IGV Options History — July 2007 In July 2007, IGV traded between $9.18 and $9.75. ATM implied volatility averaged 17.4%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.5% (HV 20d: 14.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-07-19 : Highest Volume — 60 contracts2007-07-10 : Largest IV spike — 89.8% change2007-07-27 : Highest IV Rank — 78.6%2007-07-27 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.53 $9.18 $9.75 $9.52 $9.18 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 17.4% 11.1% 27.7% 12.7% 25.2% Expected Move 5.0% 3.2% 7.9% 3.6% 7.2% HV 20d 14.9% 13.0% 16.8% 15.9% 16.8% HV 60d 14.9% 14.1% 16.1% 14.2% 16.1% IV Rank 36.9% 8.3% 78.6% 29.3% 67.9% IV Percentile 48.6% 2.3% 99.3% 27.8% 96.5% Term Structure 1.3% -1.4% 6.6% 1.4% -0.1% Skew 25d 3.9% -2.6% 11.2% 3.9% 4.6% Skew 10d 5.1% -3.9% 18.6% 5.3% 8.6% Call IV 25d 16.4% 10.9% 22.3% 15.8% 22.3% Put IV 25d 20.3% 14.2% 30.8% 19.7% 26.9% Bid-Ask Spread % 103.28 81.13 200.00 81.13 99.24 Gamma HHI 0.57 0.50 1.00 0.50 0.51 Net GEX 6.2K 2.3K 9.0K 5.1K 7.2K Net DEX 5.6M -53.2K 9.0M 5.6M 9.0M Net VEX -16.3K -24.8K -109 -24.8K -5.5K 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 5.952 0 60 5 45 Total OI 20,542.381 65 22,740 22,660 22,740
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 2007-07-02 $9.52 $10.00 12.7% 3.6% 15.9% 0.0% 0.0% 3.9% 1.4% 5.1K 5.6M -24.8K 0.00 81.13 5 0 11,410 11,250 2007-07-03 $9.55 $10.00 13.0% 3.7% 16.0% 0.0% 0.0% 2.6% 1.8% 5.3K 6.1M -21.8K 0.00 92.73 0 0 11,415 11,250 2007-07-05 $9.61 $10.00 16.0% 4.6% 16.1% 29.3% 0.0% 4.3% 1.5% 5.3K 5.0M -24.4K 0.00 83.59 0 0 11,415 11,250 2007-07-06 $9.58 $10.00 15.5% 4.5% 13.4% 27.3% 0.0% 4.1% 1.5% 5.4K 5.6M -22.7K 0.00 84.69 0 0 11,415 11,250 2007-07-09 $9.52 $10.00 11.1% 3.2% 13.0% 8.3% 0.0% 8.4% 6.6% 5.5K 6.2M -20.2K 0.00 101.80 0 0 11,415 11,250 2007-07-10 $9.37 $10.00 21.0% 6.0% 14.1% 50.1% 0.0% 7.7% 0.8% 5.3K 7.5M -15.6K 0.00 95.58 0 0 11,415 11,250 2007-07-11 $9.45 $10.00 20.4% 5.9% 14.0% 47.9% 0.0% 4.1% 1.2% 5.4K 7.2M -17.4K 0.00 89.95 0 0 11,415 11,250 2007-07-12 $9.60 $10.00 13.8% 4.0% 13.7% 19.9% 0.0% 0.0% 0.0% 2.3K -25.3K -109 0.00 200.00 0 0 65 0 2007-07-13 $9.54 $10.00 16.5% 4.7% 13.8% 31.2% 0.0% 3.9% 1.3% 5.5K 6.5M -18.1K 0.00 87.88 0 0 11,415 11,250 2007-07-16 $9.53 $10.00 13.2% 3.8% 13.8% 17.3% 0.0% 4.2% 2.2% 5.5K 6.1M -18.5K 0.00 94.31 0 0 11,415 11,250 2007-07-17 $9.61 $10.00 14.2% 4.1% 14.2% 21.5% 0.0% -2.4% 1.8% 5.5K 5.5M -19.6K 0.00 102.51 15 0 11,415 11,250 2007-07-18 $9.59 $10.00 16.5% 4.7% 14.2% 31.2% 0.0% 3.5% 1.3% 6.1K 5.9M -19.4K 0.00 91.89 0 0 11,430 11,250 2007-07-19 $9.75 $10.00 16.5% 4.7% 14.8% 31.3% 0.0% -1.2% 1.9% 6.1K 3.8M -22.5K 0.00 91.84 60 0 11,430 11,250 2007-07-20 $9.66 $10.00 14.3% 4.1% 15.2% 21.9% 0.0% 2.6% 1.6% 8.9K 4.6M -20.3K 0.00 89.82 0 0 11,490 11,250 2007-07-23 $9.73 $10.00 17.3% 5.0% 14.7% 34.8% 0.0% -1.9% 1.5% 9.0K 4.3M -21.0K 0.00 94.20 0 0 11,490 11,250 2007-07-24 $9.59 $10.00 15.0% 4.3% 15.5% 25.2% 0.0% -2.6% 1.6% 8.8K 6.4M -15.4K 0.00 102.74 0 0 11,490 11,250 2007-07-25 $9.62 $10.00 15.1% 4.3% 15.4% 25.4% 0.0% 0.0% 0.0% 5.4K -53.2K -213 0.00 200.00 0 0 140 0 2007-07-26 $9.46 $10.00 25.2% 7.2% 15.1% 67.8% 0.0% 10.5% -1.1% 8.4K 6.4M -14.8K 0.00 93.98 0 0 11,490 11,250 2007-07-27 $9.30 $10.00 27.7% 7.9% 16.2% 78.6% 0.0% 11.2% -1.4% 7.2K 7.8M -10.5K 0.00 93.14 0 0 11,490 11,250 2007-07-30 $9.31 $10.00 24.3% 7.0% 16.2% 64.3% 0.0% 6.3% 0.2% 7.8K 8.3M -8.9K 0.00 97.79 0 0 11,490 11,250 2007-07-31 $9.18 $10.00 25.2% 7.2% 16.8% 67.9% 0.0% 4.6% -0.1% 7.2K 9.0M -5.5K 0.00 99.24 45 0 11,490 11,250
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