IHDG Options History — January 2017

Name: IHDG Options Analytics - January 2017
Creator: Options Analysis Suite

In January 2017, IHDG traded between $26.53 and $26.92. ATM implied volatility averaged 13.4%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded above realized volatility by 7.1% (HV 20d: 6.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 12 of 20 days.

Notable Days

2017-01-11: Largest IV drop — 22.9% change
2017-01-10: Highest IV Rank — 6.0%
2017-01-03: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.75	$26.53	$26.92	$26.53	$26.73
ATM IV	13.4%	11.6%	16.0%	15.7%	14.4%
Expected Move	3.6%	3.3%	4.5%	4.5%	4.1%
HV 20d	6.3%	4.0%	8.5%	8.5%	6.3%
HV 60d	10.0%	9.5%	10.4%	10.4%	9.5%
IV Rank	4.2%	1.2%	6.0%	5.9%	2.2%
IV Percentile	20.8%	2.8%	56.0%	50.4%	33.3%
Term Structure	38.5%	-3.9%	73.6%	-3.9%	-3.0%
Skew 25d	1.6%	0.1%	3.7%	3.3%	1.3%
Skew 10d	5.0%	3.5%	10.2%	10.2%	5.0%
Call IV 25d	13.8%	12.5%	16.6%	14.0%	16.6%
Put IV 25d	15.4%	14.0%	17.9%	17.4%	17.9%
Bid-Ask Spread %	136.21	131.09	186.78	186.78	133.40
Net GEX	0	0	0	0	0
Net DEX	0	0	0	0	0
Net VEX	0	0	0	0	0
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	0	0	0	0	0
Total OI	0	0	0	0	0

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	Spread %	Call Wall	Put Wall
2017-01-03	$26.53	$0.00	15.7%	4.5%	8.5%	5.9%	0.0%	3.3%	-3.9%	186.78	N/A	N/A
2017-01-04	$26.58	$0.00	14.6%	4.2%	8.5%	5.3%	0.0%	3.7%	-2.9%	138.20	N/A	N/A
2017-01-05	$26.61	$0.00	15.1%	3.5%	8.5%	5.6%	0.0%	1.7%	69.8%	132.53	N/A	N/A
2017-01-06	$26.73	$0.00	14.7%	3.4%	8.4%	5.3%	0.0%	1.8%	70.0%	133.29	N/A	N/A
2017-01-09	$26.77	$0.00	15.9%	3.5%	8.3%	6.0%	0.0%	2.3%	70.6%	131.78	N/A	N/A
2017-01-10	$26.76	$0.00	16.0%	3.4%	7.5%	6.0%	0.0%	1.5%	70.7%	133.04	N/A	N/A
2017-01-11	$26.82	$0.00	12.3%	3.5%	6.2%	4.1%	0.0%	1.6%	70.2%	131.09	N/A	N/A
2017-01-12	$26.75	$0.00	11.8%	3.4%	4.4%	3.9%	0.0%	1.8%	71.8%	133.47	N/A	N/A
2017-01-13	$26.86	$0.00	11.6%	3.3%	4.0%	3.8%	0.0%	1.3%	71.3%	132.76	N/A	N/A
2017-01-17	$26.64	$0.00	11.8%	3.4%	5.2%	3.9%	0.0%	1.1%	73.3%	133.60	N/A	N/A
2017-01-18	$26.79	$0.00	12.1%	3.5%	5.5%	4.0%	0.0%	1.5%	73.6%	132.88	N/A	N/A
2017-01-19	$26.77	$0.00	12.7%	3.6%	5.5%	4.3%	0.0%	0.2%	72.9%	134.12	N/A	N/A
2017-01-20	$26.77	$0.00	12.1%	3.5%	5.4%	4.0%	0.0%	0.1%	73.0%	134.94	N/A	N/A
2017-01-23	$26.72	$0.00	12.3%	3.5%	5.4%	4.1%	0.0%	1.2%	-1.4%	133.09	N/A	N/A
2017-01-24	$26.75	$0.00	12.6%	3.6%	5.4%	4.3%	0.0%	1.3%	-1.4%	133.86	N/A	N/A
2017-01-25	$26.92	$0.00	12.5%	3.6%	5.7%	4.2%	0.0%	2.4%	-0.8%	133.74	N/A	N/A
2017-01-26	$26.91	$0.00	12.8%	3.7%	5.8%	4.4%	0.0%	1.8%	0.1%	132.90	N/A	N/A
2017-01-27	$26.90	$0.00	12.6%	3.6%	5.7%	1.2%	0.0%	1.2%	-1.2%	133.94	N/A	N/A
2017-01-30	$26.73	$0.00	14.0%	4.0%	6.3%	2.0%	0.0%	1.3%	-2.7%	134.72	N/A	N/A
2017-01-31	$26.73	$0.00	14.4%	4.1%	6.3%	2.2%	0.0%	1.3%	-3.0%	133.40	N/A	N/A