IHDG Options History — August 2016 In August 2016, IHDG traded between $26.11 and $26.82. ATM implied volatility averaged 13.3%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 4.1% (HV 20d: 9.1%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 14 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2016-08-01 : Highest Volume — 10 contracts2016-08-10 : Largest IV drop — 26.2% change2016-08-09 : Highest IV Rank — 6.4%2016-08-04 : Largest Expected Move — 4.3%Monthly Statistics Metric Avg Min Max Open Close Price $26.42 $26.11 $26.82 $26.43 $26.35 Max Pain $25.00 $25.00 $25.00 $25.00 $25.00 ATM IV 13.3% 10.3% 16.4% 14.6% 13.9% Expected Move 3.7% 3.0% 4.3% 4.2% 4.0% HV 20d 9.1% 8.0% 11.6% 11.6% 8.7% HV 60d 18.5% 18.4% 18.7% 18.6% 18.4% IV Rank 4.9% 3.3% 6.4% 5.5% 5.2% IV Percentile 13.2% 2.1% 35.3% 18.3% 17.5% Term Structure 1.3% -2.6% 3.6% -1.3% 0.7% VWIV 18.7% 18.0% 19.6% 18.6% 18.0% Skew 25d 2.2% 1.0% 3.7% 2.7% 2.8% Skew 10d 3.3% 1.4% 5.5% 2.8% 4.1% Call IV 25d 12.6% 10.9% 14.8% 13.8% 13.9% Put IV 25d 14.8% 12.5% 18.0% 16.5% 16.7% Bid-Ask Spread % 128.32 113.97 133.21 113.97 130.35 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 477 0 1.4K 1.0K 0 Net DEX -16.3K -26.6K 0 -23.9K 0 Net VEX -3 -13 0 -10 0 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 5.652 0 10 10 0 Total OI 6.522 0 10 10 0
Daily Data (23 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 2016-08-01 $26.43 $25.00 14.6% 4.2% 11.6% 5.5% 18.6% 2.7% -1.3% 1.0K -23.9K -10 0.00 113.97 N/A N/A 10 0 10 0 2016-08-02 $26.21 $25.00 14.9% 4.3% 10.2% 5.7% 19.6% 2.7% 0.5% 1.3K -22.8K -13 0.00 114.26 N/A N/A 10 0 10 0 2016-08-03 $26.11 $25.00 14.3% 4.1% 10.0% 5.4% 18.0% 3.7% 1.9% 1.4K -22.4K -12 0.00 115.23 N/A N/A 10 0 10 0 2016-08-04 $26.26 $0.00 15.2% 4.3% 10.1% 5.8% 0.0% 2.4% 1.2% 1.2K -23.3K -11 0.00 125.12 N/A N/A 10 0 10 0 2016-08-05 $26.40 $0.00 14.7% 3.9% 9.5% 5.6% 0.0% 2.9% 3.4% 1.0K -24.1K -8 0.00 124.35 N/A N/A 10 0 10 0 2016-08-08 $26.26 $0.00 14.2% 3.8% 8.0% 5.3% 0.0% 1.8% 0.7% 1.1K -24.2K -7 0.00 130.40 N/A N/A 10 0 10 0 2016-08-09 $26.48 $0.00 16.4% 3.4% 8.2% 6.4% 0.0% 2.2% 3.6% 811 -25.0K -5 0.00 129.56 N/A N/A 10 0 10 0 2016-08-10 $26.44 $0.00 12.1% 3.5% 8.2% 4.2% 0.0% 1.2% 1.6% 798 -25.1K -4 0.00 130.55 N/A N/A 10 0 10 0 2016-08-11 $26.77 $0.00 10.3% 3.0% 9.2% 3.3% 0.0% 1.7% 3.4% 294 -26.4K -2 0.00 130.97 N/A N/A 10 0 10 0 2016-08-12 $26.74 $0.00 10.8% 3.1% 9.1% 3.6% 0.0% 1.0% 1.9% 373 -26.2K -2 0.00 132.59 N/A N/A 10 0 10 0 2016-08-15 $26.82 $0.00 10.6% 3.0% 8.9% 3.5% 0.0% 1.7% 2.2% 178 -26.6K -1 0.00 133.21 N/A N/A 10 0 10 0 2016-08-16 $26.53 $0.00 10.8% 3.1% 9.9% 3.6% 0.0% 1.1% 1.2% 501 -25.9K -1 0.00 131.33 N/A N/A 10 0 10 0 2016-08-17 $26.46 $0.00 12.5% 3.6% 9.2% 4.5% 0.0% 2.2% 2.5% 570 -25.7K -1 0.00 130.09 N/A N/A 0 0 10 0 2016-08-18 $26.40 $0.00 12.4% 3.6% 8.9% 4.4% 0.0% 2.0% 2.2% 362 -26.1K -1 0.00 130.51 N/A N/A 0 0 10 0 2016-08-19 $26.36 $0.00 13.2% 3.8% 8.8% 4.8% 0.0% 3.3% 1.8% 0 -26.4K 0 0.00 131.43 N/A N/A 10 0 10 0 2016-08-22 $26.41 $0.00 12.9% 3.7% 8.9% 4.7% 0.0% 3.2% 2.3% 0 0 0 0.00 130.27 N/A N/A 0 0 0 0 2016-08-23 $26.44 $0.00 12.6% 3.6% 8.8% 4.5% 0.0% 1.7% 0.6% 0 0 0 0.00 131.50 N/A N/A 0 0 0 0 2016-08-24 $26.40 $0.00 13.5% 3.9% 8.7% 4.9% 0.0% 1.3% 0.6% 0 0 0 0.00 131.76 N/A N/A 0 0 0 0 2016-08-25 $26.27 $0.00 13.5% 3.9% 8.8% 5.0% 0.0% 2.1% 1.1% 0 0 0 0.00 131.48 N/A N/A 0 0 0 0 2016-08-26 $26.24 $0.00 14.4% 4.1% 8.8% 5.4% 0.0% 2.5% 0.2% 0 0 0 0.00 132.04 N/A N/A 0 0 0 0 2016-08-29 $26.38 $0.00 14.2% 4.1% 8.9% 5.3% 0.0% 2.6% 0.8% 0 0 0 0.00 130.53 N/A N/A 0 0 0 0 2016-08-30 $26.51 $0.00 13.4% 3.9% 8.6% 4.9% 0.0% 2.2% -2.6% 0 0 0 0.00 129.76 N/A N/A 0 0 0 0 2016-08-31 $26.35 $0.00 13.9% 4.0% 8.7% 5.2% 0.0% 2.8% 0.7% 0 0 0 0.00 130.35 N/A N/A 0 0 0 0
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