IHDG Options History — December 2015 In December 2015, IHDG traded between $25.87 and $27.53. ATM implied volatility averaged 126.2%. The 30-day expected move averaged 35.8%. IV traded above realized volatility by 108.4% (HV 20d: 17.8%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days.
Notable Days 2015-12-31 : Highest Volume — 3 contracts2015-12-28 : Largest IV spike — 978.2% change2015-12-22 : Largest Expected Move — 56.1%Monthly Statistics Metric Avg Min Max Open Close Price $26.58 $25.87 $27.53 $27.53 $26.47 ATM IV 126.2% 12.0% 195.5% 133.2% 14.3% Expected Move 35.8% 3.4% 56.1% 40.5% 4.1% HV 20d 17.8% 10.6% 21.4% 10.6% 21.2% HV 60d 16.6% 15.4% 17.3% 15.7% 16.0% Term Structure -24.5% -70.5% 116.5% -61.2% 1.4% Skew 25d 6.8% -61.1% 42.4% 20.0% 0.7% Skew 10d 11.5% -4.5% 56.6% 20.0% 4.6% Call IV 25d 126.0% 12.4% 194.0% 140.8% 15.8% Put IV 25d 132.8% 14.2% 196.9% 160.7% 16.5% Bid-Ask Spread % 187.56 130.06 200.00 200.00 130.06 Net GEX 0 0 0 0 0 Net DEX 0 0 0 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.136 0 3 0 3 Total OI 0 0 0 0 0
Daily Data (22 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 2015-12-01 $27.53 $0.00 133.2% 0.0% 10.6% 0.0% 0.0% 20.0% -61.2% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-02 $27.37 $0.00 137.8% 0.0% 10.8% 0.0% 0.0% 17.9% 107.1% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-03 $26.72 $0.00 141.3% 40.5% 13.9% 0.0% 0.0% 8.7% -36.9% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-04 $27.16 $0.00 141.7% 40.6% 15.1% 0.0% 0.0% 15.3% -36.7% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-07 $27.20 $0.00 146.9% 42.1% 14.8% 0.0% 0.0% 16.5% -39.8% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-08 $26.75 $0.00 150.2% 43.1% 16.0% 0.0% 0.0% 9.7% -42.4% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-09 $26.32 $0.00 156.7% 44.9% 16.5% 0.0% 0.0% 2.9% -43.6% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-10 $26.40 $0.00 158.6% 45.5% 16.6% 0.0% 0.0% 4.3% -44.7% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-11 $25.87 $0.00 162.7% 46.6% 17.8% 0.0% 0.0% -4.5% -48.0% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-14 $25.97 $0.00 169.8% 48.7% 17.8% 0.0% 0.0% -2.9% -52.5% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-15 $26.37 $0.00 171.0% 49.0% 17.6% 0.0% 0.0% 4.1% -52.7% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-16 $26.90 $0.00 168.6% 48.3% 19.1% 0.0% 0.0% 13.6% -54.3% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-17 $26.76 $0.00 171.9% 49.3% 18.8% 0.0% 0.0% 11.3% -56.9% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-18 $26.30 $0.00 180.2% 51.7% 19.7% 0.0% 0.0% 2.9% -59.1% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-21 $25.98 $0.00 192.1% 55.1% 20.0% 0.0% 0.0% 41.9% -68.2% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-22 $26.10 $0.00 195.5% 56.1% 20.1% 0.0% 0.0% 42.4% -70.5% 0 0 0 0.00 200.00 N/A N/A 0 0 0 0 2015-12-23 $26.50 $0.00 12.0% 3.4% 21.0% 0.0% 0.0% -61.1% 1.4% 0 0 0 0.00 166.37 N/A N/A 0 0 0 0 2015-12-24 $26.39 $0.00 12.2% 3.5% 20.8% 0.0% 0.0% -0.9% 1.4% 0 0 0 0.00 165.74 N/A N/A 0 0 0 0 2015-12-28 $26.34 $0.00 131.0% 0.0% 20.7% 0.0% 0.0% 2.9% 116.5% 0 0 0 0.00 165.33 N/A N/A 0 0 0 0 2015-12-29 $26.71 $0.00 15.5% 4.4% 21.4% 0.0% 0.0% 2.5% 1.5% 0 0 0 0.00 163.33 N/A N/A 0 0 0 0 2015-12-30 $26.59 $0.00 13.4% 3.8% 21.2% 0.0% 0.0% 1.3% -0.3% 0 0 0 0.00 135.45 N/A N/A 0 0 0 0 2015-12-31 $26.47 $0.00 14.3% 4.1% 21.2% 0.0% 0.0% 0.7% 1.4% 0 0 0 0.00 130.06 N/A N/A 0 3 0 0
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