IGV Options History — May 2008 In May 2008, IGV traded between $9.64 and $10.35. ATM implied volatility averaged 18.6%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded below realized volatility by 1.2% (HV 20d: 19.8%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2008-05-09 : Highest Volume — 50 contracts2008-05-30 : Largest IV drop — 20.6% change2008-05-29 : Highest IV Rank — 18.6%2008-05-29 : Largest Expected Move — 5.9%Monthly Statistics Metric Avg Min Max Open Close Price $9.95 $9.64 $10.35 $9.76 $10.35 Max Pain $9.00 $9.00 $9.00 $9.00 $9.00 ATM IV 18.6% 15.4% 20.6% 18.1% 16.4% Expected Move 5.3% 4.4% 5.9% 5.2% 4.7% HV 20d 19.8% 14.8% 23.2% 22.2% 14.8% HV 60d 21.4% 20.9% 22.0% 21.9% 21.0% IV Rank 16.4% 13.0% 18.6% 15.9% 14.0% IV Percentile 31.5% 13.5% 40.9% 29.8% 14.7% Term Structure 2.2% 1.4% 3.4% 1.4% 3.4% VWIV 18.0% 16.9% 19.1% 16.9% 19.1% Skew 25d 1.5% -1.2% 9.5% -0.4% -0.9% Skew 10d 3.7% 1.0% 12.8% 3.5% 5.5% Call IV 25d 16.2% 11.2% 18.0% 17.1% 15.2% Put IV 25d 17.8% 14.3% 20.9% 16.6% 14.3% Bid-Ask Spread % 98.52 88.96 108.81 100.57 107.31 Gamma HHI 0.65 0.50 0.85 0.81 0.82 Net GEX -3.6K -11.6K 3.6K -9.9K 3.6K Net DEX -163.3K -248.6K -60.5K -70.5K -248.6K Net VEX -587 -983 -269 -983 -269 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 5 0 50 5 0 Total OI 825.714 790 890 890 790
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 2008-05-01 $9.76 $9.00 18.1% 5.2% 22.2% 15.9% 0.0% -0.4% 1.4% -9.9K -70.5K -983 0.00 100.57 5 0 285 605 2008-05-02 $9.76 $9.00 17.6% 5.0% 22.3% 15.3% 0.0% -0.7% 1.7% -10.0K -73.6K -972 0.00 99.48 0 0 285 605 2008-05-05 $9.70 $9.00 17.3% 4.9% 22.4% 15.0% 0.0% -1.2% 2.4% -10.8K -60.5K -939 0.00 101.25 0 0 285 605 2008-05-06 $9.81 $9.00 18.0% 5.2% 22.5% 15.8% 0.0% -0.2% 2.0% -9.4K -99.9K -841 0.00 98.89 0 0 285 605 2008-05-07 $9.64 $9.00 15.4% 4.4% 23.2% 13.0% 0.0% -1.2% 2.7% -11.6K -61.0K -896 0.00 108.81 0 0 285 605 2008-05-08 $9.72 $9.00 17.8% 5.1% 23.1% 15.6% 0.0% -1.0% 2.2% -10.4K -91.5K -812 0.00 99.69 0 0 285 605 2008-05-09 $9.77 $9.00 19.0% 5.5% 20.1% 16.9% 16.9% -0.1% 1.6% -9.6K -102.5K -810 0.00 99.85 0 50 285 605 2008-05-12 $9.89 $9.00 19.1% 5.5% 20.2% 17.0% 19.1% 1.0% 1.5% -6.2K -146.2K -667 0.00 98.58 0 50 285 555 2008-05-13 $9.99 $9.00 18.8% 5.4% 20.3% 16.6% 0.0% 2.1% 1.8% -1.8K -188.1K -531 0.00 96.08 0 0 285 505 2008-05-14 $10.01 $9.00 18.8% 5.4% 19.0% 16.7% 0.0% 2.3% 1.9% -1.3K -193.3K -494 0.00 97.51 0 0 285 505 2008-05-15 $10.10 $9.00 18.8% 5.4% 19.1% 16.6% 0.0% 4.0% 1.7% -122 -209.5K -452 0.00 92.82 0 0 285 505 2008-05-16 $10.09 $9.00 18.0% 5.2% 18.4% 15.8% 0.0% 3.4% 2.8% 241 -210.9K -429 0.00 97.72 0 0 285 505 2008-05-19 $10.03 $9.00 18.8% 5.4% 18.7% 16.7% 0.0% 2.5% 2.3% -165 -205.5K -440 0.00 96.09 0 0 285 505 2008-05-20 $9.96 $9.00 19.0% 5.5% 18.6% 16.9% 0.0% 1.7% 2.5% -1.3K -193.9K -467 0.00 94.07 0 0 285 505 2008-05-21 $9.92 $9.00 19.9% 5.7% 18.2% 17.8% 0.0% 0.9% 2.3% -2.1K -185.5K -493 0.00 96.01 0 0 285 505 2008-05-22 $9.99 $9.00 19.2% 5.5% 17.9% 17.1% 0.0% 2.2% 2.9% -461 -203.0K -427 0.00 97.18 0 0 285 505 2008-05-23 $9.91 $9.00 19.8% 5.7% 17.9% 17.8% 0.0% 0.9% 2.8% -1.7K -189.8K -451 0.00 98.03 0 0 285 505 2008-05-27 $10.12 $9.00 20.1% 5.8% 19.1% 18.0% 0.0% 3.4% 2.3% 1.7K -224.7K -334 0.00 101.63 0 0 285 505 2008-05-28 $10.16 $9.00 20.3% 5.8% 19.1% 18.3% 0.0% 4.0% 1.9% 2.0K -228.3K -328 0.00 98.42 0 0 285 505 2008-05-29 $10.31 $9.00 20.6% 5.9% 18.6% 18.6% 0.0% 9.5% 1.7% 2.8K -241.9K -291 0.00 88.96 0 0 285 505 2008-05-30 $10.35 $9.00 16.4% 4.7% 14.8% 14.0% 0.0% -0.9% 3.4% 3.6K -248.6K -269 0.00 107.31 0 0 285 505
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