IGV Options History — February 2012 In February 2012, IGV traded between $12.06 and $12.69. ATM implied volatility averaged 19.9%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 5.5% (HV 20d: 14.4%). Max pain ranged from $11.20 to $12.80. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-02-03 : Highest Volume — 440 contracts2012-02-15 : Largest IV spike — 13.6% change2012-02-15 : Highest IV Rank — 22.8%2012-02-06 : Largest Expected Move — 6.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.46 $12.06 $12.69 $12.06 $12.60 Max Pain $12.40 $11.20 $12.80 $11.20 $12.80 ATM IV 19.9% 18.0% 22.3% 20.8% 19.3% Expected Move 5.8% 5.3% 6.6% 6.0% 5.5% HV 20d 14.4% 12.8% 15.3% 13.8% 15.3% HV 60d 37.5% 21.2% 47.5% 47.5% 21.2% IV Rank 18.0% 8.7% 22.8% 21.0% 9.8% IV Percentile 16.4% 6.3% 34.5% 19.0% 12.7% Term Structure 1.2% -0.9% 2.5% 0.8% 1.2% VWIV 18.8% 18.8% 18.8% 18.8% 18.8% Skew 25d 2.0% 0.4% 4.1% 4.1% 2.3% Skew 10d 2.9% -3.6% 26.4% 3.2% -1.2% Call IV 25d 19.2% 17.0% 21.7% 18.3% 18.3% Put IV 25d 21.2% 18.6% 23.3% 22.4% 20.6% Bid-Ask Spread % 55.66 25.43 86.57 73.68 73.17 Gamma HHI 0.18 0.13 0.42 0.16 0.14 Net GEX 17.1K 10.2K 22.3K 17.1K 22.3K Net DEX -643.5K -839.7K -368.8K -502.6K -668.7K Net VEX -2.5K -3.0K -1.4K -2.6K -2.2K 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 36.75 0 440 0 0 Total OI 1,604.25 1,140 1,840 1,600 1,545
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 2012-02-01 $12.06 $11.20 20.8% 6.0% 13.8% 21.0% 0.0% 4.1% 0.8% 17.1K -502.6K -2.6K 0.00 73.68 0 0 895 705 2012-02-02 $12.14 $11.20 20.0% 5.7% 12.8% 20.0% 0.0% 0.8% 1.0% 18.1K -715.0K -3.0K 0.00 86.57 0 0 1,080 760 2012-02-03 $12.36 $0.00 18.6% 5.5% 13.4% 18.3% 0.0% 1.3% 0.1% 17.1K -839.7K -2.7K 0.00 34.70 440 0 1,080 760 2012-02-06 $12.31 $0.00 19.8% 6.6% 13.9% 19.8% 0.0% 1.7% -0.9% 12.8K -368.8K -1.4K 0.00 86.00 55 0 540 600 2012-02-07 $12.36 $0.00 19.5% 5.9% 13.5% 19.5% 0.0% 1.5% 0.2% 19.0K -683.3K -3.0K 0.00 34.51 5 0 1,005 760 2012-02-08 $12.38 $0.00 18.0% 5.7% 13.2% 17.6% 0.0% 3.1% 1.5% 11.8K -565.9K -2.3K 0.00 48.42 0 0 835 760 2012-02-09 $12.53 $0.00 19.9% 5.7% 13.5% 19.9% 0.0% 1.2% 2.5% 10.2K -608.9K -2.3K 0.00 70.27 0 0 835 760 2012-02-10 $12.35 $0.00 21.3% 6.1% 15.3% 21.6% 0.0% 2.1% 1.2% 17.5K -625.4K -2.9K 0.00 25.43 60 0 965 760 2012-02-13 $12.47 $0.00 21.6% 6.2% 14.7% 21.9% 0.0% 0.9% 0.5% 14.3K -646.4K -2.7K 0.00 42.87 0 0 910 760 2012-02-14 $12.51 $0.00 19.6% 5.6% 14.7% 19.5% 0.0% 1.1% 1.2% 14.5K -675.9K -2.6K 0.00 65.83 50 0 910 760 2012-02-15 $12.43 $0.00 22.3% 6.4% 13.8% 22.8% 0.0% 1.5% 1.0% 12.9K -623.5K -2.7K 0.00 35.47 0 55 910 760 2012-02-16 $12.66 $0.00 20.8% 6.0% 14.2% 21.1% 0.0% 0.4% 1.8% 15.9K -746.0K -2.4K 0.00 58.02 5 0 910 705 2012-02-17 $12.54 $0.00 21.0% 6.0% 15.0% 21.2% 0.0% 2.4% 1.7% 15.4K -686.6K -2.5K 0.00 45.47 0 0 905 705 2012-02-21 $12.45 $0.00 20.2% 5.8% 15.2% 20.2% 18.8% 2.8% 1.4% 16.5K -571.7K -2.4K 0.00 51.35 65 0 825 655 2012-02-22 $12.48 $12.80 19.5% 5.6% 15.1% 19.4% 0.0% 3.1% 1.9% 21.0K -605.6K -2.4K 0.00 57.90 0 0 890 655 2012-02-23 $12.55 $12.80 18.7% 5.4% 15.0% 18.5% 0.0% 2.1% 2.1% 20.8K -637.4K -2.4K 0.00 51.18 0 0 890 655 2012-02-24 $12.69 $12.80 18.6% 5.3% 15.1% 8.7% 0.0% 1.7% 1.8% 21.2K -695.8K -2.2K 0.00 51.37 0 0 890 655 2012-02-27 $12.69 $12.80 19.6% 5.6% 15.1% 10.1% 0.0% 2.3% 1.0% 21.6K -696.2K -2.2K 0.00 55.74 0 0 890 655 2012-02-28 $12.69 $12.80 18.9% 5.4% 14.9% 9.3% 0.0% 3.1% 1.2% 22.3K -707.5K -2.1K 0.00 65.20 0 0 890 655 2012-02-29 $12.60 $12.80 19.3% 5.5% 15.3% 9.8% 0.0% 2.3% 1.2% 22.3K -668.7K -2.2K 0.00 73.17 0 0 890 655
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