IGV Options History — April 2012 In April 2012, IGV traded between $12.50 and $13.32. ATM implied volatility averaged 20.2%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.3% (HV 20d: 17.9%). Max pain ranged from $11.80 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-10 : Highest Volume — 145 contracts2012-04-09 : Largest IV spike — 15.3% change2012-04-10 : Highest IV Rank — 15.1%2012-04-09 : Largest Expected Move — 6.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.92 $12.50 $13.32 $13.32 $12.97 Max Pain $12.04 $11.80 $13.00 $13.00 $11.80 ATM IV 20.2% 17.8% 23.2% 17.8% 20.0% Expected Move 5.8% 5.1% 6.5% 5.1% 5.7% HV 20d 17.9% 15.2% 21.1% 16.5% 20.9% HV 60d 16.4% 15.0% 17.9% 15.0% 17.6% IV Rank 11.0% 7.7% 15.1% 7.7% 10.8% IV Percentile 27.6% 6.3% 54.8% 6.3% 29.0% Term Structure 1.2% 0.3% 2.3% 1.8% 1.1% VWIV 20.7% 18.9% 23.8% 19.2% 23.8% Skew 25d 3.7% 1.9% 4.4% 1.9% 3.6% Skew 10d 6.0% -0.8% 13.1% 0.4% 2.4% Call IV 25d 18.4% 16.9% 20.5% 17.8% 18.8% Put IV 25d 22.1% 19.7% 24.4% 19.7% 22.4% Bid-Ask Spread % 62.68 46.42 79.69 64.42 47.83 Gamma HHI 0.21 0.15 0.29 0.23 0.26 Net GEX 27.7K 17.7K 43.1K 22.1K 25.0K Net DEX -603.2K -700.3K -430.1K -698.2K -664.6K Net VEX -1.3K -1.5K -1.0K -1.5K -1.0K 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 12.25 0 145 60 0 Total OI 1,447.75 1,345 1,515 1,405 1,460
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 2012-04-02 $13.32 $13.00 17.8% 5.1% 16.5% 7.7% 0.0% 1.9% 1.8% 22.1K -698.2K -1.5K 0.00 64.42 60 0 745 660 2012-04-03 $13.27 $13.00 19.5% 5.6% 15.2% 10.0% 0.0% 2.3% 0.9% 17.7K -652.1K -1.3K 0.00 57.98 0 0 685 660 2012-04-04 $13.04 $13.00 19.8% 5.7% 16.7% 10.4% 0.0% 2.9% 1.0% 19.8K -584.2K -1.4K 0.00 51.32 0 0 685 660 2012-04-05 $13.07 $13.00 19.4% 5.6% 16.0% 9.9% 0.0% 3.2% 1.4% 20.0K -599.2K -1.3K 0.00 59.25 0 0 685 660 2012-04-09 $12.88 $11.80 22.3% 6.5% 16.7% 13.9% 0.0% 4.3% 0.6% 19.3K -531.4K -1.4K 0.00 60.24 0 0 685 660 2012-04-10 $12.60 $11.80 23.2% 6.4% 18.4% 15.1% 19.2% 4.3% 0.7% 18.5K -430.1K -1.4K 0.00 59.87 145 0 685 660 2012-04-11 $12.72 $11.80 21.9% 6.2% 16.7% 13.3% 18.9% 4.0% 1.4% 27.8K -518.3K -1.5K 0.00 61.96 5 0 830 660 2012-04-12 $12.92 $11.80 20.2% 5.8% 17.5% 11.0% 20.9% 4.2% 1.6% 31.8K -604.2K -1.5K 0.00 65.21 30 0 825 660 2012-04-13 $12.89 $11.80 21.5% 6.2% 17.2% 12.8% 0.0% 4.1% 0.6% 33.0K -610.9K -1.5K 0.00 73.93 0 0 855 660 2012-04-16 $12.82 $11.80 21.1% 6.0% 17.2% 12.2% 0.0% 3.7% 0.3% 32.8K -583.5K -1.5K 0.00 79.69 0 0 855 660 2012-04-17 $13.05 $11.80 19.4% 5.6% 18.4% 9.9% 23.8% 3.8% 1.8% 40.2K -698.5K -1.3K 0.00 72.35 0 5 855 660 2012-04-18 $13.01 $11.80 19.3% 5.5% 18.1% 9.8% 0.0% 3.4% 2.1% 42.7K -683.9K -1.3K 0.00 71.81 0 0 855 660 2012-04-19 $12.94 $11.80 19.0% 5.4% 18.1% 9.4% 0.0% 4.4% 1.7% 43.1K -645.3K -1.3K 0.00 79.64 0 0 855 660 2012-04-20 $12.91 $11.80 18.8% 5.4% 17.8% 9.1% 0.0% 3.7% 2.3% 42.0K -630.1K -1.3K 0.00 74.04 0 0 855 660 2012-04-23 $12.74 $11.80 19.5% 5.6% 18.4% 10.0% 0.0% 4.3% 1.4% 22.9K -557.3K -1.2K 0.00 65.88 0 0 800 660 2012-04-24 $12.50 $11.80 22.3% 6.4% 17.9% 13.9% 0.0% 3.9% 0.6% 21.3K -435.2K -1.3K 0.00 53.35 0 0 800 660 2012-04-25 $12.74 $11.80 20.7% 5.9% 19.5% 11.7% 0.0% 3.7% 0.6% 23.1K -551.8K -1.2K 0.00 54.94 0 0 800 660 2012-04-26 $13.02 $11.80 19.3% 5.5% 21.1% 9.8% 0.0% 3.7% 0.8% 25.5K -685.2K -1.1K 0.00 46.42 0 0 800 660 2012-04-27 $13.06 $11.80 19.7% 5.6% 20.8% 10.3% 0.0% 4.1% 1.6% 25.8K -700.3K -1.0K 0.00 53.52 0 0 800 660 2012-04-30 $12.97 $11.80 20.0% 5.7% 20.9% 10.8% 0.0% 3.6% 1.1% 25.0K -664.6K -1.0K 0.00 47.83 0 0 800 660
« Mar 2012 | All History | May 2012 » Home IGV History April 2012