IHDG Options History — September 2017

In September 2017, IHDG traded between $29.72 and $30.66. ATM implied volatility averaged 19.6%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 9.6% (HV 20d: 10.0%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 3.58.

Notable Days

2017-09-01: Highest Volume — 28 contracts
2017-09-14: Largest IV spike — 1236.5% change
2017-09-14: Highest IV Rank — 100.0%
2017-09-14: Largest Expected Move — 39.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.33	$29.72	$30.66	$30.12	$30.66
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	19.6%	10.2%	136.3%	12.2%	10.8%
Expected Move	4.9%	2.8%	39.1%	3.5%	3.1%
HV 20d	10.0%	9.0%	11.3%	9.6%	9.4%
HV 60d	10.0%	8.9%	10.7%	9.9%	8.9%
IV Rank	8.9%	1.5%	100.0%	3.2%	2.0%
IV Percentile	38.7%	2.8%	100.0%	28.2%	10.7%
Term Structure	-2.5%	-33.5%	1.7%	-3.1%	-1.9%
VWIV	18.3%	18.3%	18.3%	18.3%	18.3%
Skew 25d	2.8%	1.0%	16.1%	1.0%	1.8%
Skew 10d	3.6%	1.6%	16.1%	2.8%	3.6%
Call IV 25d	17.7%	9.8%	142.8%	15.0%	12.1%
Put IV 25d	20.5%	12.1%	158.9%	16.0%	13.9%
Bid-Ask Spread %	146.11	140.47	192.80	144.93	141.36
Gamma HHI	0.37	0.30	0.54	0.39	0.30
Net GEX	103	-1.2K	1.9K	-180	513
Net DEX	-19.0K	-26.1K	1.2K	-19.3K	-24.3K
Net VEX	-101	-179	-58	-103	-75
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.58	3.50	3.67	3.67	3.50
Total Volume	27.5	27	28	28	27
Total OI	35.5	35	36	36	35

Daily Data (20 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
2017-09-01	$30.12	$29.00	12.2%	3.5%	9.6%	3.2%	18.3%	1.0%	-3.1%	-180	-19.3K	-103	3.67	144.93	N/A	N/A	6	22	12	24
2017-09-05	$29.72	$0.00	15.6%	3.0%	10.8%	5.9%	0.0%	1.7%	1.7%	-768	-11.7K	-136	3.67	140.47	N/A	N/A	6	22	12	24
2017-09-06	$29.97	$0.00	14.6%	2.9%	11.2%	5.1%	0.0%	2.1%	1.0%	-1.2K	-8.9K	-144	3.67	143.37	N/A	N/A	6	22	12	24
2017-09-07	$30.10	$0.00	15.4%	2.9%	11.3%	5.7%	0.0%	2.5%	-0.2%	-123	-21.5K	-85	3.67	144.95	N/A	N/A	6	22	12	24
2017-09-08	$29.94	$0.00	15.8%	2.8%	9.9%	6.0%	0.0%	1.5%	-0.0%	80	-18.3K	-103	3.67	144.88	N/A	N/A	6	22	12	24
2017-09-11	$30.37	$0.00	23.0%	3.0%	11.0%	11.8%	0.0%	3.2%	0.2%	1.9K	-26.1K	-58	3.67	143.51	N/A	N/A	6	22	12	24
2017-09-12	$30.37	$0.00	26.6%	3.0%	10.6%	14.6%	0.0%	2.4%	-0.6%	-103	-19.0K	-107	3.67	143.59	N/A	N/A	6	22	12	24
2017-09-13	$30.38	$0.00	10.2%	2.9%	10.6%	1.6%	0.0%	2.6%	-0.5%	-79	-19.2K	-106	3.67	145.15	N/A	N/A	6	22	12	24
2017-09-14	$30.34	$0.00	136.3%	39.1%	10.6%	100.0%	0.0%	16.1%	-33.5%	-312	1.2K	-179	3.67	192.80	N/A	N/A	6	22	12	24
2017-09-15	$30.36	$0.00	10.2%	2.9%	10.1%	1.5%	0.0%	2.6%	-0.5%	154	-20.9K	-99	3.67	146.89	N/A	N/A	6	22	12	24
2017-09-18	$30.54	$0.00	10.7%	3.1%	10.2%	2.0%	0.0%	2.1%	-1.1%	215	-21.6K	-96	3.50	144.07	N/A	N/A	6	21	12	23
2017-09-19	$30.54	$0.00	10.5%	3.0%	10.1%	1.8%	0.0%	1.6%	-1.2%	222	-21.6K	-95	3.50	145.14	N/A	N/A	6	21	12	23
2017-09-20	$30.57	$0.00	10.4%	3.0%	9.1%	1.7%	0.0%	1.9%	-0.5%	266	-22.1K	-89	3.50	142.72	N/A	N/A	6	21	12	23
2017-09-21	$30.48	$0.00	10.6%	3.0%	9.0%	1.9%	0.0%	2.4%	-0.8%	219	-21.2K	-94	3.50	145.37	N/A	N/A	6	21	12	23
2017-09-22	$30.52	$0.00	10.7%	3.1%	9.0%	1.9%	0.0%	2.2%	-1.3%	246	-21.6K	-93	3.50	144.62	N/A	N/A	6	21	12	23
2017-09-25	$30.45	$0.00	11.5%	3.3%	9.0%	2.6%	0.0%	2.2%	-1.3%	280	-21.4K	-91	3.50	141.23	N/A	N/A	6	21	12	23
2017-09-26	$30.25	$0.00	12.0%	3.4%	9.3%	3.0%	0.0%	2.0%	-2.4%	103	-19.0K	-97	3.50	144.89	N/A	N/A	6	21	12	23
2017-09-27	$30.43	$0.00	12.4%	3.6%	9.4%	3.3%	0.0%	2.3%	-3.1%	286	-21.1K	-90	3.50	140.83	N/A	N/A	6	21	12	23
2017-09-28	$30.48	$0.00	11.7%	3.4%	9.4%	2.8%	0.0%	1.8%	-1.7%	311	-21.9K	-84	3.50	141.35	N/A	N/A	6	21	12	23
2017-09-29	$30.66	$0.00	10.8%	3.1%	9.4%	2.0%	0.0%	1.8%	-1.9%	513	-24.3K	-75	3.50	141.36	N/A	N/A	6	21	12	23