IHDG Options History — December 2017

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

In December 2017, IHDG traded between $31.30 and $31.83. ATM implied volatility averaged 13.0%, placing in the 3.7% IV rank vs the trailing year. The 30-day expected move averaged 2.9%. IV traded above realized volatility by 4.1% (HV 20d: 8.8%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.15.

Notable Days

2017-12-01: Highest Volume — 15 contracts
2017-12-13: Largest IV drop — 61.1% change
2017-12-12: Highest IV Rank — 11.8%
2017-12-01: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.60	$31.30	$31.83	$31.30	$31.70
ATM IV	13.0%	9.1%	23.4%	14.1%	10.5%
Expected Move	2.9%	2.6%	4.1%	4.1%	3.0%
HV 20d	8.8%	5.9%	10.7%	10.7%	5.9%
HV 60d	7.9%	7.7%	8.3%	8.3%	7.9%
IV Rank	3.7%	0.7%	11.8%	4.6%	1.8%
IV Percentile	39.6%	0.8%	96.8%	72.2%	16.3%
Term Structure	-0.8%	-5.1%	2.4%	-5.1%	-1.9%
Skew 25d	1.7%	0.9%	3.3%	3.3%	0.9%
Skew 10d	3.3%	2.2%	4.0%	3.6%	3.6%
Call IV 25d	10.9%	9.7%	14.0%	14.0%	12.6%
Put IV 25d	12.6%	11.5%	17.2%	17.2%	13.5%
Bid-Ask Spread %	142.55	138.11	146.33	140.66	142.36
Gamma HHI	0.90	0.87	0.92	0.88	0.90
Net GEX	2.5K	2.4K	2.7K	2.6K	2.6K
Net DEX	-29.9K	-33.4K	-26.4K	-27.0K	-28.5K
Net VEX	-52	-66	-42	-66	-43
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.15	0.15	0.15	0.15
Total Volume	15	15	15	15	15
Total OI	14.85	14	15	15	14

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
2017-12-01	$31.30	$0.00	14.1%	4.1%	10.7%	4.6%	0.0%	3.3%	-5.1%	2.6K	-27.0K	-66	0.15	140.66	N/A	N/A	13	2	13	2
2017-12-04	$31.32	$0.00	15.3%	2.8%	10.5%	5.5%	0.0%	1.5%	-0.4%	2.6K	-27.3K	-63	0.15	139.60	N/A	N/A	13	2	13	2
2017-12-05	$31.30	$0.00	16.1%	2.9%	10.5%	6.2%	0.0%	2.4%	0.3%	2.7K	-26.4K	-61	0.15	141.11	N/A	N/A	13	2	13	2
2017-12-06	$31.43	$0.00	16.6%	3.0%	10.5%	6.6%	0.0%	2.4%	-0.4%	2.5K	-28.3K	-62	0.15	141.40	N/A	N/A	13	2	13	2
2017-12-07	$31.47	$0.00	16.8%	3.0%	10.5%	6.7%	0.0%	2.9%	-0.4%	2.5K	-28.8K	-59	0.15	141.40	N/A	N/A	13	2	13	2
2017-12-08	$31.60	$0.00	17.2%	2.7%	9.8%	7.0%	0.0%	2.3%	-0.2%	2.5K	-30.1K	-58	0.15	142.76	N/A	N/A	13	2	13	2
2017-12-11	$31.64	$0.00	21.9%	2.6%	9.8%	10.7%	0.0%	2.1%	1.7%	2.4K	-31.9K	-49	0.15	141.40	N/A	N/A	13	2	13	2
2017-12-12	$31.72	$0.00	23.4%	2.7%	9.7%	11.8%	0.0%	2.0%	2.4%	2.4K	-32.6K	-46	0.15	144.57	N/A	N/A	13	2	13	2
2017-12-13	$31.60	$0.00	9.1%	2.6%	9.7%	0.7%	0.0%	1.7%	-0.4%	2.5K	-30.3K	-53	0.15	144.31	N/A	N/A	13	2	13	2
2017-12-14	$31.42	$0.00	10.3%	2.9%	9.8%	1.6%	0.0%	1.3%	-1.3%	2.7K	-28.6K	-57	0.15	144.17	N/A	N/A	13	2	13	2
2017-12-15	$31.53	$0.00	9.6%	2.8%	8.7%	1.1%	0.0%	1.5%	-0.9%	2.6K	-29.7K	-55	0.15	145.14	N/A	N/A	13	2	13	2
2017-12-18	$31.83	$0.00	9.2%	2.6%	8.9%	0.8%	0.0%	1.1%	-0.9%	2.5K	-33.4K	-42	0.15	139.29	N/A	N/A	13	2	13	2
2017-12-19	$31.74	$0.00	10.0%	2.9%	8.2%	1.4%	0.0%	1.1%	-1.3%	2.5K	-31.7K	-47	0.15	141.65	N/A	N/A	13	2	13	2
2017-12-20	$31.57	$0.00	10.1%	2.9%	7.9%	1.4%	0.0%	1.4%	-0.7%	2.6K	-30.1K	-52	0.15	144.48	N/A	N/A	13	2	13	2
2017-12-21	$31.71	$0.00	9.3%	2.7%	7.7%	0.8%	0.0%	1.3%	-0.8%	2.5K	-31.5K	-49	0.15	138.11	N/A	N/A	13	2	13	2
2017-12-22	$31.77	$0.00	9.8%	2.8%	7.6%	1.3%	0.0%	1.2%	-0.8%	2.4K	-31.9K	-46	0.15	146.33	N/A	N/A	13	2	13	2
2017-12-26	$31.76	$0.00	9.9%	2.8%	7.5%	1.3%	0.0%	1.2%	-1.3%	2.5K	-32.1K	-44	0.15	144.47	N/A	N/A	13	2	13	2
2017-12-27	$31.80	$0.00	10.1%	2.9%	7.0%	1.5%	0.0%	1.5%	-1.3%	2.4K	-29.3K	-44	0.15	143.25	N/A	N/A	13	2	12	2
2017-12-28	$31.75	$0.00	10.3%	2.9%	5.9%	1.6%	0.0%	1.2%	-1.6%	2.5K	-28.9K	-43	0.15	144.47	N/A	N/A	13	2	12	2
2017-12-29	$31.70	$0.00	10.5%	3.0%	5.9%	1.8%	0.0%	0.9%	-1.9%	2.6K	-28.5K	-43	0.15	142.36	N/A	N/A	13	2	12	2