%1.4%-66.2%0000.00198.88N/AN/A0000
2015-10-12$25.73$0.0021.4%44.3%17.9%0.0%0.0%28.3%-70.9%0000.00198.88N/AN/A0000
2015-10-13$25.53$0.0026.2%45.1%17.9%0.0%0.0%28.2%-73.7%0000.00199.03N/AN/A0000
2015-10-14$25.38$0.00163.3%46.8%17.5%0.0%0.0%28.1%-73.9%0000.00199.33N/AN/A0000
2015-10-15$25.95$0.00160.2%45.9%19.1%0.0%0.0%28.8%-75.1%0000.00198.88N/AN/A0000
2015-10-16$25.95$0.00162.4%46.6%18.7%0.0%0.0%28.9%-77.0%0000.00198.75N/AN/A0000
2015-10-19$25.93$0.00169.9%48.7%18.7%0.0%0.0%25.2%-46.0%0000.00198.75N/AN/A0000
2015-10-20$25.90$0.00172.6%49.5%16.8%0.0%0.0%25.1%-47.7%0000.00198.61N/AN/A0000
2015-10-21$25.94$0.00175.5%50.3%16.8%0.0%0.0%25.8%-49.4%0000.00198.18N/AN/A0000
2015-10-22$26.52$0.00172.6%49.5%18.0%0.0%0.0%33.4%-50.8%0000.00197.89N/AN/A0000
2015-10-23$26.95$0.00174.3%50.0%18.4%0.0%0.0%35.2%-51.2%0000.00196.34N/AN/A0000
2015-10-26$26.75$0.00185.2%53.1%17.8%0.0%0.0%33.6%-58.8%0000.00196.34N/AN/A0000
2015-10-27$26.62$0.00189.4%54.3%17.8%0.0%0.0%32.3%-62.0%0000.00197.12N/AN/A0000
2015-10-28$26.95$0.00192.3%55.1%17.0%0.0%0.0%36.9%-63.3%0000.00196.58N/AN/A0000
2015-10-29$26.82$0.00197.1%56.5%16.9%0.0%0.0%35.6%-67.0%0000.00196.58N/AN/A0000
2015-10-30$26.74$0.00199.2%57.1%15.7%0.0%0.0%34.9%-63.6%0000.00196.82N/AN/A0000