IGV Options History — January 2012

In January 2012, IGV traded between $10.81 and $11.88. ATM implied volatility averaged 24.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 2.9% (HV 20d: 21.5%). Max pain ranged from $10.40 to $11.20. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.16.

Notable Days

2012-01-05: Highest Volume — 1,250 contracts
2012-01-26: Largest IV spike — 95.6% change
2012-01-26: Highest IV Rank — 42.1%
2012-01-26: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.40	$10.81	$11.88	$10.90	$11.84
Max Pain	$11.08	$10.40	$11.20	$10.40	$11.20
ATM IV	24.4%	19.5%	38.1%	35.6%	22.4%
Expected Move	7.1%	5.6%	10.9%	10.2%	6.4%
HV 20d	21.5%	12.7%	30.4%	30.4%	12.8%
HV 60d	48.4%	47.9%	48.6%	48.6%	47.9%
IV Rank	23.7%	17.4%	42.1%	35.1%	22.9%
IV Percentile	43.9%	11.9%	94.4%	91.7%	33.7%
Term Structure	1.2%	-11.3%	4.3%	0.1%	0.8%
Skew 25d	4.0%	-1.1%	7.0%	-0.0%	5.4%
Skew 10d	8.7%	-2.5%	17.1%	-2.0%	14.5%
Call IV 25d	23.3%	16.1%	47.9%	36.4%	19.1%
Put IV 25d	27.3%	20.5%	46.7%	36.4%	24.5%
Bid-Ask Spread %	53.47	25.76	149.43	25.76	61.53
Gamma HHI	0.19	0.15	0.24	0.22	0.19
Net GEX	17.0K	525	26.6K	918	20.9K
Net DEX	-218.4K	-495.9K	74.2K	-3.3K	-428.5K
Net VEX	-2.6K	-3.5K	-523	-610	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	1.12	1.12	0.00
Total Volume	97	0	1,250	0	0
Total OI	1,555	490	2,045	490	1,710

Daily Data (20 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
2012-01-03	$10.90	$10.40	35.6%	10.2%	30.4%	35.1%	0.0%	-0.0%	0.1%	918	-3.3K	-610	0.00	25.76	0	0	250	240
2012-01-04	$10.81	$10.40	33.6%	9.6%	27.7%	32.8%	0.0%	-0.8%	1.0%	525	16.0K	-590	0.00	39.75	0	0	250	240
2012-01-05	$10.94	$10.40	23.5%	6.7%	28.3%	21.8%	0.0%	4.3%	2.9%	3.3K	5.7K	-523	1.12	50.43	590	660	250	240
2012-01-06	$10.97	$11.20	23.3%	7.3%	28.4%	21.5%	0.0%	6.2%	2.3%	9.5K	74.2K	-3.1K	0.00	36.82	110	0	840	900
2012-01-09	$10.94	$11.20	22.0%	7.3%	27.5%	20.2%	0.0%	7.0%	2.1%	12.7K	36.8K	-3.2K	0.00	32.43	0	0	950	900
2012-01-10	$11.10	$11.20	24.2%	7.3%	26.2%	22.6%	0.0%	4.2%	1.3%	16.1K	-63.5K	-3.2K	0.00	39.32	0	0	950	900
2012-01-11	$11.17	$11.20	22.9%	7.2%	25.6%	21.1%	0.0%	4.3%	1.4%	17.7K	-108.3K	-3.2K	0.00	40.83	0	0	950	900
2012-01-12	$11.24	$11.20	24.7%	7.1%	24.7%	23.1%	0.0%	5.5%	2.9%	19.0K	-137.2K	-3.2K	0.00	34.92	0	0	950	900
2012-01-13	$11.16	$11.20	24.0%	6.9%	23.3%	22.3%	0.0%	5.0%	2.7%	19.7K	-92.7K	-3.1K	0.00	39.91	195	0	950	900
2012-01-17	$11.21	$11.20	24.7%	7.1%	23.3%	23.1%	0.0%	5.0%	2.4%	26.6K	-213.1K	-3.5K	0.00	45.99	75	0	1,145	900
2012-01-18	$11.46	$11.20	23.4%	6.7%	24.3%	21.7%	0.0%	5.4%	2.4%	24.6K	-294.5K	-3.5K	0.00	53.37	0	0	1,085	900
2012-01-19	$11.64	$11.20	21.9%	6.3%	23.1%	20.1%	0.0%	4.2%	2.8%	26.6K	-398.0K	-3.5K	0.00	51.73	30	0	1,085	900
2012-01-20	$11.73	$11.20	19.5%	5.6%	21.6%	17.4%	0.0%	6.4%	4.3%	21.4K	-433.5K	-2.8K	0.00	63.37	100	0	890	845
2012-01-23	$11.69	$11.20	20.8%	6.0%	14.3%	21.0%	0.0%	4.1%	1.5%	25.3K	-381.9K	-3.2K	0.00	57.24	0	0	1,025	760
2012-01-24	$11.79	$11.20	20.0%	5.7%	14.3%	20.1%	0.0%	3.1%	1.3%	24.1K	-448.5K	-3.3K	0.00	55.73	0	0	1,025	760
2012-01-25	$11.87	$11.20	19.5%	5.6%	14.3%	19.4%	0.0%	2.5%	1.5%	23.7K	-495.9K	-3.1K	0.00	55.46	0	0	1,025	760
2012-01-26	$11.82	$11.20	38.1%	10.9%	14.6%	42.1%	0.0%	-1.1%	-11.3%	13.6K	-290.5K	-1.5K	0.00	149.43	0	0	515	545
2012-01-27	$11.88	$11.20	21.6%	6.2%	12.7%	22.0%	0.0%	4.5%	0.6%	15.0K	-334.8K	-1.7K	0.00	67.81	0	0	565	545
2012-01-30	$11.82	$11.20	22.5%	6.5%	13.0%	23.1%	0.0%	5.3%	0.8%	18.5K	-375.8K	-2.8K	0.00	67.55	180	0	895	760
2012-01-31	$11.84	$11.20	22.4%	6.4%	12.8%	22.9%	0.0%	5.4%	0.8%	20.9K	-428.5K	-3.0K	0.00	61.53	0	0	950	760