IGV Options History — December 2011

In December 2011, IGV traded between $10.72 and $11.86. ATM implied volatility averaged 36.3%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 23.9% (HV 20d: 60.2%). Max pain ranged from $10.40 to $11.60. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2011-12-21: Highest Volume — 130 contracts
2011-12-06: Largest IV spike — 66.3% change
2011-12-07: Highest IV Rank — 62.3%
2011-12-19: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.21	$10.72	$11.86	$11.54	$10.82
Max Pain	$10.76	$10.40	$11.60	$11.40	$10.40
ATM IV	36.3%	30.2%	60.5%	34.0%	32.5%
Expected Move	9.6%	8.8%	11.0%	9.7%	9.3%
HV 20d	60.2%	30.2%	76.8%	76.6%	30.2%
HV 60d	48.3%	47.4%	49.1%	47.8%	48.7%
IV Rank	35.8%	29.2%	62.3%	33.3%	31.7%
IV Percentile	91.6%	87.7%	99.2%	93.3%	87.7%
Term Structure	0.4%	-3.8%	2.6%	-0.6%	1.1%
VWIV	33.1%	30.7%	35.4%	30.7%	35.4%
Skew 25d	1.6%	-5.1%	9.7%	4.3%	0.7%
Skew 10d	2.4%	-8.8%	17.8%	4.4%	3.5%
Call IV 25d	33.8%	30.5%	53.3%	31.1%	32.5%
Put IV 25d	35.4%	31.4%	48.2%	35.5%	33.3%
Bid-Ask Spread %	44.34	17.22	168.81	34.96	42.42
Gamma HHI	0.29	0.23	0.37	0.33	0.26
Net GEX	-1.7K	-4.7K	643	-4.3K	-1.5K
Net DEX	50.8K	15.8K	85.5K	72.5K	43.6K
Net VEX	-417	-552	-315	-315	-542
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.00	0.00	0.00
Total Volume	21.429	0	130	100	65
Total OI	271.429	145	425	145	425

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
2011-12-01	$11.54	$11.40	34.0%	9.7%	76.6%	33.3%	30.7%	4.3%	-0.6%	-4.3K	72.5K	-315	0.00	34.96	100	0	10	135
2011-12-02	$11.50	$11.40	34.7%	9.9%	75.3%	34.0%	0.0%	1.9%	-0.7%	-878	42.0K	-428	0.00	40.34	0	0	100	135
2011-12-05	$11.86	$0.00	34.6%	9.6%	75.4%	34.0%	0.0%	1.6%	0.2%	360	16.3K	-431	0.00	17.22	0	0	100	135
2011-12-06	$11.80	$0.00	57.6%	9.8%	75.6%	59.1%	0.0%	9.7%	-2.5%	-156	15.8K	-433	0.00	150.94	0	0	100	135
2011-12-07	$11.73	$0.00	60.5%	10.2%	74.9%	62.3%	0.0%	8.3%	-1.0%	-311	20.9K	-428	0.00	147.52	0	0	100	135
2011-12-08	$11.46	$0.00	38.9%	10.0%	76.0%	38.6%	0.0%	1.5%	0.8%	-1.2K	45.5K	-399	0.00	18.28	10	0	100	135
2011-12-09	$11.75	$0.00	30.2%	9.1%	76.1%	29.2%	0.0%	1.3%	1.6%	643	23.0K	-409	0.00	20.24	0	0	110	135
2011-12-12	$11.52	$0.00	35.8%	9.3%	76.8%	35.3%	0.0%	1.5%	0.9%	-1.9K	45.4K	-377	0.00	19.02	0	0	110	135
2011-12-13	$11.29	$0.00	35.3%	9.4%	75.7%	34.7%	0.0%	1.4%	1.7%	-4.3K	65.1K	-349	0.00	18.86	0	0	110	135
2011-12-14	$11.02	$0.00	33.7%	9.4%	76.6%	33.0%	0.0%	0.9%	1.9%	-3.6K	84.9K	-315	0.00	22.90	35	0	110	135
2011-12-15	$11.01	$0.00	32.5%	9.3%	74.0%	31.7%	0.0%	1.2%	1.3%	-1.2K	73.6K	-371	0.00	21.89	0	0	145	135
2011-12-16	$11.12	$0.00	30.7%	8.8%	73.8%	29.7%	0.0%	0.9%	2.6%	-1.2K	71.0K	-372	0.00	27.32	0	0	145	135
2011-12-19	$10.88	$0.00	38.5%	11.0%	73.6%	38.2%	0.0%	-5.1%	-3.8%	70	43.4K	-340	0.00	168.81	0	0	85	100
2011-12-20	$11.17	$0.00	31.3%	9.0%	36.5%	30.4%	31.0%	1.3%	1.5%	141	31.0K	-367	0.00	20.06	20	0	85	100
2011-12-21	$10.72	$11.60	34.0%	9.8%	39.3%	33.3%	34.8%	1.8%	-0.3%	642	45.2K	-333	0.00	33.78	0	130	105	100
2011-12-22	$10.83	$10.40	32.3%	9.3%	38.3%	31.4%	0.0%	-0.0%	1.3%	-4.7K	85.5K	-494	0.00	24.22	0	0	105	230
2011-12-23	$10.90	$10.40	32.3%	9.2%	38.2%	31.4%	0.0%	-0.9%	1.6%	-4.7K	78.4K	-494	0.00	23.02	0	0	105	230
2011-12-27	$10.92	$10.40	33.7%	9.7%	35.1%	33.0%	33.5%	-0.1%	0.6%	-4.6K	75.4K	-476	0.00	22.98	75	0	105	230
2011-12-28	$10.76	$10.40	34.8%	10.0%	35.3%	34.2%	35.4%	0.3%	0.3%	-1.5K	51.0K	-542	2.00	28.91	5	10	180	230
2011-12-29	$10.86	$10.40	34.3%	9.8%	30.2%	33.6%	0.0%	0.5%	0.6%	-1.3K	37.8K	-552	0.00	27.38	0	0	185	240
2011-12-30	$10.82	$10.40	32.5%	9.3%	30.2%	31.7%	0.0%	0.7%	1.1%	-1.5K	43.6K	-542	0.00	42.42	65	0	185	240