IGV Options History — September 2007 In September 2007, IGV traded between $9.38 and $10.00. ATM implied volatility averaged 18.4%, placing in the 39.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.5% (HV 20d: 17.8%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2007-09-24 : Highest Volume — 85 contracts2007-09-07 : Largest IV spike — 78.1% change2007-09-10 : Highest IV Rank — 72.9%2007-09-07 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.69 $9.38 $10.00 $9.59 $10.00 Max Pain $7.00 $7.00 $7.00 $7.00 $7.00 ATM IV 18.4% 14.1% 26.4% 14.8% 17.8% Expected Move 5.5% 4.0% 7.9% 4.3% 5.1% HV 20d 17.8% 15.3% 19.4% 19.4% 15.4% HV 60d 18.1% 17.6% 18.5% 17.8% 18.3% IV Rank 39.2% 21.0% 72.9% 24.3% 37.0% IV Percentile 54.0% 15.3% 95.9% 19.0% 57.0% Term Structure 2.6% -2.4% 7.6% 6.8% 1.8% Skew 25d 4.0% -0.7% 7.6% 4.9% 1.0% Skew 10d 4.6% -0.9% 9.8% 1.3% 1.5% Call IV 25d 17.4% 13.3% 20.6% 13.3% 16.5% Put IV 25d 21.5% 15.7% 27.4% 18.2% 17.5% Bid-Ask Spread % 83.52 39.96 114.38 114.38 61.63 Gamma HHI 0.54 0.36 0.79 0.50 0.47 Net GEX 8.9K 3.3K 14.6K 9.8K 5.7K Net DEX -153.1K -183.3K -73.6K -161.7K -129.7K Net VEX -425 -581 -349 -372 -572 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 5.789 0 85 10 5 Total OI 297.632 145 330 310 230
Daily Data (19 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 2007-09-04 $9.59 $7.00 14.8% 4.3% 19.4% 24.3% 0.0% 4.9% 6.8% 9.8K -161.7K -372 0.00 114.38 10 0 310 0 2007-09-05 $9.56 $7.00 14.1% 4.0% 19.4% 21.1% 0.0% 3.8% 7.1% 9.2K -161.5K -385 0.00 106.75 10 0 320 0 2007-09-06 $9.56 $7.00 14.1% 4.0% 19.4% 21.0% 0.0% 2.9% 7.6% 9.3K -165.9K -411 0.00 107.90 0 0 330 0 2007-09-07 $9.41 $0.00 25.0% 7.9% 17.7% 67.2% 0.0% 6.8% -2.4% 10.4K -149.2K -440 0.00 76.01 0 0 330 0 2007-09-10 $9.38 $0.00 26.4% 7.9% 17.6% 72.9% 0.0% 7.0% -1.3% 10.3K -144.6K -422 0.00 86.40 0 0 330 0 2007-09-11 $9.57 $0.00 17.1% 6.0% 18.9% 33.7% 0.0% 7.1% 1.4% 9.1K -166.3K -397 0.00 79.83 0 0 330 0 2007-09-12 $9.58 $0.00 16.0% 5.9% 18.3% 29.1% 0.0% 7.6% 2.2% 8.7K -167.1K -390 0.00 79.24 0 0 330 0 2007-09-13 $9.59 $0.00 20.7% 5.9% 17.1% 49.1% 0.0% 7.6% 1.9% 9.1K -167.3K -389 0.00 80.76 0 0 330 0 2007-09-14 $9.59 $0.00 20.3% 5.8% 16.9% 47.2% 0.0% 7.3% 2.0% 8.5K -166.4K -384 0.00 81.80 0 0 330 0 2007-09-17 $9.54 $0.00 20.9% 6.0% 16.8% 50.0% 0.0% 6.4% 1.3% 7.9K -161.5K -374 0.00 80.32 0 0 330 0 2007-09-18 $9.78 $0.00 18.9% 5.4% 18.3% 41.3% 0.0% 6.2% 2.7% 12.7K -178.8K -379 0.00 85.10 0 0 330 0 2007-09-19 $9.81 $0.00 18.2% 5.2% 18.3% 38.4% 0.0% -0.1% 3.1% 14.6K -183.3K -375 0.00 96.14 0 0 330 0 2007-09-20 $9.79 $0.00 18.4% 5.3% 18.4% 39.4% 0.0% 5.9% 3.1% 10.8K -173.6K -360 0.00 86.20 0 0 330 0 2007-09-21 $9.79 $0.00 17.0% 4.9% 18.4% 33.5% 0.0% -0.2% 3.7% 12.1K -177.2K -358 0.00 93.60 0 0 330 0 2007-09-24 $9.72 $0.00 16.0% 4.6% 18.3% 29.0% 0.0% -0.7% 3.1% 3.3K -73.6K -349 0.00 95.76 85 0 145 0 2007-09-25 $9.87 $0.00 18.3% 5.2% 18.7% 38.7% 0.0% 0.7% 1.8% 5.8K -123.6K -571 0.00 39.96 0 0 230 0 2007-09-26 $9.94 $0.00 17.8% 5.1% 16.6% 36.6% 0.0% 1.2% 1.8% 5.6K -127.3K -581 0.00 44.19 0 0 230 0 2007-09-27 $9.98 $0.00 17.4% 5.0% 15.3% 35.2% 0.0% 0.9% 2.3% 5.7K -130.2K -573 0.00 90.82 0 0 230 0 2007-09-28 $10.00 $0.00 17.8% 5.1% 15.4% 37.0% 0.0% 1.0% 1.8% 5.7K -129.7K -572 0.00 61.63 5 0 230 0
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