IHDG Options History — August 2019

In August 2019, IHDG traded between $31.79 and $33.13. ATM implied volatility averaged 31.7%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 16.2% (HV 20d: 15.6%). Max pain ranged from $32.00 to $32.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 10 of 22 days.

Notable Days

  • 2019-08-23: Largest IV spike — 77.5% change
  • 2019-08-13: Highest IV Rank — 98.5%
  • 2019-08-23: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.40$31.79$33.13$33.13$32.97
Max Pain$32.00$32.00$32.00$32.00$32.00
ATM IV31.7%21.8%63.6%34.6%24.6%
Expected Move7.2%5.9%11.9%9.9%7.0%
HV 20d15.6%7.5%18.8%7.5%18.8%
HV 60d12.4%11.0%13.3%11.0%13.2%
IV Rank40.8%22.8%98.5%45.9%27.8%
IV Percentile83.1%63.9%99.6%95.2%73.4%
Term Structure31.6%-9.5%82.5%-9.5%81.7%
Skew 25d2.6%-13.5%11.7%-13.5%9.2%
Skew 10d5.5%-4.7%15.4%10.3%15.1%
Call IV 25d24.7%12.9%49.5%37.9%21.6%
Put IV 25d27.3%16.4%45.0%24.4%30.8%
Bid-Ask Spread %182.82130.62200.00158.45187.31
Gamma HHI0.780.711.000.821.00
Net GEX75302.0K1.6K0
Net DEX-4.1K-12.2K0-12.2K0
Net VEX-6-230-230
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI4.9090990

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-08-01$33.13$32.0034.6%9.9%7.5%45.9%0.0%-13.5%-9.5%1.6K-12.2K-230.00158.45N/AN/A0090
2019-08-02$32.82$32.0021.8%6.3%7.8%22.8%0.0%3.6%-6.3%2.0K-8.2K-170.00130.62N/AN/A0090
2019-08-05$31.90$0.0033.9%6.3%12.5%44.7%0.0%0.0%-3.3%1.2K-6.5K-140.00181.70N/AN/A0090
2019-08-06$32.05$0.0034.8%6.2%12.7%46.4%0.0%0.8%-3.0%1.3K-6.8K-140.00183.76N/AN/A0090
2019-08-07$32.30$0.0044.5%7.5%13.1%64.0%0.0%11.7%-3.4%1.2K-9.2K-160.00192.70N/AN/A0090
2019-08-08$32.64$0.0037.2%5.9%13.8%50.7%0.0%8.9%-2.7%1.5K-9.4K-150.00189.11N/AN/A0090
2019-08-09$32.41$0.0041.1%6.5%14.0%57.9%0.0%5.3%-4.9%1.4K-8.3K-130.00187.49N/AN/A0090
2019-08-12$32.14$0.0050.2%6.3%14.1%74.3%0.0%0.6%-2.9%1.3K-6.8K-90.00184.90N/AN/A0090
2019-08-13$32.50$0.0063.6%6.7%14.7%98.5%0.0%6.7%-5.7%1.5K-8.4K-80.00186.38N/AN/A0090
2019-08-14$31.79$0.0023.1%6.6%16.5%25.2%0.0%-0.9%-4.8%1.1K-5.4K-50.00182.69N/AN/A0090
2019-08-15$31.86$0.0023.4%6.7%16.6%25.8%0.0%0.3%-3.4%1.2K-5.6K-40.00182.47N/AN/A0090
2019-08-16$32.20$0.0023.0%6.6%17.1%24.9%0.0%1.6%-4.0%1.1K-2.9K00.00186.47N/AN/A0090
2019-08-19$32.47$0.0025.1%7.2%17.4%28.9%0.0%5.3%69.6%0000.00185.60N/AN/A0000
2019-08-20$32.33$0.0024.6%7.1%17.0%28.0%0.0%3.1%71.9%0000.00185.13N/AN/A0000
2019-08-21$32.81$0.0022.6%6.5%18.0%24.2%0.0%-0.4%76.4%0000.00187.63N/AN/A0000
2019-08-22$32.61$0.0023.3%6.7%18.0%25.5%0.0%5.6%78.2%0000.00187.54N/AN/A0000
2019-08-23$32.08$0.0041.4%11.9%18.6%58.3%0.0%-4.5%60.2%0000.00187.52N/AN/A0000
2019-08-26$32.27$0.0025.6%7.3%18.7%29.7%0.0%1.2%77.3%0000.00200.00N/AN/A0000
2019-08-27$32.38$0.0026.8%7.7%18.5%31.9%0.0%3.8%75.5%0000.00184.86N/AN/A0000
2019-08-28$32.42$0.0028.1%8.1%18.5%34.3%0.0%2.1%75.2%0000.00184.30N/AN/A0000
2019-08-29$32.72$0.0024.4%7.0%18.8%27.5%0.0%6.7%82.5%0000.00185.50N/AN/A0000
2019-08-30$32.97$0.0024.6%7.0%18.8%27.8%0.0%9.2%81.7%0000.00187.31N/AN/A0000