IGV Options History — August 2007

In August 2007, IGV traded between $8.93 and $9.46. ATM implied volatility averaged 24.1%, placing in the 63.2% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.6% (HV 20d: 20.5%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-08-06: Highest Volume — 50 contracts
  • 2007-08-09: Largest IV spike — 33.8% change
  • 2007-08-13: Highest IV Rank — 86.2%
  • 2007-08-16: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.22$8.93$9.46$9.25$9.46
Max Pain$7.39$7.00$10.00$10.00$7.00
ATM IV24.1%18.8%29.5%25.3%20.6%
Expected Move7.0%5.8%8.0%7.3%5.9%
HV 20d20.5%17.0%22.0%17.0%19.6%
HV 60d17.5%16.2%18.3%16.2%17.7%
IV Rank63.2%41.0%86.2%68.4%48.6%
IV Percentile90.5%76.5%99.3%97.2%79.6%
Term Structure1.0%-1.3%7.4%-0.4%7.1%
VWIV37.6%24.5%50.8%24.5%50.8%
Skew 25d8.5%4.3%14.2%5.9%8.0%
Skew 10d8.8%3.9%17.7%10.2%6.9%
Call IV 25d16.5%12.4%22.0%20.0%14.3%
Put IV 25d25.0%22.0%32.3%25.8%22.4%
Bid-Ask Spread %99.7181.97200.0099.00108.05
Gamma HHI0.470.430.990.460.44
Net GEX7.6K4.7K10.1K8.3K10.1K
Net DEX5.0M-151.5K10.2M8.7M-151.5K
Net VEX-1.5K-8.3K-145-6.8K-414
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume5.8705005
Total OI11,990.65215522,78522,785315

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$9.25$10.0025.3%7.3%17.0%68.4%0.0%5.9%-0.4%8.3K8.7M-6.8K0.0099.000011,53511,250
2007-08-02$9.38$10.0020.2%5.8%17.8%46.9%0.0%9.2%7.4%9.0K8.2M-8.3K0.0099.410011,53511,250
2007-08-03$9.15$10.0025.0%7.2%19.8%67.2%0.0%4.7%-0.1%8.1K9.2M-4.4K0.00104.410011,53511,250
2007-08-06$9.29$7.0024.5%7.0%20.8%64.9%24.5%0.0%0.0%4.7K-42.9K-1450.00200.005001550
2007-08-07$9.32$7.0018.8%6.8%20.1%41.0%0.0%9.7%0.9%7.1K9.9M-2.3K0.0099.110011,48511,250
2007-08-08$9.36$7.0021.2%6.8%19.9%51.2%0.0%6.8%1.1%7.4K9.2M-4.2K0.0081.970011,48511,250
2007-08-09$9.12$7.0028.4%7.4%21.0%81.4%0.0%6.9%0.3%6.4K9.9M-1.4K0.0095.580011,48511,250
2007-08-10$9.20$7.0024.6%7.8%21.3%65.6%0.0%14.2%-1.2%6.4K9.9M-1.6K0.0090.470011,48511,250
2007-08-13$9.22$7.0029.5%7.3%21.3%86.2%0.0%10.3%-0.3%6.9K10.1M-9310.00108.530011,48511,250
2007-08-14$9.12$7.0023.2%7.3%21.2%59.4%0.0%7.2%-0.2%6.7K10.2M-2660.0094.180011,48511,250
2007-08-15$8.98$7.0025.7%7.8%21.7%70.1%0.0%12.5%-1.3%6.1K10.0M-2400.0088.700011,48511,250
2007-08-16$8.93$7.0027.8%8.0%20.4%78.7%0.0%12.3%-0.9%5.9K10.0M-2480.0099.970011,48511,250
2007-08-17$9.04$7.0026.9%7.7%21.1%74.9%0.0%13.0%-0.3%6.4K10.1M-2410.0084.070011,48511,250
2007-08-20$9.13$7.0024.9%7.2%21.3%66.9%0.0%6.0%1.2%6.9K-76.2K-2230.0096.10002350
2007-08-21$9.18$7.0024.6%7.1%21.1%65.4%0.0%6.1%1.5%7.2K-79.9K-2280.0093.19002350
2007-08-22$9.21$7.0023.2%6.7%21.1%59.5%0.0%7.9%0.7%7.6K-86.3K-2190.0090.393002350
2007-08-23$9.22$7.0022.5%6.5%20.3%56.7%0.0%7.4%1.6%8.4K-96.9K-2960.0090.25002650
2007-08-24$9.34$7.0022.0%6.3%20.0%54.4%0.0%9.6%1.3%8.8K-108.1K-3040.0092.45002650
2007-08-27$9.29$7.0022.9%6.6%20.1%58.5%0.0%7.4%0.7%8.7K-100.9K-2840.0095.17002650
2007-08-28$9.11$7.0024.0%6.9%20.7%62.7%0.0%4.3%0.9%8.0K-84.4K-2730.0095.58002650
2007-08-29$9.31$7.0023.5%6.7%22.0%60.9%0.0%8.4%0.9%8.8K-104.4K-2910.0092.995002650
2007-08-30$9.35$7.0024.1%6.9%21.4%63.4%0.0%8.8%1.0%9.8K-140.1K-4090.0093.74003150
2007-08-31$9.46$7.0020.6%5.9%19.6%48.6%50.8%8.0%7.1%10.1K-151.5K-4140.00108.05503150