IHDG Options History — June 2017

In June 2017, IHDG traded between $29.49 and $30.69. ATM implied volatility averaged 18.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 9.6% (HV 20d: 9.1%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.41.

Notable Days

2017-06-30: Highest Volume — 21 contracts
2017-06-07: Largest IV spike — 702.8% change
2017-06-07: Highest IV Rank — 60.8%
2017-06-07: Largest Expected Move — 35.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.24	$29.49	$30.69	$30.52	$29.63
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	18.7%	10.4%	124.3%	14.1%	12.0%
Expected Move	4.7%	3.0%	35.6%	4.0%	3.4%
HV 20d	9.1%	7.6%	11.7%	8.1%	11.6%
HV 60d	8.6%	7.9%	9.9%	7.9%	9.9%
IV Rank	4.5%	0.0%	60.8%	2.0%	0.9%
IV Percentile	34.6%	0.4%	99.2%	39.7%	13.9%
Term Structure	-1.9%	-27.3%	1.2%	-4.4%	-2.4%
VWIV	11.5%	9.3%	13.4%	9.3%	12.8%
Skew 25d	2.5%	0.9%	10.3%	3.1%	1.7%
Skew 10d	3.8%	-0.1%	10.3%	7.7%	4.7%
Call IV 25d	17.1%	10.3%	131.9%	13.2%	13.3%
Put IV 25d	19.6%	12.2%	142.3%	16.4%	15.0%
Bid-Ask Spread %	143.01	133.30	183.22	134.95	137.60
Gamma HHI	0.54	0.25	1.00	1.00	0.52
Net GEX	1.2K	4	3.2K	25	2.5K
Net DEX	-10.6K	-27.0K	-1.8K	-1.9K	-16.8K
Net VEX	-57	-111	-8	-8	-95
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	1.00	0.00	0.31
Total Volume	11.091	1	21	1	21
Total OI	10.545	1	21	1	21

Daily Data (22 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
2017-06-01	$30.52	$0.00	14.1%	4.0%	8.1%	2.0%	0.0%	3.1%	-4.4%	25	-1.9K	-8	0.00	134.95	N/A	N/A	1	0	1	0
2017-06-02	$30.69	$0.00	13.2%	3.8%	8.2%	1.6%	0.0%	3.5%	-3.6%	26	-2.0K	-8	0.00	133.30	N/A	N/A	1	0	1	0
2017-06-05	$30.47	$0.00	15.4%	3.1%	8.6%	2.7%	0.0%	2.5%	-0.4%	25	-1.9K	-8	0.00	139.98	N/A	N/A	1	0	1	0
2017-06-06	$30.25	$0.00	15.5%	3.0%	9.0%	2.8%	0.0%	2.4%	-0.4%	24	-1.9K	-8	0.00	141.58	N/A	N/A	1	0	1	0
2017-06-07	$30.29	$0.00	124.3%	35.6%	8.9%	60.8%	0.0%	10.3%	-27.3%	22	-1.8K	-8	0.00	183.22	N/A	N/A	1	0	1	0
2017-06-08	$30.19	$0.00	16.7%	3.2%	9.0%	3.4%	0.0%	0.9%	-0.4%	25	-1.8K	-8	1.00	137.61	N/A	N/A	3	3	1	0
2017-06-09	$30.12	$0.00	17.2%	3.0%	9.0%	3.7%	0.0%	2.6%	0.0%	5	-2.4K	-45	1.00	143.55	N/A	N/A	3	3	3	3
2017-06-12	$29.97	$0.00	21.9%	3.0%	9.1%	6.2%	0.0%	1.9%	0.8%	4	-2.3K	-45	1.00	144.11	N/A	N/A	3	3	3	3
2017-06-13	$30.24	$0.00	24.8%	3.0%	9.7%	7.7%	0.0%	2.6%	0.6%	6	-2.4K	-45	1.00	144.59	N/A	N/A	3	3	3	3
2017-06-14	$30.23	$0.00	10.4%	3.0%	9.7%	0.0%	0.0%	2.4%	1.0%	6	-2.4K	-44	1.00	144.65	N/A	N/A	3	3	3	3
2017-06-15	$30.06	$0.00	10.8%	3.1%	7.6%	0.3%	0.0%	2.4%	1.1%	6	-2.3K	-44	1.00	143.60	N/A	N/A	3	3	3	3
2017-06-16	$30.34	$0.00	10.5%	3.0%	8.1%	0.1%	0.0%	2.7%	1.2%	5	-2.5K	-44	1.00	143.32	N/A	N/A	3	3	3	3
2017-06-19	$30.61	$0.00	10.8%	3.1%	8.5%	0.3%	9.3%	2.3%	-0.5%	5	-2.2K	-44	0.23	140.97	N/A	N/A	13	3	3	3
2017-06-20	$30.42	$30.00	11.1%	3.2%	8.7%	0.4%	10.6%	1.9%	-1.0%	3.0K	-17.0K	-76	0.18	139.96	N/A	N/A	17	3	13	3
2017-06-21	$30.36	$30.00	11.4%	3.3%	8.8%	0.6%	10.8%	2.2%	-0.5%	3.1K	-26.0K	-111	0.18	141.85	N/A	N/A	17	3	18	3
2017-06-22	$30.34	$30.00	11.6%	3.3%	8.8%	0.7%	11.2%	2.2%	-1.2%	3.0K	-25.8K	-111	0.18	143.80	N/A	N/A	17	3	18	3
2017-06-23	$30.35	$30.00	11.4%	3.3%	8.6%	0.6%	10.9%	2.3%	-1.3%	3.1K	-25.8K	-109	0.18	145.47	N/A	N/A	17	3	18	3
2017-06-26	$30.46	$30.00	12.3%	3.5%	8.7%	1.1%	11.9%	1.6%	-1.8%	3.2K	-27.0K	-107	0.18	140.72	N/A	N/A	17	3	18	3
2017-06-27	$30.08	$30.00	10.5%	3.0%	9.8%	0.1%	11.5%	1.0%	-0.2%	3.2K	-26.6K	-89	0.18	135.87	N/A	N/A	17	3	18	3
2017-06-28	$30.10	$30.00	11.6%	3.3%	9.8%	0.7%	12.2%	1.3%	-0.4%	3.1K	-22.7K	-103	0.18	142.98	N/A	N/A	17	3	18	3
2017-06-29	$29.49	$30.00	13.5%	3.9%	11.7%	1.7%	13.4%	1.8%	-1.1%	2.2K	-16.6K	-94	0.18	142.48	N/A	N/A	17	3	18	3
2017-06-30	$29.63	$30.00	12.0%	3.4%	11.6%	0.9%	12.8%	1.7%	-2.4%	2.5K	-16.8K	-95	0.31	137.60	N/A	N/A	16	5	18	3