IGV Options History — April 2008

In April 2008, IGV traded between $8.98 and $9.63. ATM implied volatility averaged 22.8%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 0.9% (HV 20d: 23.6%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 50.00.

Notable Days

2008-04-16: Highest Volume — 505 contracts
2008-04-30: Largest IV spike — 30.1% change
2008-04-02: Highest IV Rank — 24.3%
2008-04-02: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.32	$8.98	$9.63	$9.29	$9.43
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	22.8%	14.3%	25.8%	25.2%	23.0%
Expected Move	6.5%	4.1%	7.4%	7.2%	6.6%
HV 20d	23.6%	18.2%	26.6%	25.7%	18.8%
HV 60d	22.5%	21.5%	24.1%	24.1%	21.6%
IV Rank	21.0%	11.7%	24.3%	23.7%	21.2%
IV Percentile	60.2%	11.5%	83.7%	80.6%	56.7%
Term Structure	0.6%	-1.2%	2.8%	0.2%	0.4%
VWIV	23.6%	22.5%	25.1%	25.1%	22.5%
Skew 25d	7.4%	4.9%	11.6%	8.5%	5.1%
Skew 10d	9.5%	3.6%	16.3%	13.3%	4.1%
Call IV 25d	17.5%	13.5%	20.3%	18.5%	17.4%
Put IV 25d	24.9%	21.5%	28.3%	27.1%	22.5%
Bid-Ask Spread %	79.03	29.91	100.05	83.44	93.13
Gamma HHI	0.63	0.47	0.83	0.47	0.82
Net GEX	-3.9K	-13.3K	3.2K	2.8K	-13.3K
Net DEX	-18.1K	-65.5K	82.4K	-62.7K	34.1K
Net VEX	-942	-1.3K	-666	-769	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	50.00	0.00	100.00	100.00	0.00
Total Volume	46.364	0	505	0	0
Total OI	644.545	440	890	440	890

Daily Data (22 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
2008-04-01	$9.29	$9.00	25.2%	7.2%	25.7%	23.7%	0.0%	8.5%	0.2%	2.8K	-62.7K	-769	0.00	83.44	0	0	285	155
2008-04-02	$9.28	$9.00	25.8%	7.4%	25.7%	24.3%	0.0%	8.0%	-0.0%	2.7K	-65.5K	-772	0.00	74.58	0	0	285	155
2008-04-03	$9.27	$9.00	25.5%	7.3%	25.7%	24.0%	0.0%	8.4%	-0.1%	2.8K	-63.3K	-763	0.00	79.65	0	0	285	155
2008-04-04	$9.29	$9.00	25.1%	7.2%	25.4%	23.6%	0.0%	7.9%	0.2%	2.9K	-65.1K	-754	0.00	80.54	0	0	285	155
2008-04-07	$9.26	$9.00	25.0%	7.2%	25.4%	23.4%	0.0%	7.7%	0.3%	2.9K	-57.8K	-743	0.00	29.91	0	0	285	155
2008-04-08	$9.25	$9.00	25.0%	7.2%	25.1%	23.4%	0.0%	7.9%	-0.1%	2.9K	-55.4K	-732	0.00	31.31	0	0	285	155
2008-04-09	$9.15	$9.00	25.0%	7.2%	24.3%	23.4%	0.0%	7.6%	0.5%	3.0K	-39.5K	-712	0.00	68.61	0	0	285	155
2008-04-10	$9.26	$9.00	24.6%	7.0%	24.5%	22.9%	0.0%	7.2%	0.4%	3.0K	-59.7K	-728	0.00	70.41	0	0	285	155
2008-04-11	$9.00	$9.00	24.9%	7.1%	26.6%	23.4%	0.0%	11.5%	-0.0%	3.0K	-24.7K	-686	0.00	83.72	0	0	285	155
2008-04-14	$8.98	$9.00	24.6%	7.0%	25.7%	23.0%	0.0%	11.6%	-0.1%	3.1K	-19.3K	-666	0.00	77.41	0	0	285	155
2008-04-15	$9.03	$9.00	23.9%	6.9%	24.7%	22.3%	0.0%	10.3%	0.6%	3.2K	-28.6K	-666	0.00	87.72	0	0	285	155
2008-04-16	$9.25	$9.00	25.1%	7.2%	24.1%	23.5%	25.1%	7.3%	-1.2%	3.1K	-54.4K	-700	100.00	88.89	5	500	285	155
2008-04-17	$9.29	$9.00	23.9%	6.9%	23.8%	22.3%	0.0%	8.4%	0.3%	-12.1K	82.4K	-1.3K	0.00	92.55	0	0	285	605
2008-04-18	$9.45	$9.00	23.2%	6.7%	23.8%	21.5%	0.0%	6.2%	0.2%	-11.9K	28.5K	-1.3K	0.00	89.97	0	0	285	605
2008-04-21	$9.46	$9.00	23.1%	6.6%	22.6%	21.3%	0.0%	5.6%	0.7%	-12.2K	31.6K	-1.2K	0.00	88.96	0	0	285	605
2008-04-22	$9.37	$9.00	23.1%	6.6%	22.8%	21.3%	0.0%	4.9%	0.7%	-12.4K	55.3K	-1.3K	0.00	90.21	0	0	285	605
2008-04-23	$9.52	$9.00	18.0%	5.2%	21.8%	15.8%	0.0%	6.3%	2.2%	-11.5K	4.4K	-1.2K	0.00	68.64	0	0	285	605
2008-04-24	$9.63	$9.00	17.9%	5.1%	21.5%	15.7%	23.1%	6.5%	1.9%	-10.8K	-23.0K	-1.1K	0.00	69.00	15	0	285	605
2008-04-25	$9.55	$9.00	14.3%	4.1%	21.7%	11.7%	22.5%	5.4%	2.8%	-12.0K	-12.8K	-1.2K	0.00	98.54	0	500	285	605
2008-04-28	$9.52	$9.00	16.6%	4.8%	21.8%	14.3%	0.0%	5.3%	2.7%	-12.3K	4.5K	-1.1K	0.00	100.05	0	0	285	605
2008-04-29	$9.55	$9.00	17.6%	5.1%	18.2%	15.4%	0.0%	5.3%	1.7%	-11.7K	-6.8K	-1.1K	0.00	91.49	0	0	285	605
2008-04-30	$9.43	$9.00	23.0%	6.6%	18.8%	21.2%	0.0%	5.1%	0.4%	-13.3K	34.1K	-1.2K	0.00	93.13	0	0	285	605