IGV Options History — March 2007

In March 2007, IGV traded between $8.62 and $9.15. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 1.0% (HV 20d: 17.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-03-12: Highest Volume — 100 contracts
  • 2007-03-13: Largest IV spike — 112.8% change
  • 2007-03-05: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.88$8.62$9.15$8.82$9.01
Max Pain$8.82$8.00$9.00$8.00$9.00
ATM IV16.7%11.4%24.5%19.1%16.7%
Expected Move5.0%4.6%5.9%5.5%4.8%
HV 20d17.7%15.1%20.7%15.8%15.1%
HV 60d16.3%15.9%16.8%16.0%15.9%
Term Structure1.1%-0.2%1.7%-0.2%1.2%
VWIV17.3%16.6%19.0%19.0%17.0%
Skew 25d3.1%-0.9%5.9%-0.4%2.2%
Skew 10d5.0%-0.5%10.1%-0.5%3.6%
Call IV 25d16.1%13.0%19.5%19.2%15.9%
Put IV 25d19.1%15.2%25.2%18.7%18.0%
Bid-Ask Spread %35.3213.7186.9118.9344.32
Gamma HHI0.770.560.860.820.77
Net GEX23.0K9.5K38.3K28.8K16.6K
Net DEX-306.7K-402.6K-153.7K-402.6K-225.7K
Net VEX-871-1.0K-739-1.0K-739
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22.9550100500
Total OI919.5454901,3151,225490

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$8.82$8.0019.1%5.5%15.8%0.0%19.0%-0.4%-0.2%28.8K-402.6K-1.0K0.0018.93050925300
2007-03-02$8.70$8.0016.0%4.6%15.9%0.0%0.0%5.7%0.7%28.6K-385.4K-9460.0030.31200925250
2007-03-05$8.64$0.0019.7%5.9%15.7%0.0%0.0%5.7%0.0%25.3K-348.9K-9110.0075.96450925250
2007-03-06$8.75$0.0015.0%5.4%16.6%0.0%0.0%5.9%0.5%31.9K-386.4K-8760.0023.4600925250
2007-03-07$8.69$0.0013.1%5.3%16.7%0.0%0.0%5.0%0.8%25.7K-350.0K-8080.0025.6700925250
2007-03-08$8.72$0.0011.9%5.1%16.7%0.0%0.0%5.1%1.0%27.7K-358.4K-8060.0027.92400925250
2007-03-09$8.76$0.0011.4%4.9%16.8%0.0%0.0%4.6%1.4%31.7K-382.0K-9160.0032.2700965250
2007-03-12$8.82$0.0011.5%5.0%16.9%0.0%17.5%-0.4%1.1%38.3K-396.2K-8900.0041.260100965250
2007-03-13$8.62$9.0024.5%5.3%18.6%0.0%0.0%4.1%0.8%18.4K-289.2K-9300.0086.9100965350
2007-03-14$8.74$9.0022.2%5.3%19.2%0.0%0.0%5.0%1.1%23.3K-314.2K-9730.0027.0000965350
2007-03-15$8.74$9.0017.7%5.1%18.5%0.0%0.0%0.0%1.5%26.6K-344.1K-9640.0027.7800965340
2007-03-16$8.76$9.0017.8%5.1%18.5%0.0%0.0%-0.9%1.6%23.6K-321.7K-9540.0064.1300965350
2007-03-19$8.86$9.0016.6%4.8%19.1%0.0%16.6%-0.1%1.7%9.5K-153.7K-9370.0039.000100530110
2007-03-20$8.97$0.0016.7%4.8%19.5%0.0%16.7%1.4%1.4%16.9K-221.5K-8370.0040.0550053010
2007-03-21$9.15$9.0016.8%4.8%20.7%0.0%0.0%3.9%1.1%21.0K-298.1K-8660.0017.340058010
2007-03-22$9.15$9.0016.7%4.8%20.7%0.0%0.0%3.7%1.2%21.2K-290.3K-8810.0046.590058010
2007-03-23$9.14$9.0016.9%4.9%20.6%0.0%0.0%3.4%1.0%21.3K-290.4K-8610.0014.7550058010
2007-03-26$9.15$9.0017.0%4.9%20.5%0.0%17.0%3.1%1.2%20.1K-277.1K-8040.0018.3750053010
2007-03-27$9.12$0.0016.9%4.8%15.7%0.0%0.0%3.3%1.5%16.6K-249.5K-7440.0045.300048010
2007-03-28$9.06$0.0017.3%5.0%16.0%0.0%0.0%2.2%1.7%16.4K-233.4K-7480.0013.710048010
2007-03-29$9.04$0.0016.5%4.7%16.0%0.0%0.0%1.7%1.7%16.5K-228.2K-7470.0016.020048010
2007-03-30$9.01$0.0016.7%4.8%15.1%0.0%0.0%2.2%1.2%16.6K-225.7K-7390.0044.320048010