IGV Options History — May 2007

In May 2007, IGV traded between $9.29 and $9.73. ATM implied volatility averaged 14.9%. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.6% (HV 20d: 12.3%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2007-05-21: Highest Volume — 150 contracts
  • 2007-05-24: Largest IV spike — 105.3% change
  • 2007-05-14: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.47$9.29$9.73$9.29$9.73
Max Pain$9.00$9.00$9.00$9.00$9.00
ATM IV14.9%9.1%19.6%18.5%14.8%
Expected Move4.5%2.6%5.6%5.3%4.2%
HV 20d12.3%9.8%16.6%10.5%16.0%
HV 60d14.1%12.7%14.8%14.0%13.6%
Term Structure2.2%-0.2%8.0%0.4%1.8%
VWIV16.3%11.1%19.6%19.2%12.6%
Skew 25d4.4%-2.4%18.8%3.1%18.8%
Skew 10d5.3%-3.1%24.4%6.5%24.4%
Call IV 25d13.1%9.7%18.0%15.3%18.0%
Put IV 25d17.6%12.0%36.7%18.5%36.7%
Bid-Ask Spread %81.6240.60200.0052.2074.14
Gamma HHI0.800.510.920.920.51
Net GEX12.0K019.3K15.0K5.9K
Net DEX-261.4K-335.5K0-241.1K-330.5K
Net VEX-419-7010-701-203
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.000.00
Total Volume14.7730150020
Total OI554.7730655655530

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$9.29$9.0018.5%5.3%10.5%0.0%0.0%3.1%0.4%15.0K-241.1K-7010.0052.2000520135
2007-05-02$9.37$0.0012.4%3.6%10.6%0.0%0.0%0.0%0.0%0000.00200.000000
2007-05-03$9.43$9.0012.5%3.6%10.5%0.0%0.0%0.4%5.9%14.4K-282.3K-6180.0040.6000520135
2007-05-04$9.45$9.0014.1%5.2%10.5%0.0%0.0%3.5%2.6%13.5K-297.8K-6010.0085.3100520135
2007-05-07$9.46$9.0014.0%5.5%10.4%0.0%19.2%3.3%0.3%14.5K-287.4K-5840.0088.19250520135
2007-05-08$9.47$9.0015.5%5.5%10.2%0.0%0.0%3.4%0.7%13.9K-296.9K-5560.0053.6100520135
2007-05-09$9.46$9.0015.3%5.5%9.8%0.0%19.2%4.0%0.4%14.6K-288.8K-5560.0056.58100520135
2007-05-10$9.35$9.0019.1%5.5%10.3%0.0%0.0%6.7%0.3%15.7K-267.6K-5740.0096.3700520135
2007-05-11$9.48$9.0017.9%5.1%11.2%0.0%0.0%7.3%1.7%14.7K-295.1K-5130.0096.8000520135
2007-05-14$9.41$9.0019.6%5.6%10.9%0.0%19.6%7.8%-0.2%15.9K-279.9K-5410.0064.91400520135
2007-05-15$9.32$9.0019.1%5.5%11.5%0.0%0.0%7.1%0.1%15.8K-233.8K-5370.0064.1000490135
2007-05-16$9.41$9.0019.0%5.5%12.0%0.0%0.0%6.8%0.8%15.2K-256.3K-4980.0066.7100490135
2007-05-17$9.40$9.0018.9%5.4%11.8%0.0%0.0%6.5%1.1%15.8K-253.2K-5090.0066.7400490135
2007-05-18$9.54$9.0012.4%3.5%12.6%0.0%11.1%3.5%2.6%12.3K-292.5K-4081.0066.192525490135
2007-05-21$9.62$9.0012.3%3.5%12.9%0.0%12.6%-2.4%2.1%11.1K-331.6K-3630.0068.37150049060
2007-05-22$9.64$9.0011.5%3.3%12.8%0.0%0.0%-1.6%2.9%10.1K-335.5K-3170.0055.360049060
2007-05-23$9.58$0.009.1%2.6%13.0%0.0%0.0%0.0%0.0%0000.00200.000000
2007-05-24$9.35$9.0018.6%5.3%15.8%0.0%0.0%4.9%1.3%19.3K-264.3K-4380.0065.950050060
2007-05-25$9.48$9.0011.9%3.4%16.6%0.0%0.0%1.5%8.0%10.9K-308.3K-2980.0063.6730050060
2007-05-29$9.53$9.0011.8%3.4%15.6%0.0%0.0%1.1%5.4%9.1K-295.8K-2160.00105.560047060
2007-05-30$9.63$9.0010.5%3.0%15.9%0.0%0.0%2.8%6.8%6.3K-311.6K-1900.0064.210047060
2007-05-31$9.73$9.0014.8%4.2%16.0%0.0%0.0%18.8%1.8%5.9K-330.5K-2030.0074.1420047060