IGV Options History — November 2011

In November 2011, IGV traded between $10.65 and $11.56. ATM implied volatility averaged 38.8%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 36.0% (HV 20d: 74.9%). Max pain ranged from $11.40 to $11.40. Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 0 of 7 days. Put/call ratio averaged 0.00.

Notable Days

2011-11-29: Highest Volume — 135 contracts
2011-11-22: Largest IV drop — 8.3% change
2011-11-21: Highest IV Rank — 41.2%
2011-11-21: Largest Expected Move — 11.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.03	$10.65	$11.56	$11.14	$11.56
Max Pain	$11.40	$11.40	$11.40	$11.40	$11.40
ATM IV	38.8%	37.0%	41.2%	41.2%	37.0%
Expected Move	11.1%	10.6%	11.8%	11.8%	10.6%
HV 20d	74.9%	73.6%	76.8%	73.9%	76.8%
HV 60d	46.6%	46.0%	47.8%	46.0%	47.8%
IV Rank	38.6%	36.6%	41.2%	41.2%	36.6%
IV Percentile	96.7%	94.0%	98.0%	98.0%	94.0%
Term Structure	-1.8%	-3.1%	-0.9%	-3.1%	-1.6%
VWIV	38.7%	38.7%	38.7%	38.7%	38.7%
Skew 25d	-0.0%	-8.1%	2.5%	-8.1%	2.5%
Skew 10d	-1.9%	-14.8%	3.9%	-14.8%	-6.6%
Call IV 25d	40.3%	36.1%	54.5%	54.5%	36.1%
Put IV 25d	40.3%	37.7%	46.4%	46.4%	38.6%
Bid-Ask Spread %	55.88	22.81	163.83	163.83	69.85
Gamma HHI	0.36	0.36	0.36	0.36	0.36
Net GEX	-615	-4.3K	0	0	-4.3K
Net DEX	11.0K	0	77.1K	0	77.1K
Net VEX	-42	-296	0	0	-296
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	20.714	0	135	0	10
Total OI	19.286	0	135	0	135

Daily Data (7 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Vol	Put Vol	Put OI
2011-11-21	$11.14	$0.00	41.2%	11.8%	73.9%	41.2%	0.0%	-8.1%	-3.1%	0	0	0	163.83	0	0	0
2011-11-22	$11.02	$0.00	37.8%	10.8%	73.6%	37.5%	0.0%	1.0%	-1.5%	0	0	0	22.81	0	0	0
2011-11-23	$10.73	$0.00	38.0%	10.9%	74.4%	37.6%	0.0%	-0.1%	-1.3%	0	0	0	33.74	0	0	0
2011-11-25	$10.65	$0.00	38.9%	11.1%	74.5%	38.6%	0.0%	0.6%	-0.9%	0	0	0	38.97	0	0	0
2011-11-28	$11.10	$0.00	39.6%	11.4%	75.6%	39.5%	0.0%	1.7%	-2.0%	0	0	0	24.95	0	0	0
2011-11-29	$11.00	$0.00	39.5%	11.3%	75.3%	39.3%	38.7%	2.4%	-2.7%	0	0	0	37.01	0	135	0
2011-11-30	$11.56	$11.40	37.0%	10.6%	76.8%	36.6%	0.0%	2.5%	-1.6%	-4.3K	77.1K	-296	69.85	10	0	135