IGV Options History — October 2007

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

In October 2007, IGV traded between $10.09 and $10.78. ATM implied volatility averaged 20.0%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.7% (HV 20d: 15.3%). Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.13.

Notable Days

2007-10-09: Highest Volume — 35 contracts
2007-10-16: Largest IV spike — 51.1% change
2007-10-25: Highest IV Rank — 67.9%
2007-10-25: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.39	$10.09	$10.78	$10.09	$10.78
ATM IV	20.0%	14.4%	25.2%	17.7%	18.7%
Expected Move	5.9%	4.1%	7.2%	5.1%	5.4%
HV 20d	15.3%	11.5%	20.3%	15.2%	20.3%
HV 60d	18.1%	17.4%	18.5%	18.4%	18.0%
IV Rank	46.2%	22.5%	67.9%	36.3%	40.4%
IV Percentile	64.9%	14.9%	94.1%	53.5%	63.6%
Term Structure	2.7%	-0.2%	10.5%	2.4%	4.1%
Skew 25d	5.5%	-1.0%	11.0%	2.3%	-1.0%
Skew 10d	5.6%	-1.8%	14.0%	3.9%	-1.8%
Call IV 25d	16.5%	12.8%	20.7%	16.1%	19.0%
Put IV 25d	21.9%	17.8%	27.2%	18.4%	18.0%
Bid-Ask Spread %	76.85	17.12	100.85	68.01	96.10
Gamma HHI	0.43	0.41	0.46	0.46	0.41
Net GEX	5.3K	4.9K	5.9K	5.9K	5.1K
Net DEX	-155.7K	-180.6K	-137.7K	-140.4K	-180.6K
Net VEX	-586	-614	-551	-584	-562
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.40	0.40	0.00
Total Volume	2.391	0	35	0	5
Total OI	249.13	235	260	235	260

Daily Data (23 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
2007-10-01	$10.09	$0.00	17.7%	5.1%	15.2%	36.3%	0.0%	2.3%	2.4%	5.9K	-140.4K	-584	0.00	68.01	0	0	235	0
2007-10-02	$10.11	$0.00	18.5%	5.3%	14.7%	39.7%	0.0%	3.1%	2.1%	5.7K	-141.6K	-583	0.00	17.12	0	0	235	0
2007-10-03	$10.10	$0.00	18.1%	5.2%	14.5%	38.1%	0.0%	2.1%	2.3%	5.7K	-137.7K	-582	0.00	64.38	0	0	235	0
2007-10-04	$10.15	$0.00	18.5%	5.3%	14.5%	39.9%	0.0%	2.2%	2.1%	5.7K	-141.6K	-580	0.00	49.63	0	0	235	0
2007-10-05	$10.26	$0.00	17.9%	5.8%	12.9%	37.1%	0.0%	3.4%	1.7%	5.7K	-151.9K	-571	0.00	50.79	0	0	235	0
2007-10-08	$10.38	$0.00	17.0%	6.0%	12.8%	33.4%	0.0%	4.1%	1.1%	5.6K	-157.6K	-560	0.00	50.45	0	0	235	0
2007-10-09	$10.49	$0.00	16.6%	5.9%	11.6%	31.7%	0.0%	4.9%	1.7%	5.6K	-165.8K	-551	0.40	87.32	25	10	235	0
2007-10-10	$10.51	$0.00	15.3%	4.5%	11.5%	26.5%	0.0%	4.9%	3.8%	5.2K	-162.2K	-571	0.00	51.69	0	0	235	10
2007-10-11	$10.39	$0.00	22.2%	6.4%	12.9%	55.2%	0.0%	4.8%	0.3%	5.3K	-155.2K	-580	0.00	71.44	0	0	235	10
2007-10-12	$10.64	$0.00	17.5%	5.0%	14.6%	35.6%	0.0%	4.7%	2.9%	5.0K	-172.7K	-566	0.00	48.82	0	5	235	10
2007-10-15	$10.53	$0.00	15.5%	4.4%	15.4%	27.0%	0.0%	4.1%	2.5%	4.9K	-162.6K	-578	0.00	89.14	0	0	235	15
2007-10-16	$10.46	$0.00	23.4%	6.7%	14.1%	60.4%	0.0%	5.1%	1.0%	5.0K	-156.9K	-590	0.00	96.03	0	0	235	15
2007-10-17	$10.45	$0.00	22.9%	6.6%	14.2%	58.4%	0.0%	4.0%	1.5%	5.0K	-156.0K	-589	0.00	68.06	10	0	235	15
2007-10-18	$10.47	$0.00	22.8%	6.5%	14.0%	57.8%	0.0%	4.1%	1.8%	5.3K	-163.2K	-613	0.00	81.83	0	0	245	15
2007-10-19	$10.23	$0.00	24.7%	7.1%	16.9%	65.8%	0.0%	6.4%	0.4%	5.3K	-143.3K	-614	0.00	100.71	0	0	245	15
2007-10-22	$10.32	$0.00	24.4%	7.0%	16.8%	64.6%	0.0%	9.7%	0.3%	5.3K	-154.2K	-612	0.00	100.80	0	0	245	15
2007-10-23	$10.46	$0.00	24.1%	6.9%	16.6%	63.3%	0.0%	10.9%	0.8%	5.3K	-160.3K	-605	0.00	95.95	0	0	245	15
2007-10-24	$10.42	$0.00	20.0%	5.7%	16.7%	46.1%	0.0%	8.1%	8.7%	5.3K	-150.5K	-608	0.00	100.85	0	0	245	15
2007-10-25	$10.29	$0.00	25.2%	7.2%	17.5%	67.9%	0.0%	9.8%	-0.2%	5.3K	-146.7K	-611	0.00	88.73	0	0	245	15
2007-10-26	$10.45	$0.00	24.7%	7.1%	18.1%	65.9%	0.0%	10.7%	0.5%	5.2K	-157.3K	-600	0.00	91.33	0	0	245	15
2007-10-29	$10.58	$0.00	20.7%	5.9%	18.3%	48.8%	0.0%	6.4%	10.5%	5.2K	-161.5K	-587	0.00	100.15	0	0	245	15
2007-10-30	$10.51	$0.00	14.4%	4.1%	18.6%	22.5%	0.0%	11.0%	8.8%	5.2K	-162.2K	-583	0.00	98.12	0	0	245	15
2007-10-31	$10.78	$0.00	18.7%	5.4%	20.3%	40.4%	0.0%	-1.0%	4.1%	5.1K	-180.6K	-562	0.00	96.10	5	0	245	15