IGV Options History — August 2008 In August 2008, IGV traded between $9.47 and $10.24. ATM implied volatility averaged 22.9%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 0.3% (HV 20d: 23.2%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Put/call ratio averaged 0.00.
Notable Days 2008-08-19 : Highest Volume — 50 contracts2008-08-04 : Largest IV spike — 23.5% change2008-08-04 : Highest IV Rank — 25.9%2008-08-04 : Largest Expected Move — 7.8%Monthly Statistics Metric Avg Min Max Open Close Price $9.95 $9.47 $10.24 $9.52 $9.85 Max Pain $9.90 $9.00 $10.00 $10.00 $10.00 ATM IV 22.9% 20.8% 27.3% 22.1% 20.9% Expected Move 6.6% 6.0% 7.8% 6.3% 6.0% HV 20d 23.2% 20.1% 26.8% 25.1% 22.3% HV 60d 23.0% 21.7% 23.7% 21.8% 23.7% IV Rank 21.1% 18.9% 25.9% 20.2% 19.0% IV Percentile 50.1% 31.0% 86.9% 39.7% 32.9% VWIV 23.3% 18.7% 32.8% 21.8% 20.8% Skew 25d 3.0% -0.5% 7.3% 4.9% 0.6% Skew 10d 4.1% -1.0% 10.4% 4.7% 0.1% Call IV 25d 19.6% 16.5% 22.6% 21.2% 22.3% Put IV 25d 22.6% 19.3% 26.7% 26.1% 22.9% Bid-Ask Spread % 99.91 87.54 111.39 87.54 109.38 Gamma HHI 0.99 0.95 1.00 1.00 0.99 Net GEX 7.1K 4.5K 9.1K 5.5K 8.8K Net DEX -80.7K -128.7K -12.4K -42.7K -43.7K Net VEX -274 -333 -231 -231 -314 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 8.571 0 50 10 0 Total OI 263.333 215 365 215 365
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 2008-08-01 $9.52 $10.00 22.1% 6.3% 25.1% 20.2% 21.8% 4.9% 0.0% 5.5K -42.7K -231 0.00 87.54 10 0 185 30 2008-08-04 $9.47 $10.00 27.3% 7.8% 25.2% 25.9% 0.0% 4.1% 0.0% 5.7K -41.3K -236 0.00 93.89 0 0 195 30 2008-08-05 $9.75 $10.00 22.3% 6.4% 26.8% 20.4% 0.0% 5.1% 0.0% 7.2K -70.3K -274 0.00 99.62 0 0 195 30 2008-08-06 $9.96 $10.00 22.3% 6.4% 25.1% 20.5% 0.0% 7.3% 0.0% 7.6K -91.5K -287 0.00 90.62 0 0 195 30 2008-08-07 $9.92 $10.00 23.2% 6.7% 25.0% 21.5% 23.2% 0.9% 0.0% 7.4K -86.5K -280 0.00 100.16 5 0 195 30 2008-08-08 $10.11 $10.00 23.6% 6.8% 25.4% 21.9% 0.0% 4.2% 0.0% 7.6K -112.4K -285 0.00 99.85 0 0 200 30 2008-08-11 $10.22 $10.00 24.4% 7.0% 24.5% 22.8% 32.8% 6.1% 0.0% 7.4K -123.5K -270 0.00 98.42 5 0 200 30 2008-08-12 $10.21 $9.00 24.6% 7.0% 24.4% 23.0% 0.0% 5.6% 0.0% 7.5K -128.7K -266 0.00 108.99 0 0 205 30 2008-08-13 $10.19 $9.00 24.4% 7.0% 23.2% 22.7% 18.7% 5.7% 0.0% 7.6K -128.6K -261 0.00 105.25 0 5 205 30 2008-08-14 $10.24 $10.00 23.9% 6.8% 22.6% 22.2% 0.0% 0.0% 0.0% 7.6K -128.1K -255 0.00 98.37 0 0 205 35 2008-08-15 $10.21 $10.00 23.2% 6.7% 22.7% 21.5% 0.0% 5.7% 0.0% 8.0K -126.2K -258 0.00 97.73 0 0 205 35 2008-08-18 $10.05 $10.00 23.6% 6.8% 23.0% 21.9% 0.0% 3.1% 0.0% 8.6K -107.3K -253 0.00 99.19 0 0 205 35 2008-08-19 $9.93 $10.00 23.4% 6.7% 23.5% 21.7% 23.4% 1.0% 0.0% 8.8K -92.5K -248 0.00 98.24 0 50 205 35 2008-08-20 $9.97 $10.00 22.8% 6.5% 23.3% 21.0% 22.8% 1.8% 0.0% 7.4K -81.9K -279 0.00 96.79 5 0 205 65 2008-08-21 $9.87 $10.00 22.5% 6.4% 20.9% 20.7% 22.5% -0.5% 0.0% 7.2K -60.6K -259 0.00 94.80 0 50 200 65 2008-08-22 $10.02 $10.00 21.3% 6.1% 21.5% 19.4% 0.0% 2.2% 0.0% 4.6K -61.8K -319 0.00 96.81 0 0 200 115 2008-08-25 $9.84 $10.00 22.3% 6.4% 21.5% 20.5% 0.0% -0.3% 0.0% 4.5K -29.1K -294 0.00 102.09 0 0 200 115 2008-08-26 $9.77 $10.00 20.8% 6.0% 20.1% 18.9% 0.0% -0.1% 0.0% 4.7K -12.4K -268 0.00 111.39 0 0 200 115 2008-08-27 $9.88 $10.00 20.8% 6.0% 20.3% 18.9% 20.8% 0.2% 0.0% 5.1K -32.8K -280 0.00 100.26 50 0 200 115 2008-08-28 $10.04 $10.00 20.8% 6.0% 20.9% 18.9% 0.0% 2.0% 0.0% 9.1K -93.7K -333 0.00 108.69 0 0 250 115 2008-08-29 $9.85 $10.00 20.9% 6.0% 22.3% 19.0% 0.0% 0.6% 0.0% 8.8K -43.7K -314 0.00 109.38 0 0 250 115
« Jul 2008 | All History | Sep 2008 » Home IGV History August 2008