IGV Options History — December 2007 In December 2007, IGV traded between $9.95 and $10.54. ATM implied volatility averaged 20.4%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 0.5% (HV 20d: 20.9%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 18 of 19 days.
Notable Days 2007-12-05 : Highest Volume — 950 contracts2007-12-20 : Largest IV spike — 470.4% change2007-12-31 : Highest IV Rank — 20.0%2007-12-03 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $10.23 $9.95 $10.54 $9.95 $10.32 Max Pain $10.86 $10.00 $11.00 $11.00 $10.00 ATM IV 20.4% 3.6% 24.2% 24.2% 21.9% Expected Move 5.8% 1.0% 6.9% 6.9% 6.3% HV 20d 20.9% 17.8% 23.3% 21.9% 18.1% HV 60d 20.1% 19.6% 20.7% 19.7% 20.7% IV Rank 15.2% 0.0% 20.0% 17.7% 20.0% IV Percentile 64.2% 0.0% 82.3% 82.3% 73.1% Term Structure 2.5% 1.0% 8.7% 1.5% 2.0% VWIV 15.3% 13.3% 17.2% 13.3% 17.2% Skew 25d 5.8% -0.3% 9.9% 9.9% 2.9% Skew 10d 5.7% 0.9% 13.5% 13.5% 8.9% Call IV 25d 15.1% 11.9% 18.9% 17.3% 18.9% Put IV 25d 20.9% 14.6% 27.2% 27.2% 21.8% Bid-Ask Spread % 103.87 87.15 200.00 87.15 106.15 Gamma HHI 0.42 0.34 1.00 0.34 0.36 Net GEX 4.1K -3.6K 8.9K 8.3K 6.8K Net DEX -143.8K -258.0K 44.3K -216.9K -218.4K Net VEX -1.0K -1.3K -362 -864 -996 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 93.684 0 950 0 0 Total OI 574.211 180 795 415 545
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 2007-12-03 $9.95 $0.00 24.2% 6.9% 21.9% 17.7% 0.0% 9.9% 1.5% 8.3K -216.9K -864 0.00 87.15 0 0 395 20 2007-12-04 $9.98 $0.00 23.9% 6.9% 22.0% 17.3% 0.0% 3.0% 1.6% 8.4K -218.9K -861 0.00 93.62 0 0 395 20 2007-12-05 $10.17 $0.00 23.3% 6.7% 23.3% 16.6% 0.0% 7.3% 1.4% 8.9K -240.3K -840 0.00 89.80 0 950 395 20 2007-12-06 $10.25 $0.00 22.0% 6.3% 22.5% 15.1% 0.0% 7.5% 2.0% 8.2K -237.0K -941 0.00 94.97 0 0 395 70 2007-12-07 $10.27 $0.00 21.4% 6.1% 21.4% 14.3% 13.3% 7.4% 2.4% 8.4K -241.8K -922 0.00 99.49 0 300 395 70 2007-12-10 $10.36 $11.00 22.2% 6.4% 19.9% 15.3% 0.0% 9.0% 1.9% -3.6K -28.2K -1.3K 0.00 100.14 0 30 395 370 2007-12-11 $10.14 $11.00 22.9% 6.6% 21.6% 16.1% 0.0% 6.3% 1.4% -2.0K 20.8K -1.3K 0.00 98.54 0 0 395 400 2007-12-12 $10.25 $11.00 22.9% 6.6% 21.5% 16.1% 0.0% 7.6% 1.4% -3.0K 5.5K -1.3K 0.00 93.13 0 0 395 400 2007-12-13 $10.29 $11.00 22.9% 6.6% 21.2% 16.1% 0.0% 7.9% 1.8% -3.4K -843 -1.3K 0.00 96.68 0 0 395 400 2007-12-14 $10.21 $11.00 23.0% 6.6% 20.9% 16.2% 0.0% 6.8% 1.9% -2.5K 15.9K -1.3K 0.00 94.43 0 0 395 400 2007-12-17 $10.03 $11.00 23.5% 6.8% 21.4% 16.9% 17.2% 3.9% 1.0% -560 44.3K -1.3K 0.00 96.34 0 500 395 400 2007-12-18 $10.07 $0.00 22.6% 6.5% 20.8% 15.8% 0.0% 4.2% 2.0% 6.3K -179.4K -1.1K 0.00 93.55 0 0 395 150 2007-12-19 $10.10 $10.00 3.6% 1.0% 20.7% 0.0% 0.0% 0.0% 0.0% 2.4K -59.9K -362 0.00 200.00 0 0 135 45 2007-12-20 $10.26 $0.00 20.6% 5.9% 20.5% 18.6% 0.0% 6.1% 2.8% 6.7K -215.6K -1.1K 0.00 101.36 0 0 395 150 2007-12-21 $10.45 $0.00 17.0% 4.9% 21.2% 14.7% 0.0% 7.0% 8.7% 6.9K -240.5K -1.0K 0.00 105.78 0 0 395 150 2007-12-26 $10.54 $0.00 13.0% 3.7% 19.5% 10.3% 0.0% 3.0% 3.9% 6.9K -258.0K -959 0.00 111.44 0 0 395 150 2007-12-27 $10.39 $0.00 16.8% 4.8% 20.3% 14.4% 0.0% -0.3% 3.3% 7.0K -231.0K -994 0.00 106.64 0 0 395 150 2007-12-28 $10.38 $0.00 19.8% 5.7% 17.8% 17.8% 0.0% 4.4% 3.2% 7.0K -232.2K -987 0.00 104.36 0 0 395 150 2007-12-31 $10.32 $0.00 21.9% 6.3% 18.1% 20.0% 0.0% 2.9% 2.0% 6.8K -218.4K -996 0.00 106.15 0 0 395 150
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