IGV Options History — July 2008 In July 2008, IGV traded between $9.10 and $9.73. ATM implied volatility averaged 25.0%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.6% (HV 20d: 24.4%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Put/call ratio averaged 0.00.
Notable Days 2008-07-01 : Highest Volume — 55 contracts2008-07-31 : Largest IV drop — 41.3% change2008-07-15 : Highest IV Rank — 27.3%2008-07-15 : Largest Expected Move — 8.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.42 $9.10 $9.73 $9.52 $9.50 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 25.0% 15.9% 28.5% 21.8% 15.9% Expected Move 7.2% 4.6% 8.2% 6.3% 4.6% HV 20d 24.4% 21.7% 26.5% 23.1% 25.2% HV 60d 21.5% 20.5% 22.6% 20.8% 22.1% IV Rank 23.4% 13.5% 27.3% 20.0% 13.5% IV Percentile 69.3% 6.0% 92.9% 43.3% 6.0% VWIV 23.3% 21.7% 26.2% 22.0% 26.2% Skew 25d 7.2% 3.9% 13.2% 8.2% 9.1% Skew 10d 8.2% 3.8% 14.8% 14.8% 6.0% Call IV 25d 20.1% 16.2% 23.1% 18.9% 16.5% Put IV 25d 27.3% 23.9% 30.6% 27.1% 25.7% Bid-Ask Spread % 86.69 76.21 97.44 76.21 96.18 Gamma HHI 0.93 0.88 1.00 0.90 1.00 Net GEX 4.9K 3.4K 6.3K 3.4K 5.5K Net DEX -43.3K -66.9K -26.0K -41.4K -39.0K Net VEX -259 -309 -214 -254 -229 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 2.955 0 55 55 0 Total OI 208.409 165 215 165 215
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 2008-07-01 $9.52 $10.00 21.8% 6.3% 23.1% 20.0% 22.0% 8.2% 0.0% 3.4K -41.4K -254 0.00 76.21 55 0 140 25 2008-07-02 $9.32 $10.00 27.4% 7.9% 23.7% 26.1% 0.0% 7.6% 0.0% 4.3K -42.2K -291 0.00 77.68 0 0 185 25 2008-07-03 $9.27 $10.00 26.7% 7.7% 22.9% 25.3% 0.0% 7.1% 0.0% 4.3K -37.9K -272 0.00 79.14 0 0 185 25 2008-07-07 $9.28 $10.00 26.8% 7.7% 21.7% 25.4% 0.0% 7.4% 0.0% 4.4K -36.9K -269 0.00 77.21 0 0 185 25 2008-07-08 $9.42 $10.00 25.9% 7.4% 22.6% 24.4% 0.0% 3.9% 0.0% 4.9K -43.3K -281 0.00 85.99 0 0 185 25 2008-07-09 $9.16 $10.00 26.7% 7.6% 24.2% 25.3% 0.0% 7.2% 0.0% 3.9K -28.1K -224 0.00 78.02 0 0 185 25 2008-07-10 $9.28 $10.00 27.0% 7.7% 24.0% 25.6% 0.0% 6.2% 0.0% 4.4K -36.4K -262 0.00 83.73 0 0 185 25 2008-07-11 $9.23 $10.00 27.6% 7.9% 23.8% 26.3% 0.0% 7.1% 0.0% 4.1K -32.3K -238 0.00 92.58 0 0 185 25 2008-07-14 $9.10 $10.00 28.1% 8.1% 22.5% 26.8% 0.0% 13.2% 0.0% 3.7K -26.0K -214 0.00 90.71 0 0 185 25 2008-07-15 $9.22 $10.00 28.5% 8.2% 23.2% 27.3% 0.0% 6.9% 0.0% 4.2K -31.9K -232 0.00 89.41 0 0 185 25 2008-07-16 $9.47 $10.00 27.9% 8.0% 25.7% 26.6% 0.0% 4.9% 0.0% 5.0K -48.4K -281 0.00 88.46 0 0 185 25 2008-07-17 $9.63 $10.00 23.0% 6.6% 26.5% 21.2% 0.0% 8.3% 0.0% 5.6K -63.3K -309 0.00 83.37 0 0 185 25 2008-07-18 $9.66 $10.00 22.9% 6.6% 25.6% 21.1% 0.0% 9.1% 0.0% 5.6K -65.8K -305 0.00 81.09 0 0 185 25 2008-07-21 $9.55 $10.00 21.4% 6.1% 24.2% 19.5% 21.7% 6.6% 0.0% 5.6K -52.1K -270 0.00 89.76 0 5 185 25 2008-07-22 $9.62 $10.00 21.3% 6.1% 24.3% 19.4% 0.0% 6.7% 0.0% 5.9K -55.3K -277 0.00 87.31 0 0 185 25 2008-07-23 $9.73 $10.00 21.7% 6.2% 24.6% 19.8% 0.0% 8.0% 0.0% 6.3K -66.9K -290 0.00 85.57 0 0 185 25 2008-07-24 $9.45 $10.00 27.8% 8.0% 26.1% 26.5% 0.0% 4.6% 0.0% 5.2K -43.4K -246 0.00 95.42 0 0 185 25 2008-07-25 $9.46 $10.00 26.8% 7.7% 24.3% 25.4% 0.0% 4.3% 0.0% 5.3K -41.7K -242 0.00 90.69 0 0 185 25 2008-07-28 $9.29 $10.00 25.7% 7.4% 24.9% 24.2% 0.0% 8.7% 0.0% 4.8K -32.1K -215 0.00 97.44 0 0 185 25 2008-07-29 $9.52 $10.00 21.6% 6.2% 26.5% 19.8% 26.2% 0.0% 0.0% 5.7K -45.9K -247 0.00 90.59 0 5 185 25 2008-07-30 $9.49 $10.00 27.1% 7.8% 26.3% 25.8% 0.0% 5.6% 0.0% 5.5K -42.8K -241 0.00 90.68 0 0 185 30 2008-07-31 $9.50 $10.00 15.9% 4.6% 25.2% 13.5% 0.0% 9.1% 0.0% 5.5K -39.0K -229 0.00 96.18 0 0 185 30
« Jun 2008 | All History | Aug 2008 » Home IGV History July 2008