IHDG Options History — March 2017

In March 2017, IHDG traded between $27.99 and $28.54. ATM implied volatility averaged 15.1%, placing in the 2.6% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 7.9% (HV 20d: 7.2%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 15 of 23 days.

Notable Days

  • 2017-03-15: Largest IV drop — 54.5% change
  • 2017-03-14: Highest IV Rank — 9.2%
  • 2017-03-03: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.28$27.99$28.54$28.13$28.47
ATM IV15.1%10.9%27.5%15.0%13.9%
Expected Move3.7%3.1%4.5%4.3%4.0%
HV 20d7.2%6.1%8.5%7.7%6.6%
HV 60d6.8%6.1%7.5%7.5%6.8%
IV Rank2.6%0.3%9.2%2.5%1.9%
IV Percentile41.6%2.0%96.0%53.2%31.0%
Term Structure0.8%-3.7%4.5%-3.0%-1.7%
Skew 25d2.0%-1.3%3.8%2.5%2.6%
Skew 10d3.8%-0.0%7.9%5.6%3.3%
Call IV 25d12.7%9.9%16.4%15.3%13.3%
Put IV 25d14.7%12.1%19.7%17.8%15.9%
Bid-Ask Spread %136.87130.97144.69137.38137.19
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-03-01$28.13$0.0015.0%4.3%7.7%2.5%0.0%2.5%-3.0%0000.00137.38N/AN/A0000
2017-03-02$28.17$0.0014.2%4.1%7.6%2.1%0.0%2.2%-3.7%0000.00143.38N/AN/A0000
2017-03-03$28.07$0.0015.8%4.5%7.8%2.9%0.0%3.2%-3.6%0000.00135.45N/AN/A0000
2017-03-06$28.06$0.0015.4%3.7%7.8%2.7%0.0%1.2%2.7%0000.00130.97N/AN/A0000
2017-03-07$27.99$0.0015.5%3.2%7.1%2.8%0.0%1.9%4.5%0000.00144.69N/AN/A0000
2017-03-08$27.99$0.0016.4%3.4%7.0%3.2%0.0%2.0%4.3%0000.00138.11N/AN/A0000
2017-03-09$28.14$0.0017.2%3.7%7.0%3.7%0.0%3.0%3.7%0000.00137.55N/AN/A0000
2017-03-10$28.24$0.0018.2%3.1%6.9%4.2%0.0%2.7%4.5%0000.00140.51N/AN/A0000
2017-03-13$28.31$0.0024.9%3.4%6.9%7.8%0.0%0.4%2.2%0000.00138.23N/AN/A0000
2017-03-14$28.31$0.0027.5%3.5%6.7%9.2%0.0%0.8%2.4%0000.00138.69N/AN/A0000
2017-03-15$28.36$0.0012.5%3.6%6.6%1.2%0.0%2.1%0.4%0000.00136.46N/AN/A0000
2017-03-16$28.42$0.0012.5%3.6%6.6%1.2%0.0%3.4%-0.6%0000.00134.48N/AN/A0000
2017-03-17$28.53$0.0010.9%3.1%6.7%0.3%0.0%3.4%3.8%0000.00136.84N/AN/A0000
2017-03-20$28.54$0.0011.1%3.2%6.1%0.4%0.0%1.9%3.8%0000.00136.78N/AN/A0000
2017-03-21$28.27$0.0012.1%3.5%7.3%1.0%0.0%2.4%1.5%0000.00138.50N/AN/A0000
2017-03-22$28.26$0.0013.9%4.0%7.3%1.9%0.0%3.8%1.7%0000.00135.36N/AN/A0000
2017-03-23$28.33$0.0013.6%3.9%7.3%1.8%0.0%1.6%0.4%0000.00134.85N/AN/A0000
2017-03-24$28.51$0.0011.1%3.2%7.3%0.4%0.0%-1.3%-1.9%0000.00133.95N/AN/A0000
2017-03-27$28.23$0.0013.8%4.0%8.3%1.9%0.0%2.2%1.2%0000.00131.54N/AN/A0000
2017-03-28$28.38$0.0013.9%4.0%8.5%1.9%0.0%0.4%-1.5%0000.00135.99N/AN/A0000
2017-03-29$28.41$0.0014.7%4.2%6.8%2.4%0.0%1.9%-3.1%0000.00134.86N/AN/A0000
2017-03-30$28.42$0.0012.7%3.6%6.8%1.3%0.0%2.5%0.2%0000.00136.24N/AN/A0000
2017-03-31$28.47$0.0013.9%4.0%6.6%1.9%0.0%2.6%-1.7%0000.00137.19N/AN/A0000