IHDG Options History — February 2016 In February 2016, IHDG traded between $23.52 and $25.83. ATM implied volatility averaged 22.1%. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 0.5% (HV 20d: 22.6%). Max pain ranged from $26.75 to $26.75. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days.
Notable Days 2016-02-01 : Highest Volume — 3 contracts2016-02-08 : Largest IV spike — 26.3% change2016-02-09 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $24.71 $23.52 $25.83 $25.83 $25.06 Max Pain $26.75 $26.75 $26.75 $26.75 $26.75 ATM IV 22.1% 18.6% 31.1% 19.0% 19.7% Expected Move 6.2% 5.3% 7.7% 5.5% 5.6% HV 20d 22.6% 20.5% 24.0% 23.6% 20.5% HV 60d 20.4% 19.1% 21.4% 19.1% 21.3% Term Structure 44.3% -1.4% 85.6% -0.1% -0.3% VWIV 19.6% 15.1% 23.1% 15.1% 20.5% Skew 25d 4.8% -0.3% 12.0% 2.7% 2.9% Skew 10d 4.6% 2.2% 10.7% 10.7% 2.6% Call IV 25d 17.9% 15.0% 24.2% 17.4% 17.9% Put IV 25d 22.7% 17.5% 31.4% 20.1% 20.8% Bid-Ask Spread % 113.47 102.68 123.50 115.99 123.50 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -136 -511 0 -511 -312 Net DEX 5.6K 0 7.5K 6.2K 3.3K Net VEX -3 -14 0 -5 -14 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 2.85 0 3 3 3 Total OI 2.7 0 3 3 3
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 2016-02-01 $25.83 $26.75 19.0% 5.5% 23.6% 0.0% 15.1% 2.7% -0.1% -511 6.2K -5 0.00 115.99 N/A N/A 0 3 0 3 2016-02-02 $25.33 $26.75 20.6% 5.9% 23.9% 0.0% 23.1% -0.3% -0.8% -366 6.4K -4 0.00 112.65 N/A N/A 0 3 0 3 2016-02-03 $25.15 $26.75 22.0% 6.3% 24.0% 0.0% 20.5% 4.6% 0.9% -258 6.9K -2 0.00 113.76 N/A N/A 0 3 0 3 2016-02-04 $24.82 $0.00 21.7% 6.0% 23.9% 0.0% 0.0% 6.6% 76.9% -152 7.1K -1 0.00 110.93 N/A N/A 0 3 0 3 2016-02-05 $24.66 $0.00 22.3% 6.1% 22.8% 0.0% 0.0% 5.1% 78.2% -116 7.2K -1 0.00 109.29 N/A N/A 0 3 0 3 2016-02-08 $24.13 $0.00 28.2% 7.4% 23.8% 0.0% 0.0% 2.8% 76.5% -13 7.2K 0 0.00 106.37 N/A N/A 0 3 0 3 2016-02-09 $23.88 $0.00 31.1% 7.7% 23.8% 0.0% 0.0% 6.2% 77.9% -14 7.1K 0 0.00 102.68 N/A N/A 0 3 0 3 2016-02-10 $23.75 $0.00 24.9% 7.1% 23.3% 0.0% 0.0% 2.4% 81.9% -1 7.1K 0 0.00 103.62 N/A N/A 0 3 0 3 2016-02-11 $23.52 $0.00 25.7% 7.4% 22.8% 0.0% 0.0% 9.6% 82.5% -3 7.1K 0 0.00 102.72 N/A N/A 0 3 0 3 2016-02-12 $23.82 $0.00 24.8% 7.1% 23.1% 0.0% 0.0% 8.2% 81.9% 0 7.1K 0 0.00 109.10 N/A N/A 0 3 0 3 2016-02-16 $24.49 $0.00 24.6% 7.1% 22.9% 0.0% 0.0% 12.0% 81.5% -1 7.3K 0 0.00 107.97 N/A N/A 0 3 0 3 2016-02-17 $24.93 $0.00 20.9% 6.0% 23.2% 0.0% 0.0% 9.3% 82.4% -20 7.5K 0 0.00 115.65 N/A N/A 0 3 0 3 2016-02-18 $24.88 $0.00 19.9% 5.7% 22.7% 0.0% 0.0% 1.5% 84.5% 0 7.5K 0 0.00 119.18 N/A N/A 0 3 0 3 2016-02-19 $24.90 $0.00 19.3% 5.5% 22.6% 0.0% 0.0% 2.5% 85.6% 0 7.5K 0 0.00 118.39 N/A N/A 0 3 0 3 2016-02-22 $25.22 $0.00 18.6% 5.3% 20.7% 0.0% 0.0% 3.0% 0.5% 0 0 0 0.00 120.31 N/A N/A 0 0 0 0 2016-02-23 $24.88 $0.00 19.9% 5.7% 21.2% 0.0% 0.0% 0.6% -1.4% 0 0 0 0.00 119.36 N/A N/A 0 3 0 0 2016-02-24 $24.84 $0.00 19.6% 5.6% 20.8% 0.0% 0.0% 8.9% -0.9% -319 3.6K -14 0.00 116.53 N/A N/A 0 3 0 3 2016-02-25 $25.07 $0.00 19.8% 5.7% 21.1% 0.0% 0.0% 4.8% -0.9% -315 3.4K -14 0.00 120.54 N/A N/A 0 3 0 3 2016-02-26 $25.14 $0.00 20.1% 5.8% 21.2% 0.0% 0.0% 2.8% -0.7% -326 3.2K -14 0.00 120.94 N/A N/A 0 3 0 3 2016-02-29 $25.06 $0.00 19.7% 5.6% 20.5% 0.0% 0.0% 2.9% -0.3% -312 3.3K -14 0.00 123.50 N/A N/A 0 3 0 3
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