IHDG Options History — December 2019

In December 2019, IHDG traded between $35.16 and $36.66. ATM implied volatility averaged 36.2%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 27.6% (HV 20d: 8.6%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2019-12-31: Highest Volume — 10 contracts
  • 2019-12-11: Largest IV drop — 42.6% change
  • 2019-12-10: Highest IV Rank — 37.6%
  • 2019-12-04: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.04$35.16$36.66$35.22$36.24
ATM IV36.2%28.6%50.6%40.2%38.1%
Expected Move9.4%7.9%12.0%11.5%10.9%
HV 20d8.6%6.7%9.9%7.3%8.9%
HV 60d9.7%8.3%10.3%9.9%8.4%
IV Rank24.8%18.0%37.6%28.3%26.5%
IV Percentile85.2%75.8%95.6%92.1%87.7%
Term Structure-9.3%-29.6%-4.4%-13.6%-29.6%
Skew 25d5.7%-29.4%24.8%-29.4%-0.1%
Skew 10d11.7%-27.1%45.4%-27.1%45.4%
Call IV 25d27.5%11.3%47.0%45.2%13.3%
Put IV 25d33.2%13.2%53.0%15.8%13.2%
Bid-Ask Spread %193.58188.74199.15193.59193.67
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.476010010
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-12-02$35.22$0.0040.2%11.5%7.3%28.3%0.0%-29.4%-13.6%0000.00193.59N/AN/A0000
2019-12-03$35.16$0.0041.0%11.7%6.7%29.0%0.0%-3.4%-13.8%0000.00194.55N/AN/A0000
2019-12-04$35.39$0.0042.0%12.0%7.1%29.9%0.0%6.3%-13.9%0000.00192.35N/AN/A0000
2019-12-05$35.30$0.0043.0%8.1%7.2%30.9%0.0%16.7%-4.4%0000.00199.15N/AN/A0000
2019-12-06$35.71$0.0043.2%7.9%8.1%31.0%0.0%21.6%-4.4%0000.00196.70N/AN/A0000
2019-12-09$35.59$0.0048.8%8.2%8.2%36.0%0.0%13.6%-5.0%0000.00197.04N/AN/A0000
2019-12-10$35.57$0.0050.6%8.3%8.2%37.6%0.0%24.7%-5.6%0000.00196.92N/AN/A0000
2019-12-11$35.67$0.0029.1%8.3%8.1%18.5%0.0%23.3%-5.9%0000.00196.30N/AN/A0000
2019-12-12$35.93$0.0028.9%8.3%8.4%18.3%0.0%24.8%-5.4%0000.00195.56N/AN/A0000
2019-12-13$36.22$0.0028.6%8.2%8.7%18.0%0.0%7.8%-5.5%0000.00193.30N/AN/A0000
2019-12-16$36.66$0.0029.0%8.3%9.4%18.4%0.0%9.7%-6.1%0000.00188.74N/AN/A0000
2019-12-17$36.47$0.0030.5%8.7%9.8%19.7%0.0%5.9%-6.4%0000.00192.84N/AN/A0000
2019-12-18$36.36$0.0030.8%8.8%9.9%19.9%0.0%5.5%-7.2%0000.00193.27N/AN/A0000
2019-12-19$36.35$0.0031.3%9.0%9.4%20.4%0.0%5.5%-7.8%0000.00193.82N/AN/A0000
2019-12-20$36.54$0.0031.3%9.0%9.4%20.4%0.0%6.6%-7.8%0000.00191.94N/AN/A0000
2019-12-23$36.46$0.0033.6%9.6%9.4%22.5%0.0%-11.5%-9.4%0000.00192.13N/AN/A0000
2019-12-24$36.44$0.0034.2%9.8%9.1%23.0%0.0%-8.2%-9.9%0000.00191.25N/AN/A0000
2019-12-26$36.60$0.0033.6%9.6%9.1%22.5%0.0%-5.8%-10.1%0000.00190.02N/AN/A0000
2019-12-27$36.60$0.0034.0%9.7%9.0%22.8%0.0%6.7%-10.3%0000.00190.34N/AN/A0000
2019-12-30$36.26$0.0039.0%11.2%9.6%27.3%0.0%-0.9%-14.1%0000.00191.68N/AN/A0000
2019-12-31$36.24$0.0038.1%10.9%8.9%26.5%0.0%-0.1%-29.6%0000.00193.67N/AN/A10000