IGV Options History — January 2008 In January 2008, IGV traded between $8.99 and $10.13. ATM implied volatility averaged 25.9%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 3.4% (HV 20d: 22.5%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-01-16 : Highest Volume — 100 contracts2008-01-15 : Largest IV spike — 27.8% change2008-01-22 : Highest IV Rank — 29.5%2008-01-22 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $9.46 $8.99 $10.13 $10.13 $9.30 Max Pain $9.00 $9.00 $9.00 $9.00 $9.00 ATM IV 25.9% 18.1% 30.5% 22.6% 29.1% Expected Move 7.6% 6.0% 8.8% 6.5% 8.3% HV 20d 22.5% 19.1% 25.0% 19.2% 24.4% HV 60d 22.0% 20.9% 23.3% 21.1% 22.0% IV Rank 24.4% 15.9% 29.5% 20.9% 27.9% IV Percentile 86.3% 48.4% 98.8% 76.4% 96.4% Term Structure -0.4% -3.6% 3.0% 1.2% -2.2% VWIV 30.5% 30.5% 30.5% 30.5% 30.5% Skew 25d 6.9% 3.4% 11.1% 3.4% 8.2% Skew 10d 8.2% 4.4% 17.3% 5.4% 11.6% Call IV 25d 20.9% 16.1% 24.5% 20.1% 21.5% Put IV 25d 27.8% 23.5% 30.2% 23.5% 29.6% Bid-Ask Spread % 92.67 78.54 104.84 95.67 99.29 Gamma HHI 0.45 0.34 0.65 0.34 0.61 Net GEX 5.9K 3.4K 7.0K 6.7K 7.0K Net DEX -88.4K -188.8K -1.8K -188.8K -73.7K Net VEX -954 -1.0K -881 -1.0K -939 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 15.476 0 100 0 100 Total OI 581.905 540 650 545 640
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 2008-01-02 $10.13 $0.00 22.6% 6.5% 19.2% 20.9% 0.0% 3.4% 1.2% 6.7K -188.8K -1.0K 0.00 95.67 0 0 395 150 2008-01-03 $10.13 $0.00 22.1% 6.3% 19.1% 20.3% 0.0% 8.8% 1.4% 6.7K -184.2K -991 0.00 95.35 0 0 395 150 2008-01-04 $9.82 $0.00 23.0% 6.9% 22.1% 21.3% 0.0% 7.0% 0.4% 6.1K -144.2K -1.0K 0.00 87.01 0 0 395 150 2008-01-07 $9.79 $0.00 22.8% 6.8% 20.9% 21.1% 0.0% 8.3% 1.1% 6.2K -142.7K -1.0K 0.00 78.54 15 0 395 150 2008-01-08 $9.58 $0.00 19.5% 7.0% 21.7% 17.4% 0.0% 7.0% 2.3% 5.8K -108.5K -988 0.00 83.07 5 0 395 150 2008-01-09 $9.58 $0.00 18.1% 6.3% 21.6% 15.9% 0.0% 5.3% 3.0% 6.0K -113.4K -987 0.00 85.16 0 0 400 150 2008-01-10 $9.64 $0.00 21.8% 6.3% 21.5% 20.0% 0.0% 4.8% 0.9% 6.2K -116.9K -979 0.00 88.14 5 0 400 150 2008-01-11 $9.47 $0.00 27.3% 7.8% 21.1% 26.0% 0.0% 5.7% 0.1% 5.8K -84.9K -935 0.00 85.87 10 0 400 150 2008-01-14 $9.58 $0.00 20.9% 6.0% 21.2% 18.9% 0.0% 5.3% 1.0% 5.9K -102.2K -928 0.00 92.18 0 0 390 150 2008-01-15 $9.39 $0.00 26.7% 7.7% 21.8% 25.3% 0.0% 10.6% -0.0% 5.4K -75.4K -888 0.00 98.89 0 0 390 150 2008-01-16 $9.46 $0.00 27.2% 7.8% 22.1% 25.8% 0.0% 5.4% -0.5% 5.6K -86.1K -909 0.00 90.60 0 100 390 150 2008-01-17 $9.25 $0.00 28.5% 8.2% 22.6% 27.3% 0.0% 8.4% -0.6% 4.0K -33.7K -972 0.00 94.91 0 0 390 200 2008-01-18 $9.26 $0.00 27.8% 8.0% 22.5% 26.5% 0.0% 7.4% -0.3% 4.1K -33.7K -970 0.00 97.27 0 0 390 200 2008-01-22 $8.99 $0.00 30.5% 8.8% 24.1% 29.5% 30.5% 4.2% -2.8% 3.4K -1.8K -881 0.00 92.74 60 0 390 200 2008-01-23 $9.08 $9.00 30.4% 8.7% 23.5% 29.3% 0.0% 5.2% -3.1% 6.3K -37.5K -953 0.00 95.07 15 0 450 200 2008-01-24 $9.33 $9.00 29.3% 8.4% 25.0% 28.2% 0.0% 11.1% -1.2% 6.3K -70.6K -943 0.00 91.83 0 0 435 200 2008-01-25 $9.21 $9.00 29.2% 8.4% 24.5% 28.1% 0.0% 7.4% -3.6% 6.7K -59.7K -957 0.00 95.71 0 0 435 200 2008-01-28 $9.22 $9.00 28.9% 8.3% 24.4% 27.7% 0.0% 7.5% -1.5% 6.7K -62.6K -937 0.00 94.99 5 0 435 200 2008-01-29 $9.25 $9.00 29.5% 8.5% 24.6% 28.4% 0.0% 7.2% -2.2% 6.6K -63.1K -917 0.00 98.98 0 0 430 200 2008-01-30 $9.30 $9.00 27.8% 8.0% 24.9% 26.5% 0.0% 5.7% -1.2% 6.8K -72.0K -923 0.00 104.84 10 0 430 200 2008-01-31 $9.30 $9.00 29.1% 8.3% 24.4% 27.9% 0.0% 8.2% -2.2% 7.0K -73.7K -939 0.00 99.29 0 100 440 200
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