IHDG Options History — September 2019 In September 2019, IHDG traded between $33.05 and $33.70. ATM implied volatility averaged 31.7%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 19.8% (HV 20d: 11.9%). Max pain ranged from $34.00 to $34.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2019-09-05 : Highest Volume — 8 contracts2019-09-11 : Largest IV spike — 250.0% change2019-09-11 : Highest IV Rank — 100.0%2019-09-12 : Largest Expected Move — 34.6%Monthly Statistics Metric Avg Min Max Open Close Price $33.47 $33.05 $33.70 $33.05 $33.59 Max Pain $34.00 $34.00 $34.00 $34.00 $34.00 ATM IV 31.7% 10.3% 120.8% 13.1% 19.4% Expected Move 14.0% 3.0% 34.6% 3.8% 5.6% HV 20d 11.9% 7.8% 15.6% 15.4% 8.7% HV 60d 12.9% 12.6% 13.2% 13.0% 12.6% IV Rank 24.6% 1.0% 100.0% 7.1% 9.2% IV Percentile 55.4% 0.8% 100.0% 2.8% 33.3% Term Structure -27.8% -105.5% 84.2% -0.6% -3.3% VWIV 112.9% 112.9% 112.9% 112.9% 112.9% Skew 25d 13.6% -108.3% 141.3% 0.4% 2.1% Skew 10d 16.4% -108.3% 141.3% -0.7% 6.5% Call IV 25d 33.3% 9.4% 126.2% 13.2% 22.0% Put IV 25d 46.9% 11.9% 153.5% 13.6% 24.1% Bid-Ask Spread % 177.01 120.48 200.00 125.32 165.59 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 1.2K 0 3.0K 0 2.1K Net DEX -10.2K -15.0K 0 0 -11.3K Net VEX -25 -36 0 0 -23 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.4 0 8 0 0 Total OI 6.8 0 8 0 8
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 2019-09-03 $33.05 $0.00 13.1% 3.8% 15.4% 7.1% 0.0% 0.4% -0.6% 0 0 0 0.00 125.32 N/A N/A 0 0 0 0 2019-09-04 $33.36 $0.00 21.9% 6.3% 15.6% 23.0% 0.0% 1.3% 84.2% 0 0 0 0.00 173.55 N/A N/A 0 0 0 0 2019-09-05 $33.55 $0.00 21.3% 31.7% 15.5% 21.8% 112.9% -95.4% -99.4% 0 0 0 0.00 200.00 N/A N/A 8 0 0 0 2019-09-06 $33.70 $34.00 20.7% 32.1% 15.2% 20.8% 0.0% 131.5% -100.2% 328 -15.0K -36 0.00 200.00 N/A N/A 0 0 8 0 2019-09-09 $33.52 $34.00 39.9% 33.3% 15.1% 55.6% 0.0% 135.1% -97.8% 327 -14.8K -35 0.00 200.00 N/A N/A 0 0 8 0 2019-09-10 $33.30 $34.00 34.1% 34.4% 15.0% 45.1% 0.0% 21.8% -99.3% 271 -14.9K -34 0.00 200.00 N/A N/A 0 0 8 0 2019-09-11 $33.53 $34.00 119.4% 34.2% 14.7% 100.0% 0.0% -108.3% -105.0% 311 -14.9K -34 0.00 200.00 N/A N/A 0 0 8 0 2019-09-12 $33.70 $34.00 120.8% 34.6% 11.7% 100.0% 0.0% 141.3% -105.5% 328 -15.0K -33 0.00 200.00 N/A N/A 0 0 8 0 2019-09-13 $33.60 $34.00 20.6% 5.9% 11.9% 10.2% 0.0% 12.5% -2.4% 1.6K -12.2K -33 0.00 180.27 N/A N/A 0 0 8 0 2019-09-16 $33.43 $34.00 22.5% 6.4% 11.8% 11.9% 0.0% 2.5% -3.1% 1.4K -11.5K -31 0.00 181.10 N/A N/A 0 0 8 0 2019-09-17 $33.57 $34.00 21.6% 6.2% 11.6% 11.1% 0.0% 13.3% -2.3% 1.6K -12.0K -31 0.00 178.43 N/A N/A 0 0 8 0 2019-09-18 $33.60 $34.00 21.9% 6.3% 11.4% 11.4% 0.0% 12.9% -2.6% 1.6K -12.2K -31 0.00 179.08 N/A N/A 0 0 8 0 2019-09-19 $33.61 $34.00 22.0% 6.3% 10.4% 11.4% 0.0% 2.8% -2.8% 1.5K -12.3K -30 0.00 179.35 N/A N/A 0 0 8 0 2019-09-20 $33.48 $34.00 23.6% 6.8% 10.2% 13.0% 0.0% 2.8% -3.9% 1.5K -11.7K -29 0.00 179.25 N/A N/A 0 0 8 0 2019-09-23 $33.53 $34.00 23.3% 6.7% 7.8% 12.6% 0.0% 3.1% -3.5% 1.5K -11.8K -27 0.00 178.98 N/A N/A 0 0 8 0 2019-09-24 $33.18 $34.00 18.0% 5.2% 8.8% 7.9% 0.0% -6.2% -2.6% 1.9K -8.9K -25 0.00 167.58 N/A N/A 0 0 8 0 2019-09-25 $33.28 $34.00 10.3% 3.0% 8.8% 1.0% 0.0% 2.5% 1.4% 3.0K -6.0K -19 0.00 120.48 N/A N/A 0 0 8 0 2019-09-26 $33.46 $34.00 19.7% 5.7% 8.9% 9.4% 0.0% -4.8% -4.1% 2.1K -10.5K -25 0.00 165.37 N/A N/A 0 0 8 0 2019-09-27 $33.33 $34.00 20.0% 5.7% 8.7% 9.6% 0.0% 0.7% -4.0% 1.9K -9.9K -24 0.00 165.79 N/A N/A 0 0 8 0 2019-09-30 $33.59 $34.00 19.4% 5.6% 8.7% 9.2% 0.0% 2.1% -3.3% 2.1K -11.3K -23 0.00 165.59 N/A N/A 0 0 8 0
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