IHDG Options History — October 2016

In October 2016, IHDG traded between $25.69 and $26.49. ATM implied volatility averaged 15.2%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.3% (HV 20d: 11.9%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days.

Notable Days

  • 2016-10-28: Largest IV spike — 57.1% change
  • 2016-10-28: Highest IV Rank — 9.6%
  • 2016-10-28: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.12$25.69$26.49$26.37$25.69
ATM IV15.2%12.5%23.1%14.2%16.1%
Expected Move4.4%3.6%6.6%4.1%4.6%
HV 20d11.9%8.0%14.8%14.7%8.0%
HV 60d11.0%10.8%11.4%11.4%11.0%
IV Rank5.6%4.2%9.6%5.1%6.1%
IV Percentile32.7%7.1%70.6%20.2%48.8%
Term Structure40.0%-2.7%74.4%1.7%-2.7%
Skew 25d2.7%0.9%4.3%3.7%1.9%
Skew 10d5.2%3.1%15.6%4.1%5.1%
Call IV 25d14.1%11.4%26.1%13.0%17.7%
Put IV 25d16.7%14.9%29.3%16.7%19.6%
Bid-Ask Spread %128.96121.00143.21131.05136.61
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$26.37$0.0014.2%4.1%14.7%5.1%0.0%3.7%1.7%0000.00131.05N/AN/A0000
2016-10-04$26.49$0.0014.8%4.3%14.7%5.4%0.0%2.1%2.1%0000.00128.73N/AN/A0000
2016-10-05$26.46$0.0015.4%4.4%14.7%5.7%0.0%2.1%0.8%0000.00130.93N/AN/A0000
2016-10-06$26.40$0.0014.8%4.5%14.8%5.4%0.0%4.3%73.6%0000.00123.28N/AN/A0000
2016-10-07$26.15$0.0014.6%4.5%13.3%5.3%0.0%3.3%66.5%0000.00121.00N/AN/A0000
2016-10-10$26.29$0.0016.2%4.4%13.1%6.1%0.0%3.7%66.8%0000.00124.95N/AN/A0000
2016-10-11$26.17$0.0016.6%4.6%12.7%6.3%0.0%2.7%67.1%0000.00121.59N/AN/A0000
2016-10-12$26.10$0.0016.1%4.6%12.5%6.0%0.0%3.6%68.0%0000.00121.28N/AN/A0000
2016-10-13$26.00$0.0015.3%4.4%12.0%5.6%0.0%2.2%69.8%0000.00122.33N/AN/A0000
2016-10-14$26.11$0.0015.0%4.3%12.1%5.5%0.0%3.3%69.7%0000.00123.50N/AN/A0000
2016-10-17$25.89$0.0015.4%4.4%12.4%5.7%0.0%1.7%71.8%0000.00122.76N/AN/A0000
2016-10-18$26.15$0.0014.8%4.2%12.9%5.4%0.0%3.8%71.1%0000.00125.78N/AN/A0000
2016-10-19$26.21$0.0013.8%4.0%12.7%4.9%0.0%2.8%72.8%0000.00126.05N/AN/A0000
2016-10-20$26.26$0.0012.6%3.6%12.0%4.3%0.0%3.2%73.7%0000.00125.73N/AN/A0000
2016-10-21$26.16$0.0012.5%3.6%11.9%4.2%0.0%2.4%74.4%0000.00128.54N/AN/A0000
2016-10-24$26.11$0.0014.9%4.3%10.2%5.4%0.0%1.6%-2.0%0000.00133.85N/AN/A0000
2016-10-25$26.04$0.0014.1%4.0%10.0%5.0%0.0%1.6%-1.0%0000.00139.07N/AN/A0000
2016-10-26$25.89$0.0014.4%4.1%9.4%5.2%0.0%1.8%-0.4%0000.00138.44N/AN/A0000
2016-10-27$25.93$0.0014.7%4.2%8.1%5.3%0.0%0.9%-1.4%0000.00139.53N/AN/A0000
2016-10-28$25.72$0.0023.1%6.6%8.0%9.6%0.0%3.2%-2.4%0000.00143.21N/AN/A0000
2016-10-31$25.69$0.0016.1%4.6%8.0%6.1%0.0%1.9%-2.7%0000.00136.61N/AN/A0000