IGV Options History — March 2012

In March 2012, IGV traded between $12.35 and $13.21. ATM implied volatility averaged 18.8%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 2.6% (HV 20d: 16.2%). Max pain ranged from $12.80 to $13.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-03-28: Highest Volume — 400 contracts
  • 2012-03-06: Largest IV spike — 20.9% change
  • 2012-03-06: Highest IV Rank — 15.6%
  • 2012-03-06: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.91$12.35$13.21$12.77$13.17
Max Pain$12.98$12.80$13.00$12.80$13.00
ATM IV18.8%16.2%23.5%19.1%17.3%
Expected Move5.5%5.0%6.5%5.5%5.0%
HV 20d16.2%14.4%17.4%14.6%16.9%
HV 60d17.7%14.9%21.3%21.3%15.0%
IV Rank9.1%5.5%15.6%9.4%7.0%
IV Percentile13.5%2.0%53.2%11.5%4.0%
Term Structure1.0%-0.2%1.7%1.3%0.8%
VWIV18.3%18.3%18.3%18.3%18.3%
Skew 25d2.4%0.7%4.3%0.7%3.2%
Skew 10d2.4%-1.6%5.4%-1.6%2.5%
Call IV 25d18.4%16.3%21.7%18.4%16.3%
Put IV 25d20.8%18.6%23.3%19.0%19.5%
Bid-Ask Spread %40.1518.4580.3880.3857.70
Gamma HHI0.190.130.250.150.25
Net GEX21.5K18.4K26.8K21.6K20.5K
Net DEX-781.8K-954.9K-556.1K-736.1K-644.5K
Net VEX-1.6K-2.2K-1.1K-2.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume22.9550400040
Total OI1,515.9091,3551,5501,5451,365

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$12.77$12.8019.1%5.5%14.6%9.4%0.0%0.7%1.3%21.6K-736.1K-2.1K0.0080.3800890655
2012-03-02$12.68$12.8018.6%5.3%14.9%8.8%0.0%2.3%1.5%23.1K-703.9K-2.1K0.0078.5700890655
2012-03-05$12.55$13.0019.5%6.0%14.4%10.0%0.0%2.3%0.9%22.9K-641.4K-2.2K0.0024.5600890655
2012-03-06$12.35$13.0023.5%6.5%15.4%15.6%0.0%1.6%0.0%21.6K-556.1K-2.2K0.0026.6500890655
2012-03-07$12.48$13.0023.1%6.5%15.8%14.9%0.0%2.1%-0.2%22.4K-621.8K-2.1K0.0026.7000890655
2012-03-08$12.67$13.0019.3%6.0%16.6%9.8%0.0%2.3%0.9%23.8K-702.4K-2.0K0.0018.4500890655
2012-03-09$12.79$13.0016.8%5.7%16.4%6.3%0.0%2.4%1.0%25.1K-763.6K-1.8K0.0022.1900890655
2012-03-12$12.79$13.0017.5%5.7%15.3%7.3%0.0%2.4%0.9%26.8K-774.7K-1.7K0.0027.5605890655
2012-03-13$13.09$13.0016.2%5.5%16.9%5.5%0.0%1.9%1.1%22.3K-901.9K-1.5K0.0026.8500890660
2012-03-14$12.98$13.0017.9%5.6%17.3%7.9%0.0%1.9%0.8%24.3K-856.6K-1.5K0.0025.5600890660
2012-03-15$13.11$13.0018.6%5.3%17.2%8.8%0.0%1.9%1.2%20.0K-917.0K-1.4K0.0033.1950890660
2012-03-16$13.05$13.0018.5%5.3%16.3%8.6%0.0%1.8%1.3%20.5K-896.8K-1.4K0.0038.2100890660
2012-03-19$13.08$13.0017.3%5.0%15.7%7.1%0.0%1.7%1.5%19.8K-893.4K-1.3K0.0039.6000865660
2012-03-20$12.97$13.0019.0%5.4%15.9%9.3%0.0%3.3%1.2%19.8K-842.1K-1.4K0.0030.7500865660
2012-03-21$13.05$13.0017.6%5.0%16.0%7.4%0.0%2.9%1.5%20.2K-888.9K-1.3K0.0062.0000865660
2012-03-22$12.94$13.0019.2%5.5%16.4%9.6%0.0%4.3%1.1%20.1K-829.2K-1.4K0.0042.7800865660
2012-03-23$12.96$13.0018.9%5.4%16.0%9.2%18.3%3.1%1.3%21.0K-857.0K-1.3K0.0027.39150865660
2012-03-26$13.21$13.0018.1%5.2%17.2%8.1%0.0%1.7%1.4%19.5K-954.9K-1.1K0.0056.0600880660
2012-03-27$13.17$13.0018.9%5.4%17.3%9.3%0.0%2.4%0.9%20.1K-940.1K-1.1K0.0041.17400880660
2012-03-28$13.06$13.0020.2%5.8%17.4%11.0%0.0%3.4%0.7%20.0K-647.5K-1.3K0.0041.724000695660
2012-03-29$13.19$13.0018.9%5.4%17.2%9.2%0.0%3.3%1.7%18.4K-630.4K-1.5K0.0055.3300705660
2012-03-30$13.17$13.0017.3%5.0%16.9%7.0%0.0%3.2%0.8%20.5K-644.5K-1.4K0.0057.70400705660