IGV Options History — February 2008 In February 2008, IGV traded between $8.92 and $9.50. ATM implied volatility averaged 24.6%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 0.9% (HV 20d: 23.7%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2008-02-13 : Highest Volume — 100 contracts2008-02-05 : Largest IV spike — 44.9% change2008-02-05 : Highest IV Rank — 29.9%2008-02-05 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $9.17 $8.92 $9.50 $9.50 $8.92 Max Pain $9.00 $9.00 $9.00 $9.00 $9.00 ATM IV 24.6% 20.2% 30.9% 20.4% 24.2% Expected Move 7.1% 5.9% 8.1% 5.9% 6.9% HV 20d 23.7% 20.5% 26.1% 26.1% 21.9% HV 60d 22.5% 21.5% 23.1% 22.4% 21.8% IV Rank 22.9% 18.2% 29.9% 18.4% 22.6% IV Percentile 76.1% 57.1% 98.8% 60.3% 75.0% Term Structure 1.2% -0.9% 6.1% 6.1% 1.2% VWIV 16.5% 16.5% 16.5% 16.5% 16.5% Skew 25d 6.7% 0.5% 11.5% 2.3% 0.5% Skew 10d 6.8% 0.9% 19.2% 3.6% 0.9% Call IV 25d 17.8% 13.0% 23.8% 17.6% 23.8% Put IV 25d 24.5% 19.9% 30.5% 19.9% 24.3% Bid-Ask Spread % 94.71 75.15 107.56 107.56 96.96 Gamma HHI 0.62 0.38 0.95 0.38 0.95 Net GEX 6.1K 3.5K 11.7K 5.5K 3.5K Net DEX -30.5K -94.1K 24.7K -94.1K 24.7K Net VEX -821 -1.1K -608 -1.1K -608 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 6 0 100 0 5 Total OI 646.75 565 740 740 565
Daily Data (20 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 2008-02-01 $9.50 $9.00 20.4% 5.9% 26.1% 18.4% 0.0% 2.3% 6.1% 5.5K -94.1K -1.1K 0.00 107.56 0 0 440 300 2008-02-04 $9.42 $9.00 21.3% 7.8% 24.1% 19.4% 0.0% 8.2% -0.9% 5.9K -76.8K -1.0K 0.00 87.25 0 0 440 300 2008-02-05 $9.15 $9.00 30.9% 8.1% 26.0% 29.9% 0.0% 9.3% -0.9% 6.1K -28.4K -1.0K 0.00 91.56 0 0 440 300 2008-02-06 $9.02 $9.00 30.2% 8.1% 25.4% 29.1% 0.0% 11.5% -0.5% 6.2K -3.0K -991 0.00 89.58 0 0 440 300 2008-02-07 $9.00 $9.00 28.2% 7.7% 25.4% 27.0% 16.5% 5.5% 0.2% 6.8K -1.1K -985 0.00 93.52 0 15 440 300 2008-02-08 $9.07 $9.00 26.6% 7.6% 25.5% 25.2% 0.0% 7.4% 0.5% 7.9K -24.8K -969 0.00 98.22 0 0 440 285 2008-02-11 $9.17 $9.00 20.2% 7.7% 25.3% 18.2% 0.0% 8.4% 0.1% 9.6K -48.1K -948 0.00 90.31 0 0 440 285 2008-02-12 $9.22 $9.00 24.0% 7.4% 24.9% 22.4% 0.0% 8.8% 0.7% 8.4K -60.3K -950 0.00 94.64 0 0 440 285 2008-02-13 $9.41 $9.00 30.4% 7.1% 25.1% 29.3% 0.0% 11.5% 1.2% 5.5K -90.5K -950 0.00 94.83 0 100 440 285 2008-02-14 $9.21 $9.00 24.7% 7.1% 26.0% 23.1% 0.0% 7.4% 1.1% 10.0K -70.3K -771 0.00 97.22 0 0 440 185 2008-02-15 $9.16 $9.00 24.4% 7.0% 24.8% 22.8% 0.0% 6.8% 1.2% 11.7K -64.6K -743 0.00 92.95 0 0 440 185 2008-02-19 $9.11 $9.00 24.6% 7.0% 24.8% 23.0% 0.0% 5.3% 1.3% 4.1K -9.3K -705 0.00 97.31 0 0 380 185 2008-02-20 $9.22 $9.00 23.8% 6.8% 22.7% 22.1% 0.0% 6.7% 1.1% 4.4K -20.6K -720 0.00 97.34 0 0 380 185 2008-02-21 $9.14 $9.00 23.5% 6.7% 22.7% 21.8% 0.0% 5.3% 1.6% 4.2K -8.5K -689 0.00 96.91 0 0 380 185 2008-02-22 $9.07 $9.00 23.0% 6.6% 20.5% 21.2% 0.0% 4.1% 1.7% 4.1K -215 -672 0.00 102.02 0 0 380 185 2008-02-25 $9.18 $9.00 23.3% 6.7% 20.5% 21.6% 0.0% 10.8% 1.4% 4.4K -11.2K -669 0.00 75.15 0 0 380 185 2008-02-26 $9.22 $9.00 22.5% 6.5% 20.6% 20.7% 0.0% 5.9% 2.0% 4.5K -16.7K -663 0.00 94.80 0 0 380 185 2008-02-27 $9.16 $9.00 22.3% 6.4% 20.7% 20.5% 0.0% 4.5% 1.8% 4.3K -6.5K -637 0.00 97.41 0 0 380 185 2008-02-28 $9.11 $9.00 22.4% 6.4% 20.7% 20.6% 0.0% 3.7% 2.1% 4.2K 822 -632 0.00 98.56 0 0 380 185 2008-02-29 $8.92 $9.00 24.2% 6.9% 21.9% 22.6% 0.0% 0.5% 1.2% 3.5K 24.7K -608 0.00 96.96 5 0 380 185
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