IGV Options History — April 2007

Name: IGV Options Analytics - April 2007
Creator: Options Analysis Suite

In April 2007, IGV traded between $9.03 and $9.44. ATM implied volatility averaged 17.4%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 6.1% (HV 20d: 11.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.19.

Notable Days

2007-04-19: Highest Volume — 100 contracts
2007-04-12: Largest IV spike — 37.1% change
2007-04-30: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.29	$9.03	$9.44	$9.03	$9.30
Max Pain	$9.36	$9.00	$10.00	$10.00	$9.00
ATM IV	17.4%	11.7%	19.1%	16.8%	19.1%
Expected Move	5.2%	4.6%	5.5%	4.8%	5.5%
HV 20d	11.2%	8.5%	14.7%	14.7%	10.5%
HV 60d	14.7%	13.8%	15.6%	15.5%	14.1%
Term Structure	-0.0%	-5.6%	2.9%	2.1%	0.0%
VWIV	17.2%	13.9%	18.8%	13.9%	18.8%
Skew 25d	4.6%	-0.7%	7.5%	2.1%	4.5%
Skew 10d	6.7%	2.3%	9.5%	3.8%	8.1%
Call IV 25d	12.9%	10.8%	16.6%	16.6%	14.4%
Put IV 25d	17.6%	11.5%	18.9%	18.7%	18.9%
Bid-Ask Spread %	59.84	19.14	106.40	45.07	20.04
Gamma HHI	0.81	0.68	0.94	0.77	0.92
Net GEX	14.9K	11.8K	17.5K	16.6K	14.7K
Net DEX	-257.1K	-290.4K	-225.3K	-225.3K	-239.2K
Net VEX	-696	-772	-618	-726	-713
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.00	1.00	0.56	0.00
Total Volume	17.5	0	100	0	0
Total OI	567.5	490	660	490	655

Daily Data (20 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
2007-04-02	$9.03	$0.00	16.8%	4.8%	14.7%	0.0%	0.0%	2.1%	2.1%	16.6K	-225.3K	-726	0.00	45.07	0	0	480	10
2007-04-03	$9.11	$0.00	16.4%	4.7%	14.4%	0.0%	0.0%	1.8%	2.4%	16.8K	-244.5K	-719	0.00	21.48	0	0	480	10
2007-04-04	$9.17	$0.00	16.1%	4.6%	14.1%	0.0%	0.0%	1.1%	2.9%	16.8K	-254.8K	-699	0.00	27.03	0	0	480	10
2007-04-05	$9.20	$0.00	16.3%	4.7%	14.1%	0.0%	0.0%	0.8%	2.2%	17.3K	-260.9K	-691	0.00	19.14	0	0	480	10
2007-04-09	$9.18	$0.00	17.0%	5.4%	14.1%	0.0%	0.0%	5.9%	-0.3%	17.5K	-258.9K	-672	0.00	90.04	0	0	480	10
2007-04-10	$9.26	$0.00	11.7%	5.4%	14.2%	0.0%	13.9%	6.6%	0.4%	17.3K	-270.1K	-660	0.56	90.94	45	25	480	10
2007-04-11	$9.20	$10.00	13.7%	5.4%	11.2%	0.0%	0.0%	5.9%	0.0%	16.8K	-245.2K	-701	0.00	90.57	0	0	485	35
2007-04-12	$9.28	$10.00	18.7%	5.4%	10.9%	0.0%	18.7%	6.9%	0.3%	16.4K	-261.0K	-697	0.00	62.80	0	50	485	35
2007-04-13	$9.27	$10.00	18.6%	5.3%	11.0%	0.0%	0.0%	6.4%	0.4%	13.9K	-244.8K	-731	0.00	62.39	0	0	485	85
2007-04-16	$9.37	$10.00	18.8%	5.4%	11.4%	0.0%	0.0%	7.3%	0.3%	13.8K	-268.1K	-677	0.00	67.64	55	0	485	85
2007-04-17	$9.39	$10.00	18.9%	5.4%	10.9%	0.0%	18.8%	7.5%	0.4%	11.8K	-247.1K	-618	0.00	43.93	30	0	440	85
2007-04-18	$9.36	$9.00	18.7%	5.4%	10.5%	0.0%	0.0%	6.7%	0.1%	13.7K	-257.9K	-633	0.00	65.58	10	0	470	85
2007-04-19	$9.29	$9.00	18.6%	5.3%	8.8%	0.0%	0.0%	5.9%	0.5%	14.1K	-242.7K	-649	1.00	64.38	50	50	470	85
2007-04-20	$9.36	$9.00	18.4%	5.3%	9.1%	0.0%	0.0%	6.3%	-0.7%	13.2K	-261.6K	-772	0.00	47.74	0	0	520	135
2007-04-23	$9.35	$9.00	18.6%	5.3%	9.1%	0.0%	0.0%	5.7%	-0.3%	13.7K	-255.0K	-745	0.00	48.05	0	0	520	135
2007-04-24	$9.33	$9.00	18.4%	5.3%	9.2%	0.0%	0.0%	6.0%	-0.1%	13.8K	-255.8K	-741	0.00	21.15	5	0	520	135
2007-04-25	$9.39	$9.00	18.4%	5.3%	9.2%	0.0%	0.0%	5.9%	-0.4%	13.9K	-270.5K	-722	0.00	96.76	0	0	525	135
2007-04-26	$9.43	$9.00	17.3%	5.0%	8.7%	0.0%	0.0%	-0.7%	-5.6%	12.7K	-290.4K	-688	0.00	106.40	25	0	525	135
2007-04-27	$9.44	$9.00	16.8%	4.8%	8.5%	0.0%	0.0%	-0.3%	-5.5%	12.8K	-288.9K	-675	0.00	105.76	5	0	520	135
2007-04-30	$9.30	$9.00	19.1%	5.5%	10.5%	0.0%	0.0%	4.5%	0.0%	14.7K	-239.2K	-713	0.00	20.04	0	0	520	135