IHDG Options History — December 2018

In December 2018, IHDG traded between $27.06 and $30.30. ATM implied volatility averaged 26.3%, placing in the 38.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 9.5% (HV 20d: 16.7%). Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2018-12-19: Largest IV spike — 61.3% change
  • 2018-12-19: Highest IV Rank — 52.0%
  • 2018-12-19: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.50$27.06$30.30$30.30$27.79
ATM IV26.3%19.5%34.8%23.7%24.7%
Expected Move7.1%5.3%10.0%6.8%7.1%
HV 20d16.7%13.5%18.7%13.5%18.3%
HV 60d16.0%14.4%17.3%14.4%16.8%
IV Rank38.1%27.1%52.0%34.0%35.6%
IV Percentile82.4%55.2%96.0%79.4%79.8%
Term Structure-4.1%-9.9%-1.3%-9.1%-5.2%
Skew 25d0.8%-8.2%14.9%8.3%-3.8%
Skew 10d-3.1%-10.5%4.5%4.5%-2.9%
Call IV 25d25.6%17.7%40.3%17.7%27.0%
Put IV 25d26.4%19.5%40.2%25.9%23.1%
Bid-Ask Spread %166.13156.33182.28170.01160.64
Gamma HHI1.001.001.001.001.00
Net GEX1244425925944
Net DEX-631-1.7K-126-1.7K-126
Net VEX-4-9-1-9-1
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI22222

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-12-03$30.30$0.0023.7%6.8%13.5%34.0%0.0%8.3%-9.1%259-1.7K-90.00170.01N/AN/A0020
2018-12-04$29.50$0.0027.4%7.9%16.4%40.0%0.0%-6.9%-9.1%194-1.0K-70.00164.48N/AN/A0020
2018-12-05$29.48$0.0028.3%8.1%16.4%41.5%0.0%-8.2%-9.9%192-1.0K-70.00164.48N/AN/A0020
2018-12-06$29.12$0.0027.6%5.7%16.2%40.3%0.0%2.7%-1.6%162-813-60.00170.80N/AN/A0020
2018-12-07$29.06$0.0025.1%5.3%16.1%36.3%0.0%1.3%-1.4%155-721-50.00168.13N/AN/A0020
2018-12-10$28.90$0.0029.3%5.9%16.1%43.0%0.0%2.6%-1.8%144-700-50.00165.54N/AN/A0020
2018-12-11$28.95$0.0028.7%5.7%15.2%42.1%0.0%2.2%-1.9%145-663-50.00163.58N/AN/A0020
2018-12-12$29.27$0.0020.2%5.8%15.8%28.3%0.0%3.6%-1.9%172-814-60.00171.13N/AN/A0020
2018-12-13$29.22$0.0019.5%5.6%15.8%27.1%0.0%2.5%-1.3%169-847-60.00169.78N/AN/A0020
2018-12-14$28.78$0.0019.6%5.6%16.6%27.3%0.0%1.2%-1.5%129-555-40.00166.25N/AN/A0020
2018-12-17$28.28$0.0021.7%6.2%17.5%30.7%0.0%-2.0%-2.4%90-340-30.00161.46N/AN/A0020
2018-12-18$28.38$0.0021.6%6.2%17.4%30.5%0.0%0.3%-1.9%99-393-30.00162.91N/AN/A0020
2018-12-19$27.98$0.0034.8%10.0%17.6%52.0%0.0%-2.4%-5.3%111-957-60.00182.28N/AN/A0020
2018-12-20$27.59$0.0022.3%6.4%17.2%31.6%0.0%-0.8%-2.5%57-209-20.00158.06N/AN/A0020
2018-12-21$27.40$0.0030.2%8.7%17.1%44.6%0.0%-3.2%-4.4%76-406-30.00164.96N/AN/A0020
2018-12-24$27.06$0.0032.3%9.2%16.2%47.9%0.0%-4.2%-5.6%62-311-20.00162.57N/AN/A0020
2018-12-26$27.66$0.0030.9%8.9%18.7%45.6%0.0%14.9%-5.1%84-444-30.00167.03N/AN/A0020
2018-12-27$27.59$0.0027.0%7.7%18.0%39.2%0.0%5.2%-4.5%48-156-10.00156.33N/AN/A0020
2018-12-28$27.74$0.0030.4%8.7%18.2%44.9%0.0%3.8%-6.1%84-418-30.00172.20N/AN/A0020
2018-12-31$27.79$0.0024.7%7.1%18.3%35.6%0.0%-3.8%-5.2%44-126-10.00160.64N/AN/A0020