IHDG Options History — May 2016

In May 2016, IHDG traded between $25.41 and $26.54. ATM implied volatility averaged 15.3%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 2.4% (HV 20d: 12.9%). Max pain ranged from $24.75 to $24.75. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days.

Notable Days

  • 2016-05-02: Highest Volume — 3 contracts
  • 2016-05-09: Largest IV spike — 27.3% change
  • 2016-05-09: Highest IV Rank — 7.7%
  • 2016-05-05: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.91$25.41$26.54$25.79$26.52
Max Pain$24.75$24.75$24.75$24.75$24.75
ATM IV15.3%12.2%18.9%15.8%14.0%
Expected Move4.3%3.5%5.3%4.5%4.0%
HV 20d12.9%10.7%14.7%14.7%10.7%
HV 60d13.7%12.2%15.7%15.7%12.2%
IV Rank5.9%4.3%7.7%6.1%5.2%
IV Percentile20.7%4.3%34.5%23.5%14.5%
Term Structure47.8%-1.6%86.0%0.6%-0.8%
VWIV18.1%17.5%18.8%18.1%17.5%
Skew 25d1.8%0.6%4.2%1.5%2.2%
Skew 10d2.3%0.4%4.5%1.9%3.4%
Call IV 25d14.2%12.5%17.3%15.8%13.9%
Put IV 25d16.0%14.6%18.1%17.3%16.1%
Bid-Ask Spread %125.96122.32132.05126.49131.84
Gamma HHI1.001.001.001.001.00
Net GEX-282-5870-4520
Net DEX61602.0K8890
Net VEX-2-50-30
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume2.1430330
Total OI2.1430330

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$25.79$24.7515.8%4.5%14.7%6.1%18.1%1.5%0.6%-452889-30.00126.49N/AN/A0303
2016-05-03$25.58$24.7516.3%4.7%14.4%6.4%18.8%0.7%-1.6%-5221.3K-40.00122.52N/AN/A0303
2016-05-04$25.41$24.7516.1%4.6%13.8%6.3%17.5%0.6%2.0%-5872.0K-50.00122.97N/AN/A0303
2016-05-05$25.43$0.0016.6%5.3%13.3%6.6%0.0%4.0%75.4%-5751.9K-50.00122.33N/AN/A0303
2016-05-06$25.54$0.0014.8%3.7%13.1%5.6%0.0%4.2%83.6%-5531.6K-40.00122.32N/AN/A0303
2016-05-09$25.75$0.0018.9%4.8%13.4%7.7%0.0%1.0%80.1%-485804-20.00123.41N/AN/A0303
2016-05-10$26.02$0.0016.5%4.3%13.6%6.5%0.0%2.1%80.5%-333689-20.00125.02N/AN/A0303
2016-05-11$25.79$0.0015.1%4.3%13.0%5.8%0.0%0.9%82.3%-380588-20.00126.49N/AN/A0303
2016-05-12$25.85$0.0014.4%4.1%13.0%5.4%0.0%0.9%83.0%-395765-20.00125.61N/AN/A0303
2016-05-13$25.71$0.0016.3%4.7%13.1%6.4%0.0%1.0%82.6%-457819-20.00123.08N/AN/A0303
2016-05-16$25.99$0.0015.9%4.5%13.4%6.2%0.0%1.8%82.6%-276414-10.00125.33N/AN/A0303
2016-05-17$25.90$0.0015.6%4.5%12.6%6.0%0.0%1.7%84.0%-302430-10.00126.33N/AN/A0303
2016-05-18$25.85$0.0015.8%4.5%12.6%6.1%0.0%2.0%84.8%-316433-10.00126.50N/AN/A0303
2016-05-19$25.74$0.0015.8%4.5%12.2%6.2%0.0%0.7%86.0%-29430800.00124.73N/AN/A0303
2016-05-20$25.91$0.0015.6%4.5%12.5%6.0%0.0%1.5%85.6%0000.00126.55N/AN/A0303
2016-05-23$25.87$0.0014.5%4.2%12.4%5.5%0.0%1.8%3.2%0000.00127.90N/AN/A0000
2016-05-24$26.27$0.0014.8%4.2%13.6%5.6%0.0%1.9%3.3%0000.00122.40N/AN/A0000
2016-05-25$26.36$0.0013.6%3.9%13.5%5.0%0.0%3.0%3.4%0000.00130.06N/AN/A0000
2016-05-26$26.38$0.0013.3%3.8%10.8%4.9%0.0%2.1%3.0%0000.00131.20N/AN/A0000
2016-05-27$26.54$0.0012.2%3.5%10.8%4.3%0.0%2.0%-0.1%0000.00132.05N/AN/A0000
2016-05-31$26.52$0.0014.0%4.0%10.7%5.2%0.0%2.2%-0.8%0000.00131.84N/AN/A0000