IHDG Options History — December 2020

In December 2020, IHDG traded between $38.51 and $39.60. ATM implied volatility averaged 44.7%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 35.5% (HV 20d: 9.2%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2020-12-21: Largest IV spike — 47.5% change
  • 2020-12-21: Highest IV Rank — 28.3%
  • 2020-12-21: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$38.51$39.60$38.51$39.19
ATM IV44.7%35.8%58.6%46.8%50.6%
Expected Move11.9%9.9%16.8%13.4%14.5%
HV 20d9.2%6.0%14.3%14.3%9.4%
HV 60d13.7%13.2%14.3%14.3%13.6%
IV Rank20.2%15.0%28.3%21.4%23.7%
IV Percentile44.4%18.7%77.0%55.6%63.9%
Term Structure-9.8%-18.4%-5.2%-14.3%-18.4%
Skew 25d7.0%2.6%32.5%6.2%3.4%
Skew 10d13.2%5.1%40.9%25.3%9.5%
Call IV 25d45.9%16.5%68.8%55.1%60.8%
Put IV 25d53.0%43.2%77.3%61.3%64.3%
Bid-Ask Spread %191.11181.19199.73181.51189.24
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$38.51$0.0046.8%13.4%14.3%21.4%0.0%6.2%-14.3%0000.00181.51N/AN/A0000
2020-12-02$38.58$0.0048.2%13.8%12.7%22.2%0.0%2.6%-15.1%0000.00181.19N/AN/A0000
2020-12-03$38.53$0.0049.4%9.9%12.5%22.9%0.0%3.5%-5.3%0000.00194.53N/AN/A0000
2020-12-04$38.78$0.0050.2%10.0%11.7%23.4%0.0%5.1%-5.2%0000.00194.39N/AN/A0000
2020-12-07$38.65$0.0056.6%10.2%11.8%27.2%0.0%4.0%-6.1%0000.00193.63N/AN/A0000
2020-12-08$38.92$0.0056.9%10.3%9.8%27.3%0.0%4.9%-5.9%0000.00193.37N/AN/A0000
2020-12-09$38.98$0.0035.9%10.3%9.4%15.1%0.0%4.5%-6.4%0000.00192.69N/AN/A0000
2020-12-10$39.09$0.0035.8%10.3%8.8%15.0%0.0%5.3%-6.5%0000.00192.67N/AN/A0000
2020-12-11$39.07$0.0036.9%10.6%7.6%15.6%0.0%5.4%-6.1%0000.00193.00N/AN/A0000
2020-12-14$38.97$0.0038.1%10.9%7.3%16.3%0.0%4.9%-7.3%0000.00192.95N/AN/A0000
2020-12-15$39.21$0.0038.0%10.9%7.4%16.3%0.0%6.0%-6.9%0000.00192.86N/AN/A0000
2020-12-16$39.30$0.0038.0%10.9%6.6%16.3%0.0%6.2%-7.1%0000.00192.54N/AN/A0000
2020-12-17$39.43$0.0039.1%11.2%6.1%16.9%0.0%28.8%-7.9%0000.00192.53N/AN/A0000
2020-12-18$39.47$0.0039.8%11.4%6.0%17.3%0.0%32.5%-9.4%0000.00192.08N/AN/A0000
2020-12-21$38.84$0.0058.6%16.8%8.7%28.3%0.0%8.6%-14.0%0000.00199.73N/AN/A0000
2020-12-22$38.89$0.0042.1%12.1%8.7%18.7%0.0%4.6%-9.2%0000.00189.50N/AN/A0000
2020-12-23$39.01$0.0042.3%12.1%8.6%18.8%0.0%4.3%-10.8%0000.00189.19N/AN/A0000
2020-12-24$38.93$0.0042.5%12.2%8.7%18.9%0.0%4.1%-11.1%0000.00189.43N/AN/A0000
2020-12-28$39.33$0.0046.1%13.2%9.2%21.0%0.0%3.6%-14.4%0000.00189.51N/AN/A0000
2020-12-29$39.60$0.0045.2%13.0%8.9%20.5%0.0%3.1%-13.5%0000.00188.49N/AN/A0000
2020-12-30$39.51$0.0046.6%13.4%8.7%21.3%0.0%3.3%-14.9%0000.00189.30N/AN/A0000
2020-12-31$39.19$0.0050.6%14.5%9.4%23.7%0.0%3.4%-18.4%0000.00189.24N/AN/A0000