IGV Options History — January 2007

In January 2007, IGV traded between $8.77 and $9.17. ATM implied volatility averaged 18.1%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.2% (HV 20d: 17.9%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.26.

Notable Days

  • 2007-01-08: Highest Volume — 350 contracts
  • 2007-01-11: Largest IV spike — 10.1% change
  • 2007-01-08: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.96$8.77$9.17$8.92$8.99
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV18.1%16.9%19.6%17.7%17.0%
Expected Move5.3%4.8%5.9%5.1%4.9%
HV 20d17.9%17.0%18.7%18.7%17.0%
Term Structure0.3%-0.4%1.8%1.1%0.5%
VWIV18.4%17.0%19.9%17.7%17.0%
Skew 25d1.3%-2.4%4.9%0.6%1.1%
Skew 10d1.7%-2.9%5.5%0.9%1.8%
Call IV 25d16.1%13.2%18.1%18.1%17.5%
Put IV 25d17.4%15.2%19.3%18.8%18.6%
Bid-Ask Spread %24.9614.1364.5922.5324.27
Gamma HHI0.890.840.930.900.87
Net GEX90.3K58.6K163.2K85.4K73.2K
Net DEX-943.3K-1.3M-665.5K-974.8K-791.4K
Net VEX-2.7K-3.3K-2.1K-3.3K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.002.500.630.00
Total Volume550350130100
Total OI2,281.51,8952,6052,6051,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$8.92$9.0017.7%5.1%0.0%0.0%17.7%0.6%1.1%85.4K-974.8K-3.3K0.6322.5380502,110495
2007-01-04$9.08$9.0017.9%5.1%0.0%0.0%0.0%2.0%1.8%87.7K-1.2M-3.1K2.5025.0820502,080445
2007-01-05$9.00$9.0018.4%5.7%0.0%0.0%19.9%3.3%0.2%89.5K-1.1M-3.2K0.0041.222502,100445
2007-01-08$9.04$9.0018.8%5.9%0.0%0.0%0.0%3.6%-0.4%93.0K-1.1M-3.1K0.0064.5935002,105445
2007-01-09$9.04$9.0018.8%5.8%0.0%0.0%0.0%2.9%-0.1%95.4K-1.1M-3.1K0.0042.76002,105445
2007-01-10$9.07$9.0017.8%5.7%0.0%0.0%0.0%4.5%0.2%97.7K-1.2M-3.0K0.0015.09002,105445
2007-01-11$9.13$9.0019.6%5.6%0.0%0.0%0.0%4.9%-0.1%99.9K-1.2M-2.9K0.0015.6001552,105445
2007-01-12$9.17$9.0019.2%5.5%0.0%0.0%0.0%4.5%0.5%99.0K-1.3M-2.7K0.0014.1310002,105300
2007-01-16$8.99$9.0019.2%5.5%0.0%0.0%0.0%2.0%0.2%141.0K-1.1M-2.7K0.0019.99002,155300
2007-01-17$9.01$9.0018.9%5.4%0.0%0.0%18.9%1.8%0.4%163.2K-1.1M-2.7K0.0015.031002,155300
2007-01-18$8.82$9.0019.1%5.5%0.0%0.0%0.0%-0.9%0.1%100.9K-788.1K-2.6K0.0045.431502,165300
2007-01-19$8.86$9.0018.4%5.3%0.0%0.0%0.0%-1.4%0.3%118.8K-796.1K-2.5K0.0019.32002,150300
2007-01-22$8.77$9.0017.7%5.1%0.0%0.0%0.0%-2.4%0.6%58.6K-669.1K-2.3K0.0019.25501,700300
2007-01-23$8.81$9.0017.0%4.9%0.0%0.0%0.0%-1.0%0.5%63.5K-727.2K-2.3K0.0017.74001,695300
2007-01-24$8.96$9.0017.3%4.9%0.0%0.0%0.0%0.7%0.0%66.3K-854.1K-2.3K0.0019.9210001,695300
2007-01-25$8.83$9.0016.9%4.8%18.7%0.0%0.0%-0.5%0.5%65.7K-665.5K-2.3K0.0017.84001,595300
2007-01-26$8.90$9.0017.2%4.9%18.4%0.0%0.0%-0.3%0.3%66.7K-677.6K-2.3K0.0023.362501,595300
2007-01-29$8.91$9.0017.6%5.1%17.8%0.0%0.0%0.2%0.1%69.2K-721.5K-2.3K0.0018.12001,620300
2007-01-30$8.94$9.0017.3%5.0%17.4%0.0%0.0%0.7%0.2%71.5K-757.4K-2.2K0.0017.831501,620300
2007-01-31$8.99$9.0017.0%4.9%17.0%0.0%17.0%1.1%0.5%73.2K-791.4K-2.1K0.0024.2710001,605300