IHDG Options History — July 2016

In July 2016, IHDG traded between $25.13 and $26.60. ATM implied volatility averaged 26.0%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 1.2% (HV 20d: 24.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2016-07-01: Highest Volume — 10 contracts
2016-07-29: Largest IV spike — 1422.8% change
2016-07-29: Highest IV Rank — 99.2%
2016-07-29: Largest Expected Move — 56.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.05	$25.13	$26.60	$25.69	$26.53
Max Pain	$25.00	$25.00	$25.00	$25.00	$25.00
ATM IV	26.0%	13.0%	197.7%	16.4%	197.7%
Expected Move	7.2%	3.7%	56.7%	4.7%	56.7%
HV 20d	24.8%	11.4%	29.4%	28.7%	11.4%
HV 60d	19.1%	18.6%	19.4%	18.9%	18.6%
IV Rank	11.4%	4.7%	99.2%	6.5%	99.2%
IV Percentile	32.6%	7.5%	99.6%	32.1%	99.6%
Term Structure	-2.0%	-56.7%	3.6%	1.1%	-56.7%
VWIV	26.7%	15.1%	193.5%	19.8%	193.5%
Skew 25d	3.7%	0.2%	19.6%	3.0%	19.6%
Skew 10d	3.8%	1.6%	19.6%	5.4%	19.6%
Call IV 25d	20.2%	12.4%	141.0%	17.2%	141.0%
Put IV 25d	23.9%	14.9%	160.6%	20.1%	160.6%
Bid-Ask Spread %	116.23	108.81	170.38	127.02	170.38
Gamma HHI	1.00	1.00	1.00	1.00	1.00
Net GEX	1.3K	909	1.6K	1.3K	1.0K
Net DEX	-20.4K	-24.2K	-13.5K	-17.0K	-21.4K
Net VEX	-22	-35	-10	-35	-17
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	10	10	10	10	10
Total OI	10	10	10	10	10

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	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2016-07-01	$25.69	$0.00	16.4%	4.7%	28.7%	6.5%	0.0%	3.0%	1.1%	1.3K	-17.0K	-35	127.02	N/A	N/A	10	10
2016-07-05	$25.27	$25.00	18.5%	5.8%	29.1%	7.5%	19.8%	0.2%	-0.4%	1.4K	-14.6K	-35	108.81	N/A	N/A	10	10
2016-07-06	$25.13	$25.00	22.5%	5.8%	29.0%	9.6%	20.2%	7.4%	-0.8%	1.4K	-13.5K	-35	110.29	N/A	N/A	10	10
2016-07-07	$25.13	$25.00	21.0%	5.6%	29.0%	8.8%	19.6%	1.7%	0.3%	1.5K	-13.5K	-34	110.52	N/A	N/A	10	10
2016-07-08	$25.44	$25.00	21.5%	5.2%	29.4%	9.1%	18.0%	3.5%	0.7%	1.6K	-15.7K	-33	113.08	N/A	N/A	10	10
2016-07-11	$25.87	$25.00	21.8%	4.7%	29.1%	9.2%	15.3%	6.7%	0.5%	1.6K	-19.2K	-27	110.57	N/A	N/A	10	10
2016-07-12	$26.04	$25.00	25.2%	4.7%	28.3%	11.0%	15.9%	2.8%	0.4%	1.4K	-20.6K	-25	111.78	N/A	N/A	10	10
2016-07-13	$26.11	$25.00	15.8%	4.5%	27.9%	6.1%	15.2%	2.8%	0.8%	1.5K	-21.2K	-22	113.17	N/A	N/A	10	10
2016-07-14	$26.15	$25.00	15.9%	4.5%	27.9%	6.2%	16.0%	2.2%	1.4%	1.4K	-21.5K	-20	113.15	N/A	N/A	10	10
2016-07-15	$26.05	$25.00	14.6%	4.2%	28.0%	5.5%	15.1%	2.3%	2.1%	1.4K	-21.8K	-19	113.25	N/A	N/A	10	10
2016-07-18	$26.21	$25.00	15.2%	4.4%	28.1%	5.8%	16.0%	3.3%	0.7%	1.3K	-22.6K	-17	113.92	N/A	N/A	10	10
2016-07-19	$26.20	$25.00	16.2%	4.6%	28.0%	6.3%	16.2%	3.1%	0.1%	1.5K	-22.2K	-18	113.03	N/A	N/A	10	10
2016-07-20	$26.47	$25.00	15.9%	4.6%	28.0%	6.2%	17.9%	3.9%	1.2%	1.3K	-22.9K	-16	112.53	N/A	N/A	10	10
2016-07-21	$26.29	$25.00	14.3%	4.1%	28.1%	5.4%	15.7%	1.4%	0.5%	1.2K	-23.3K	-15	113.73	N/A	N/A	10	10
2016-07-22	$26.39	$25.00	13.5%	3.9%	27.3%	5.0%	17.6%	3.3%	3.6%	1.1K	-22.8K	-16	113.89	N/A	N/A	10	10
2016-07-25	$26.37	$25.00	13.9%	4.0%	16.7%	5.2%	19.0%	1.6%	2.9%	1.2K	-22.7K	-15	113.67	N/A	N/A	10	10
2016-07-26	$26.45	$25.00	15.0%	4.3%	15.3%	5.7%	19.2%	2.1%	1.3%	1.1K	-23.2K	-14	113.73	N/A	N/A	10	10
2016-07-27	$26.54	$25.00	13.1%	3.7%	13.6%	4.7%	19.3%	1.4%	1.6%	982	-23.9K	-12	114.21	N/A	N/A	10	10
2016-07-28	$26.60	$25.00	13.0%	3.7%	13.0%	4.7%	18.5%	2.1%	-1.6%	909	-24.2K	-10	113.96	N/A	N/A	10	10
2016-07-29	$26.53	$25.00	197.7%	56.7%	11.4%	99.2%	193.5%	19.6%	-56.7%	1.0K	-21.4K	-17	170.38	N/A	N/A	10	10