IGV Options History — March 2008

In March 2008, IGV traded between $8.68 and $9.28. ATM implied volatility averaged 25.1%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 5.1% (HV 20d: 20.0%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2008-03-24: Highest Volume — 115 contracts
2008-03-24: Largest IV spike — 113.6% change
2008-03-17: Highest IV Rank — 41.4%
2008-03-14: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.94	$8.68	$9.28	$8.87	$8.96
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	25.1%	12.1%	41.4%	23.8%	25.8%
Expected Move	7.2%	6.4%	9.9%	6.8%	7.4%
HV 20d	20.0%	16.9%	23.9%	20.0%	22.6%
HV 60d	22.1%	21.3%	23.1%	21.8%	22.8%
IV Rank	23.5%	9.3%	41.4%	22.1%	24.3%
IV Percentile	73.8%	3.6%	99.6%	72.2%	83.7%
Term Structure	0.5%	-6.5%	2.7%	1.2%	0.1%
VWIV	26.0%	20.0%	31.4%	26.9%	20.0%
Skew 25d	7.3%	0.5%	14.6%	0.5%	13.6%
Skew 10d	9.4%	-0.3%	17.1%	0.8%	17.1%
Call IV 25d	22.4%	14.6%	35.9%	23.7%	16.0%
Put IV 25d	29.8%	24.3%	50.6%	24.3%	29.6%
Bid-Ask Spread %	92.68	65.92	132.99	97.10	77.01
Gamma HHI	0.68	0.46	0.90	0.82	0.46
Net GEX	4.4K	-71	19.6K	3.5K	2.7K
Net DEX	-2.5K	-58.5K	29.4K	28.0K	-23.7K
Net VEX	-600	-804	-510	-581	-726
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	3.00	3.00	0.00
Total Volume	10.75	0	115	0	0
Total OI	512.75	315	570	570	440

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
2008-03-03	$8.87	$9.00	23.8%	6.8%	20.0%	22.1%	0.0%	0.5%	1.2%	3.5K	28.0K	-581	0.00	97.10	0	0	385	185
2008-03-04	$8.86	$9.00	22.5%	6.4%	19.9%	20.7%	26.9%	0.7%	2.1%	3.6K	29.4K	-574	3.00	103.44	10	30	385	185
2008-03-05	$8.93	$9.00	22.7%	6.5%	17.7%	20.9%	0.0%	1.1%	1.5%	3.9K	-539	-577	0.00	102.72	0	0	385	165
2008-03-06	$8.87	$9.00	23.8%	6.8%	17.1%	22.1%	0.0%	3.2%	1.4%	3.6K	8.9K	-564	0.00	113.00	0	0	385	165
2008-03-07	$8.83	$9.00	22.6%	6.5%	17.1%	20.8%	0.0%	1.8%	2.7%	3.6K	15.1K	-556	0.00	108.87	0	0	385	165
2008-03-10	$8.75	$9.00	24.9%	7.1%	17.1%	23.3%	0.0%	6.0%	0.3%	3.1K	24.0K	-524	0.00	116.29	0	0	385	165
2008-03-11	$8.95	$9.00	22.7%	6.5%	18.8%	20.9%	0.0%	1.3%	2.2%	4.4K	1.7K	-548	0.00	100.05	0	0	385	165
2008-03-12	$8.96	$9.00	24.2%	6.9%	18.6%	22.6%	0.0%	1.5%	1.5%	4.3K	624	-552	0.00	105.61	0	0	385	165
2008-03-13	$9.01	$9.00	23.9%	6.9%	17.1%	22.2%	31.4%	1.7%	2.3%	4.6K	-4.4K	-542	0.00	108.84	20	0	385	165
2008-03-14	$8.84	$9.00	34.5%	9.9%	16.9%	33.9%	0.0%	14.6%	-6.5%	3.7K	10.0K	-548	0.00	132.99	0	0	390	165
2008-03-17	$8.68	$9.00	41.4%	7.5%	17.7%	41.4%	0.0%	10.9%	0.2%	3.0K	28.6K	-510	0.00	93.75	0	0	390	165
2008-03-18	$8.94	$9.00	21.1%	7.2%	21.0%	19.1%	0.0%	14.5%	0.3%	7.7K	3.8K	-533	0.00	77.36	0	0	390	165
2008-03-19	$8.86	$9.00	25.6%	7.5%	20.5%	24.1%	0.0%	14.5%	0.2%	6.2K	14.9K	-521	0.00	78.44	0	0	390	165
2008-03-20	$9.01	$9.00	12.1%	7.4%	21.4%	9.3%	25.8%	10.6%	0.2%	19.6K	-11.3K	-532	0.00	75.00	20	0	390	165
2008-03-24	$9.22	$9.00	25.9%	7.4%	22.8%	24.5%	0.0%	8.9%	0.0%	-71	-14.9K	-524	0.00	73.87	115	0	160	155
2008-03-25	$9.28	$9.00	26.1%	7.5%	22.5%	24.6%	20.0%	9.0%	-0.3%	2.5K	-58.5K	-804	0.00	65.92	5	0	275	155
2008-03-26	$9.09	$9.00	26.2%	7.5%	23.8%	24.8%	0.0%	9.7%	0.3%	2.6K	-58.1K	-784	0.00	69.70	0	0	280	155
2008-03-27	$8.99	$9.00	26.2%	7.5%	23.9%	24.7%	0.0%	9.2%	-0.2%	2.7K	-22.9K	-758	0.00	73.43	0	0	280	155
2008-03-28	$8.96	$9.00	25.6%	7.3%	23.9%	24.1%	0.0%	13.3%	0.1%	2.7K	-20.4K	-736	0.00	80.15	15	0	280	155
2008-03-31	$8.96	$9.00	25.8%	7.4%	22.6%	24.3%	0.0%	13.6%	0.1%	2.7K	-23.7K	-726	0.00	77.01	0	0	285	155