IHDG Options History — January 2020 In January 2020, IHDG traded between $35.86 and $37.51. ATM implied volatility averaged 39.4%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 29.6% (HV 20d: 9.8%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2020-01-10 : Highest Volume — 10 contracts2020-01-28 : Largest IV spike — 172.7% change2020-01-14 : Highest IV Rank — 64.8%2020-01-03 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $36.79 $35.86 $37.51 $36.67 $35.86 Max Pain $36.00 $36.00 $36.00 $36.00 $36.00 ATM IV 39.4% 12.4% 81.2% 40.2% 14.4% Expected Move 8.3% 3.6% 12.5% 11.5% 4.1% HV 20d 9.8% 8.2% 12.4% 9.6% 12.4% HV 60d 8.6% 8.2% 9.9% 8.7% 9.9% IV Rank 27.7% 3.6% 64.8% 28.4% 5.4% IV Percentile 76.6% 3.2% 98.8% 89.7% 7.5% Term Structure -0.5% -17.1% 54.1% -14.8% 13.1% VWIV 7.9% 7.9% 7.9% 7.9% 7.9% Skew 25d -6.3% -34.2% 18.2% -31.7% 5.5% Skew 10d 3.0% -29.6% 32.4% -25.3% 2.4% Call IV 25d 28.7% 11.6% 48.0% 44.0% 33.3% Put IV 25d 22.3% 9.8% 38.9% 12.3% 38.9% Bid-Ask Spread % 168.46 150.70 190.64 186.88 170.53 Gamma HHI 0.96 0.88 1.00 1.00 0.94 Net GEX 2.1K 1.4K 3.8K 1.4K 3.8K Net DEX -23.0K -29.4K -16.4K -22.0K -16.4K Net VEX -42 -53 -34 -53 -38 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 0.476 0 10 0 0 Total OI 9.762 9 10 10 10
Daily Data (21 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 2020-01-02 $36.67 $0.00 40.2% 11.5% 9.6% 28.4% 0.0% -31.7% -14.8% 1.4K -22.0K -53 0.00 186.88 N/A N/A 0 0 10 0 2020-01-03 $36.36 $0.00 43.7% 12.5% 10.1% 31.5% 0.0% -34.2% -17.1% 1.4K -20.6K -53 0.00 190.64 N/A N/A 0 0 10 0 2020-01-06 $36.27 $36.00 47.4% 7.5% 10.1% 34.7% 0.0% 18.2% -6.1% 1.5K -20.2K -51 0.00 179.97 N/A N/A 0 0 10 0 2020-01-07 $36.37 $36.00 50.6% 7.8% 9.4% 37.6% 0.0% 5.2% -7.5% 1.4K -20.6K -50 0.00 178.54 N/A N/A 0 0 10 0 2020-01-08 $36.67 $36.00 50.8% 7.4% 9.6% 37.8% 0.0% 6.7% -6.6% 1.4K -22.0K -50 0.00 178.81 N/A N/A 0 0 10 0 2020-01-09 $36.76 $36.00 52.7% 7.5% 9.6% 39.5% 0.0% 6.7% -6.9% 1.4K -22.4K -48 0.00 177.15 N/A N/A 0 0 10 0 2020-01-10 $36.67 $36.00 55.8% 7.8% 9.7% 42.2% 7.9% -17.7% -7.3% 2.0K -22.9K -47 0.00 167.47 N/A N/A 10 0 10 0 2020-01-13 $36.92 $36.00 70.4% 7.7% 9.6% 55.2% 0.0% 1.4% -8.1% 1.6K -21.6K -40 0.00 163.33 N/A N/A 0 0 9 0 2020-01-14 $37.01 $36.00 81.2% 7.9% 9.3% 64.8% 0.0% -11.3% -8.1% 1.6K -22.2K -39 0.00 161.91 N/A N/A 0 0 9 0 2020-01-15 $37.08 $36.00 27.4% 7.8% 8.4% 16.9% 0.0% -1.6% -8.2% 1.6K -22.4K -39 0.00 163.24 N/A N/A 0 0 9 0 2020-01-16 $37.23 $36.00 28.2% 8.1% 8.2% 17.7% 0.0% -16.6% -8.6% 1.6K -23.4K -37 0.00 164.90 N/A N/A 0 0 9 0 2020-01-17 $37.51 $36.00 27.6% 7.9% 8.3% 17.1% 0.0% -0.8% -8.1% 1.4K -24.0K -35 0.00 156.03 N/A N/A 0 0 9 0 2020-01-21 $37.23 $36.00 29.8% 8.5% 8.9% 19.1% 0.0% -19.3% 54.1% 1.8K -25.6K -43 0.00 164.86 N/A N/A 0 0 10 0 2020-01-22 $37.31 $36.00 30.3% 8.7% 8.8% 19.5% 0.0% -19.7% 53.8% 1.8K -26.2K -40 0.00 150.70 N/A N/A 0 0 10 0 2020-01-23 $37.17 $36.00 30.3% 8.7% 8.9% 19.5% 0.0% 4.7% -5.6% 2.7K -29.4K -34 0.00 160.73 N/A N/A 0 0 10 0 2020-01-24 $37.12 $36.00 32.1% 9.2% 8.9% 21.1% 0.0% 11.3% -7.4% 1.9K -25.2K -41 0.00 160.70 N/A N/A 0 0 10 0 2020-01-27 $36.40 $36.00 12.4% 3.6% 11.4% 3.6% 0.0% -1.4% 14.2% 3.6K -22.7K -40 0.00 172.20 N/A N/A 0 0 10 0 2020-01-28 $36.65 $36.00 33.8% 9.7% 11.7% 22.7% 0.0% -12.1% -8.1% 3.2K -24.5K -38 0.00 162.32 N/A N/A 0 0 10 0 2020-01-29 $36.74 $36.00 33.8% 9.7% 11.2% 22.7% 0.0% -14.8% -8.9% 3.3K -25.0K -36 0.00 162.14 N/A N/A 0 0 10 0 2020-01-30 $36.53 $36.00 35.0% 10.0% 11.4% 23.7% 0.0% -11.8% -8.7% 3.3K -24.1K -37 0.00 164.58 N/A N/A 0 0 10 0 2020-01-31 $35.86 $36.00 14.4% 4.1% 12.4% 5.4% 0.0% 5.5% 13.1% 3.8K -16.4K -38 0.00 170.53 N/A N/A 0 0 10 0
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