IGV Options History — June 2008 In June 2008, IGV traded between $9.44 and $10.35. ATM implied volatility averaged 22.4%, placing in the 20.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.7% (HV 20d: 19.7%). Max pain ranged from $9.00 to $10.00. 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 2008-06-13 : Highest Volume — 25 contracts2008-06-20 : Largest IV spike — 65.7% change2008-06-20 : Highest IV Rank — 37.0%2008-06-30 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $9.95 $9.44 $10.35 $10.18 $9.44 Max Pain $9.52 $9.00 $10.00 $9.00 $10.00 ATM IV 22.4% 15.4% 37.4% 20.5% 26.8% Expected Move 6.3% 4.4% 7.7% 5.9% 7.7% HV 20d 19.7% 14.2% 23.2% 16.2% 22.8% HV 60d 20.8% 19.8% 21.6% 21.3% 20.8% IV Rank 20.6% 12.9% 37.0% 18.5% 25.4% IV Percentile 48.9% 8.7% 99.2% 39.7% 88.1% Term Structure 2.0% -0.0% 8.6% 1.8% 1.8% VWIV 24.0% 21.2% 26.7% 21.2% 26.7% Skew 25d 6.2% 0.6% 12.0% 3.7% 8.3% Skew 10d 7.4% -0.7% 19.1% 6.8% 14.9% Call IV 25d 19.9% 15.2% 28.4% 18.0% 19.5% Put IV 25d 26.1% 17.1% 36.8% 21.7% 27.8% Bid-Ask Spread % 90.55 66.49 117.00 102.92 72.83 Gamma HHI 0.88 0.51 0.99 0.66 0.97 Net GEX 3.2K 1.2K 4.3K 3.0K 3.1K Net DEX -173.1K -250.8K -35.2K -234.4K -35.2K Net VEX -273 -300 -238 -283 -238 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 2.619 0 25 0 5 Total OI 615.952 160 815 790 160
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 2008-06-02 $10.18 $9.00 20.5% 5.9% 16.2% 18.5% 0.0% 3.7% 1.8% 3.0K -234.4K -283 0.00 102.92 0 0 285 505 2008-06-03 $10.19 $9.00 21.4% 6.1% 16.0% 19.4% 0.0% 7.8% 1.4% 4.1K -236.7K -262 0.00 99.48 15 0 285 505 2008-06-04 $10.24 $9.00 20.4% 5.8% 15.7% 18.4% 0.0% 2.4% 2.7% 3.5K -240.9K -270 0.00 108.86 0 0 285 505 2008-06-05 $10.35 $9.00 15.4% 4.4% 14.2% 12.9% 0.0% 0.6% 8.6% 4.0K -250.8K -250 0.00 109.86 0 0 285 505 2008-06-06 $10.08 $9.00 22.6% 6.5% 17.5% 20.8% 0.0% 2.4% 0.9% 2.7K -225.6K -285 0.00 106.83 0 0 285 505 2008-06-09 $10.09 $9.00 23.4% 6.7% 17.5% 21.7% 0.0% 2.5% -0.0% 3.2K -230.0K -259 0.00 104.48 0 0 285 505 2008-06-10 $9.99 $9.00 22.4% 6.4% 17.4% 20.5% 0.0% 12.0% 0.7% 4.3K -223.1K -253 0.00 103.48 0 0 285 505 2008-06-11 $9.77 $9.00 21.1% 6.0% 18.8% 19.2% 21.2% 5.4% 1.6% 1.2K -199.8K -277 0.00 117.00 10 0 285 505 2008-06-12 $9.84 $9.00 22.4% 6.4% 19.0% 20.6% 0.0% 2.1% 0.4% 2.1K -209.1K -271 0.00 105.38 0 0 285 505 2008-06-13 $10.03 $9.00 20.7% 5.9% 20.0% 18.7% 0.0% 0.8% 1.8% 3.9K -227.2K -256 0.00 114.71 0 25 285 505 2008-06-16 $10.08 $10.00 21.3% 6.5% 20.1% 19.4% 0.0% 6.9% 0.0% 3.2K -220.8K -300 0.00 73.64 0 0 285 530 2008-06-17 $10.05 $10.00 21.5% 6.5% 20.1% 19.6% 0.0% 6.9% 0.0% 3.3K -215.9K -299 0.00 77.26 0 0 285 530 2008-06-18 $9.95 $10.00 18.5% 6.5% 20.2% 16.3% 0.0% 7.6% 0.0% 3.3K -207.8K -296 0.00 75.31 0 0 285 530 2008-06-19 $10.13 $10.00 22.5% 6.5% 21.1% 20.7% 0.0% 6.7% 0.0% 3.3K -225.8K -291 0.00 66.49 0 0 285 530 2008-06-20 $9.86 $10.00 37.4% 6.5% 23.2% 37.0% 0.0% 11.0% 0.0% 3.2K -200.2K -289 0.00 82.03 0 0 285 530 2008-06-23 $9.80 $10.00 22.5% 6.5% 23.1% 20.7% 0.0% 10.9% 0.0% 3.3K -55.5K -282 0.00 76.79 0 0 135 25 2008-06-24 $9.76 $10.00 22.7% 6.5% 21.6% 20.9% 0.0% 10.4% 0.0% 3.3K -52.6K -274 0.00 78.63 0 0 135 25 2008-06-25 $9.89 $10.00 22.4% 6.4% 22.2% 20.6% 0.0% 7.0% 0.0% 3.5K -61.2K -279 0.00 71.49 0 0 135 25 2008-06-26 $9.62 $10.00 22.6% 6.5% 23.2% 20.9% 0.0% 7.3% 0.0% 3.2K -44.0K -262 0.00 78.32 0 0 135 25 2008-06-27 $9.53 $10.00 22.1% 6.3% 23.1% 20.2% 0.0% 8.2% 0.0% 3.2K -38.9K -252 0.00 75.77 0 0 135 25 2008-06-30 $9.44 $10.00 26.8% 7.7% 22.8% 25.4% 26.7% 8.3% 0.0% 3.1K -35.2K -238 0.00 72.83 5 0 135 25
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