IGV Options History — November 2007

In November 2007, IGV traded between $9.60 and $10.70. ATM implied volatility averaged 27.4%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.9% (HV 20d: 22.5%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.01.

Notable Days

2007-11-26: Highest Volume — 130 contracts
2007-11-15: Largest IV spike — 230.8% change
2007-11-15: Highest IV Rank — 100.0%
2007-11-08: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.09	$9.60	$10.70	$10.58	$9.98
Max Pain	$9.55	$9.00	$10.00	$10.00	$9.00
ATM IV	27.4%	13.3%	94.9%	15.9%	24.9%
Expected Move	6.9%	3.8%	8.3%	4.5%	7.1%
HV 20d	22.5%	21.3%	25.2%	21.6%	22.5%
HV 60d	18.9%	17.6%	20.0%	18.5%	20.0%
IV Rank	41.7%	13.9%	100.0%	28.6%	18.4%
IV Percentile	80.3%	10.3%	100.0%	22.9%	87.4%
Term Structure	2.1%	-1.3%	10.2%	8.5%	1.2%
VWIV	24.7%	19.7%	28.9%	19.7%	28.5%
Skew 25d	7.8%	-1.1%	13.7%	3.2%	9.7%
Skew 10d	10.0%	-2.8%	20.8%	0.0%	11.4%
Call IV 25d	19.9%	14.2%	31.2%	15.7%	18.1%
Put IV 25d	27.7%	17.0%	44.9%	18.9%	27.7%
Bid-Ask Spread %	88.63	54.12	111.84	108.62	89.36
Gamma HHI	0.41	0.34	0.56	0.41	0.34
Net GEX	6.8K	5.0K	10.2K	5.0K	8.1K
Net DEX	-165.7K	-239.9K	-102.4K	-168.8K	-219.2K
Net VEX	-665	-891	-557	-580	-884
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.04	0.00	0.04
Total Volume	12.619	0	130	30	0
Total OI	319.524	260	415	260	415

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
2007-11-01	$10.58	$0.00	15.9%	4.5%	21.6%	28.6%	19.7%	3.2%	8.5%	5.0K	-168.8K	-580	0.00	108.62	30	0	245	15
2007-11-02	$10.70	$10.00	19.4%	5.6%	21.6%	43.5%	0.0%	-1.1%	4.0%	5.7K	-207.1K	-570	0.00	98.78	25	0	275	15
2007-11-05	$10.63	$10.00	15.6%	4.5%	21.5%	27.3%	21.6%	4.5%	8.0%	6.4K	-210.2K	-639	0.00	108.65	25	0	300	15
2007-11-06	$10.61	$10.00	13.3%	3.8%	21.3%	17.6%	0.0%	2.7%	10.2%	6.7K	-239.9K	-634	0.00	106.39	0	0	325	15
2007-11-07	$10.39	$10.00	22.5%	6.4%	22.5%	56.4%	0.0%	-1.1%	2.3%	9.3K	-216.2K	-665	0.00	111.84	0	0	325	15
2007-11-08	$10.19	$10.00	29.1%	8.3%	23.2%	84.3%	28.9%	4.3%	-1.3%	10.2K	-186.5K	-670	0.00	101.41	25	0	325	15
2007-11-09	$9.97	$10.00	28.5%	8.2%	22.3%	81.8%	28.5%	13.7%	-0.4%	8.5K	-143.3K	-649	0.00	99.40	30	0	300	15
2007-11-12	$9.99	$9.00	31.3%	8.1%	22.2%	93.6%	0.0%	10.1%	0.6%	5.6K	-127.4K	-622	0.00	71.32	0	0	270	15
2007-11-13	$10.12	$9.00	27.3%	7.7%	22.8%	77.0%	0.0%	10.1%	-0.3%	5.9K	-140.6K	-630	0.00	55.32	0	0	270	15
2007-11-14	$10.03	$9.00	28.7%	7.8%	22.9%	82.6%	0.0%	9.4%	-0.5%	5.9K	-134.4K	-622	0.00	72.14	0	0	270	15
2007-11-15	$9.90	$9.00	94.9%	7.8%	23.2%	100.0%	0.0%	9.4%	0.2%	5.7K	-127.8K	-607	0.00	99.62	0	0	270	15
2007-11-16	$10.04	$9.00	21.0%	7.7%	22.6%	13.9%	0.0%	9.4%	0.7%	6.0K	-134.5K	-612	0.00	54.12	0	0	270	15
2007-11-19	$9.90	$0.00	26.1%	7.5%	22.7%	19.8%	0.0%	13.0%	1.1%	5.9K	-125.7K	-600	0.00	83.59	0	0	270	15
2007-11-20	$9.87	$0.00	25.2%	7.2%	21.9%	18.8%	0.0%	11.9%	1.4%	5.9K	-125.1K	-596	0.00	90.03	0	0	270	15
2007-11-21	$9.73	$0.00	25.3%	7.3%	22.3%	19.0%	0.0%	9.8%	1.7%	5.8K	-112.0K	-584	0.00	83.26	0	0	270	15
2007-11-23	$9.79	$0.00	25.7%	7.4%	22.3%	19.4%	0.0%	11.6%	1.1%	5.9K	-117.2K	-581	0.00	79.24	0	0	270	15
2007-11-26	$9.60	$0.00	26.5%	7.6%	22.1%	20.3%	0.0%	8.8%	0.6%	5.6K	-102.4K	-557	0.04	84.96	125	5	270	15
2007-11-27	$9.75	$0.00	24.7%	7.1%	22.4%	18.3%	0.0%	9.3%	1.6%	7.8K	-193.3K	-885	0.00	81.96	0	0	395	20
2007-11-28	$10.04	$0.00	24.5%	7.0%	25.2%	18.0%	0.0%	4.0%	1.3%	8.2K	-223.5K	-891	0.00	95.33	0	0	395	20
2007-11-29	$10.05	$0.00	24.4%	7.0%	23.1%	17.9%	0.0%	10.7%	1.4%	8.3K	-224.6K	-888	0.00	85.87	0	0	395	20
2007-11-30	$9.98	$0.00	24.9%	7.1%	22.5%	18.4%	0.0%	9.7%	1.2%	8.1K	-219.2K	-884	0.00	89.36	0	0	395	20