IGV Options History — June 2007

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

In June 2007, IGV traded between $9.38 and $9.75. ATM implied volatility averaged 18.5%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 1.5% (HV 20d: 17.0%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2007-06-19: Highest Volume — 30,005 contracts
2007-06-18: Largest IV drop — 50.0% change
2007-06-25: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.58	$9.38	$9.75	$9.72	$9.51
Max Pain	$8.89	$7.00	$10.00	$9.00	$10.00
ATM IV	18.5%	11.0%	32.8%	12.3%	13.6%
Expected Move	4.8%	3.2%	6.2%	3.5%	3.9%
HV 20d	17.0%	15.1%	18.7%	16.0%	16.0%
HV 60d	13.7%	13.4%	14.3%	13.5%	14.3%
Term Structure	2.1%	-0.6%	7.2%	2.9%	1.4%
VWIV	16.9%	16.3%	17.9%	17.9%	16.5%
Skew 25d	4.4%	0.4%	7.2%	0.5%	3.4%
Skew 10d	6.1%	-1.2%	14.3%	-1.2%	4.7%
Call IV 25d	15.4%	12.2%	17.6%	14.6%	16.5%
Put IV 25d	19.8%	15.1%	22.6%	15.1%	19.9%
Bid-Ask Spread %	71.79	41.44	105.87	56.30	88.33
Gamma HHI	0.54	0.49	0.84	0.51	0.50
Net GEX	6.4K	4.8K	10.5K	7.4K	4.9K
Net DEX	1.9M	-339.4K	6.0M	-336.3K	5.5M
Net VEX	-11.3K	-40.3K	-177	-230	-24.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	5.00	0.00	0.00
Total Volume	1,793.333	0	30,005	0	0
Total OI	9,659.524	175	30,175	540	22,660

Daily Data (21 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
2007-06-01	$9.72	$9.00	12.3%	3.5%	16.0%	0.0%	0.0%	0.5%	2.9%	7.4K	-336.3K	-230	0.00	56.30	0	0	480	60
2007-06-04	$9.75	$9.00	12.8%	3.7%	16.0%	0.0%	0.0%	1.2%	2.4%	7.3K	-339.4K	-215	0.00	55.62	5	0	480	60
2007-06-05	$9.73	$9.00	11.0%	3.2%	16.0%	0.0%	0.0%	5.3%	7.2%	6.2K	-331.0K	-190	0.00	105.87	0	0	485	60
2007-06-06	$9.68	$9.00	12.7%	3.6%	16.2%	0.0%	0.0%	6.0%	7.2%	5.8K	-320.9K	-191	0.00	64.19	0	0	485	60
2007-06-07	$9.45	$9.00	17.6%	5.0%	18.6%	0.0%	0.0%	6.8%	2.4%	10.5K	-289.1K	-211	0.00	41.44	0	0	485	60
2007-06-08	$9.56	$9.00	15.8%	4.5%	18.5%	0.0%	0.0%	0.4%	2.6%	7.5K	-303.5K	-188	0.00	42.27	0	0	485	60
2007-06-11	$9.57	$7.00	18.9%	5.1%	17.9%	0.0%	17.9%	6.5%	0.0%	6.9K	-305.2K	-177	0.00	65.23	50	0	485	60
2007-06-12	$9.47	$7.00	26.9%	6.0%	18.1%	0.0%	0.0%	6.0%	0.0%	9.8K	-301.6K	-273	0.00	62.34	0	0	525	60
2007-06-13	$9.64	$7.00	25.3%	5.1%	18.7%	0.0%	0.0%	6.7%	0.0%	8.8K	-323.3K	-267	0.00	71.67	15	0	525	60
2007-06-14	$9.66	$7.00	26.4%	5.1%	18.4%	0.0%	0.0%	7.2%	0.0%	7.8K	-324.8K	-257	0.00	64.95	0	0	525	60
2007-06-15	$9.65	$7.00	32.8%	5.0%	18.4%	0.0%	0.0%	6.8%	0.0%	7.0K	-322.9K	-248	5.00	72.36	10	50	525	60
2007-06-18	$9.64	$0.00	16.4%	4.7%	17.7%	0.0%	0.0%	4.7%	1.2%	4.8K	-116.4K	-237	0.00	75.83	0	0	175	0
2007-06-19	$9.65	$0.00	16.3%	4.7%	17.4%	0.0%	16.3%	4.3%	1.2%	4.8K	-117.0K	-235	1.00	77.71	15,005	15,000	175	0
2007-06-20	$9.55	$10.00	17.1%	4.9%	17.8%	0.0%	0.0%	4.1%	1.0%	4.8K	6.0M	-40.3K	0.00	76.47	0	0	15,175	15,000
2007-06-21	$9.59	$10.00	16.5%	4.7%	17.7%	0.0%	16.5%	3.9%	1.1%	4.9K	5.8M	-39.8K	1.00	78.98	3,750	3,750	15,175	15,000
2007-06-22	$9.48	$10.00	21.0%	6.0%	15.9%	0.0%	0.0%	3.5%	1.0%	4.9K	5.3M	-27.8K	0.00	78.29	0	0	11,425	11,250
2007-06-25	$9.42	$10.00	21.6%	6.2%	15.2%	0.0%	0.0%	3.6%	-0.6%	4.9K	5.9M	-23.0K	0.00	80.09	0	0	11,425	11,250
2007-06-26	$9.38	$10.00	21.3%	6.1%	15.1%	0.0%	0.0%	3.8%	0.6%	4.8K	6.0M	-24.3K	0.00	79.26	25	0	11,425	11,250
2007-06-27	$9.57	$10.00	16.8%	4.8%	16.3%	0.0%	0.0%	4.1%	1.4%	4.9K	4.8M	-28.1K	0.00	87.80	0	0	11,410	11,250
2007-06-28	$9.57	$10.00	16.3%	4.7%	15.9%	0.0%	0.0%	3.8%	0.8%	5.0K	5.0M	-26.4K	0.00	82.49	0	0	11,410	11,250
2007-06-29	$9.51	$10.00	13.6%	3.9%	16.0%	0.0%	0.0%	3.4%	1.4%	4.9K	5.5M	-24.8K	0.00	88.33	0	0	11,410	11,250