IGV Options History — September 2008 In September 2008, IGV traded between $8.66 and $9.83. ATM implied volatility averaged 35.0%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 11.4% (HV 20d: 23.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 14 of 14 trading days. Put/call ratio averaged 0.00.
Notable Days 2008-09-19 : Highest Volume — 85 contracts2008-09-19 : Largest IV spike — 76.1% change2008-09-19 : Highest IV Rank — 89.6%2008-09-19 : Largest Expected Move — 24.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.30 $8.66 $9.83 $9.83 $9.30 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 35.0% 20.9% 85.4% 22.9% 85.4% Expected Move 10.0% 6.0% 24.5% 6.6% 24.5% HV 20d 23.6% 19.9% 34.7% 22.2% 34.7% HV 60d 24.2% 23.1% 27.6% 23.1% 27.6% IV Rank 34.4% 18.9% 89.6% 21.1% 89.6% IV Percentile 72.3% 31.7% 99.6% 52.4% 99.6% VWIV 33.4% 20.3% 57.1% 22.9% 57.1% Skew 25d 0.1% -4.0% 6.9% -0.2% 6.9% Skew 10d 6.2% -2.5% 24.7% -0.4% 24.7% Call IV 25d 24.3% 20.5% 29.7% 23.1% 29.7% Put IV 25d 24.3% 21.0% 36.6% 22.9% 36.6% Bid-Ask Spread % 118.17 100.82 152.06 100.82 152.06 Gamma HHI 0.93 0.55 1.00 0.99 1.00 Net GEX 3.3K 98 11.9K 8.9K 119 Net DEX 56.2K -42.3K 81.0K -42.3K 79.1K Net VEX -75 -280 0 -279 0 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 13.571 0 85 50 85 Total OI 375.357 360 415 365 360
Daily Data (14 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 2008-09-02 $9.83 $10.00 22.9% 6.6% 22.2% 21.1% 22.9% -0.2% 0.0% 8.9K -42.3K -279 0.00 100.82 50 0 250 115 2008-09-03 $9.73 $10.00 22.0% 6.3% 19.9% 20.2% 0.0% -1.2% 0.0% 11.9K -22.3K -280 0.00 101.72 0 0 300 115 2008-09-04 $9.43 $10.00 21.1% 6.1% 21.3% 19.2% 20.3% 0.5% 0.0% 5.7K 54.5K -116 0.00 112.18 50 0 300 115 2008-09-05 $9.39 $10.00 20.9% 6.0% 21.3% 18.9% 0.0% 0.1% 0.0% 4.5K 62.6K -84 0.00 112.17 0 0 300 115 2008-09-08 $9.46 $10.00 21.6% 6.2% 20.0% 19.7% 0.0% 0.7% 0.0% 3.2K 68.3K -55 0.00 108.39 0 0 250 115 2008-09-09 $9.25 $10.00 24.8% 7.1% 20.4% 23.2% 0.0% -4.0% 0.0% 1.5K 74.3K -33 0.00 117.59 0 0 250 115 2008-09-10 $9.34 $10.00 23.7% 6.8% 21.0% 22.0% 0.0% -2.5% 0.0% 1.9K 73.4K -36 0.00 112.96 0 0 250 115 2008-09-11 $9.44 $10.00 27.0% 7.7% 21.6% 25.6% 0.0% 0.2% 0.0% 3.4K 65.2K -56 0.00 113.24 0 0 250 115 2008-09-12 $9.41 $10.00 37.5% 10.7% 21.4% 37.1% 0.0% 6.9% 0.0% 4.1K 54.7K -81 0.00 125.32 0 0 250 115 2008-09-15 $9.07 $10.00 40.7% 11.7% 24.2% 40.7% 0.0% 0.0% 0.0% 816 77.4K -16 0.00 121.34 0 0 250 115 2008-09-16 $9.06 $10.00 39.2% 11.2% 23.9% 39.0% 0.0% 0.0% 0.0% 330 79.8K -7 0.00 117.80 0 0 250 115 2008-09-17 $8.66 $10.00 54.6% 15.6% 27.7% 55.8% 57.1% 0.0% 0.0% 162 80.7K -3 0.00 126.45 0 5 250 115 2008-09-18 $8.90 $10.00 48.5% 13.9% 30.1% 49.2% 0.0% 0.0% 0.0% 98 81.0K -3 0.00 132.32 0 0 250 115 2008-09-19 $9.30 $10.00 85.4% 24.5% 34.7% 89.6% 0.0% 0.0% 0.0% 119 79.1K 0 0.00 152.06 85 0 250 110
« Aug 2008 | All History | Oct 2008 » Home IGV History September 2008