IGV Options History — February 2007 In February 2007, IGV traded between $8.82 and $9.25. ATM implied volatility averaged 16.6%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 2.7% (HV 20d: 13.9%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-02-08 : Highest Volume — 250 contracts2007-02-27 : Largest IV spike — 28.9% change2007-02-27 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $9.09 $8.82 $9.25 $9.08 $8.84 Max Pain $8.05 $8.00 $9.00 $9.00 $8.00 ATM IV 16.6% 14.4% 20.1% 17.2% 17.5% Expected Move 4.8% 4.1% 5.8% 4.9% 5.0% HV 20d 13.9% 9.0% 16.9% 16.9% 16.0% Term Structure 1.3% -0.5% 2.5% 0.3% 0.7% VWIV 15.6% 14.2% 17.2% 17.2% 14.4% Skew 25d 0.8% -1.4% 5.5% 1.7% 0.4% Skew 10d 1.5% -2.4% 9.7% 3.9% 0.6% Call IV 25d 16.0% 10.6% 20.3% 17.1% 17.6% Put IV 25d 16.8% 14.6% 20.6% 18.8% 18.0% Bid-Ask Spread % 20.05 11.63 55.59 20.23 19.50 Gamma HHI 0.85 0.74 0.91 0.86 0.82 Net GEX 62.7K 27.4K 105.3K 73.9K 30.0K Net DEX -734.1K -971.1K -403.5K -890.5K -411.4K Net VEX -1.5K -2.1K -1.0K -2.1K -1.0K 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 28.947 0 250 10 0 Total OI 1,584.737 1,225 2,075 1,905 1,225
Daily Data (19 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 Vol Put Vol Call OI Put OI 2007-02-01 $9.08 $9.00 17.2% 4.9% 16.9% 0.0% 17.2% 1.7% 0.3% 73.9K -890.5K -2.1K 0.00 20.23 10 0 1,605 300 2007-02-02 $9.13 $8.00 16.7% 4.9% 15.8% 0.0% 0.0% -0.9% 1.1% 73.0K -945.4K -2.0K 0.00 12.54 0 0 1,595 300 2007-02-05 $9.10 $8.00 17.8% 4.9% 15.5% 0.0% 0.0% -0.7% 0.8% 77.2K -971.1K -2.1K 0.00 36.79 0 0 1,715 360 2007-02-06 $9.06 $8.00 16.4% 4.9% 15.5% 0.0% 0.0% -1.0% 1.0% 83.3K -883.7K -1.9K 0.00 16.37 0 0 1,595 300 2007-02-07 $9.10 $8.00 16.6% 4.7% 15.6% 0.0% 0.0% -0.7% 1.6% 83.6K -919.6K -1.9K 0.00 14.50 0 0 1,595 300 2007-02-08 $9.08 $8.00 17.1% 4.9% 15.6% 0.0% 17.1% -0.9% 1.6% 87.7K -886.6K -1.9K 0.00 13.22 250 0 1,595 300 2007-02-09 $9.00 $8.00 17.0% 4.9% 15.8% 0.0% 0.0% -1.4% 1.7% 80.4K -664.4K -1.6K 0.00 15.52 0 0 1,345 300 2007-02-12 $8.97 $8.00 17.1% 4.9% 15.6% 0.0% 0.0% 4.5% 1.5% 87.6K -635.0K -1.5K 0.00 12.56 0 0 1,345 300 2007-02-13 $9.01 $8.00 16.4% 4.7% 14.0% 0.0% 0.0% -0.5% 1.7% 105.3K -710.3K -1.5K 0.00 17.21 50 0 1,345 300 2007-02-14 $9.12 $8.00 16.5% 4.7% 14.6% 0.0% 0.0% 3.9% 1.4% 79.8K -833.6K -1.3K 0.00 14.85 0 0 1,295 300 2007-02-15 $9.15 $8.00 16.5% 4.7% 12.3% 0.0% 0.0% 0.1% 1.7% 64.9K -852.1K -1.3K 0.00 11.63 0 0 1,295 300 2007-02-16 $9.13 $8.00 15.9% 4.5% 12.4% 0.0% 0.0% 0.4% 2.3% 80.0K -823.8K -1.3K 0.00 19.45 50 0 1,295 300 2007-02-20 $9.20 $8.00 16.1% 4.6% 11.8% 0.0% 0.0% 0.5% 1.3% 31.0K -628.7K -1.2K 0.00 22.35 10 0 980 300 2007-02-21 $9.25 $8.00 15.3% 4.4% 11.9% 0.0% 15.1% 5.5% 1.4% 31.3K -648.5K -1.1K 0.00 20.14 50 0 990 300 2007-02-22 $9.24 $8.00 14.4% 4.1% 10.5% 0.0% 14.2% 0.5% 2.5% 28.9K -634.4K -1.1K 0.00 23.17 50 0 955 300 2007-02-23 $9.19 $8.00 14.5% 4.2% 9.0% 0.0% 14.4% 0.2% 1.9% 34.0K -632.0K -1.1K 0.00 20.53 60 0 990 300 2007-02-26 $9.14 $8.00 15.6% 4.5% 9.1% 0.0% 0.0% 4.4% 1.2% 32.3K -572.5K -1.1K 0.00 14.83 0 0 945 300 2007-02-27 $8.82 $8.00 20.1% 5.8% 16.0% 0.0% 0.0% -0.4% -0.5% 27.4K -403.5K -1.1K 0.00 55.59 20 0 945 300 2007-02-28 $8.84 $8.00 17.5% 5.0% 16.0% 0.0% 0.0% 0.4% 0.7% 30.0K -411.4K -1.0K 0.00 19.50 0 0 925 300
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