IGV Options History — May 2012 In May 2012, IGV traded between $11.82 and $13.15. ATM implied volatility averaged 24.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 4.0% (HV 20d: 20.4%). Max pain ranged from $11.80 to $11.80. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2012-05-31 : Highest Volume — 460 contracts2012-05-14 : Largest IV spike — 11.6% change2012-05-16 : Highest IV Rank — 20.1%2012-05-31 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $12.34 $11.82 $13.15 $13.09 $11.89 Max Pain $11.80 $11.80 $11.80 $11.80 $11.80 ATM IV 24.3% 18.9% 27.5% 19.9% 27.5% Expected Move 7.0% 5.4% 7.9% 5.7% 7.9% HV 20d 20.4% 18.9% 22.6% 20.8% 18.9% HV 60d 18.4% 17.3% 19.3% 17.3% 19.0% IV Rank 15.9% 9.3% 20.1% 10.6% 18.6% IV Percentile 64.4% 16.3% 82.9% 28.2% 82.9% Term Structure -0.2% -1.7% 1.0% 0.8% -1.7% VWIV 20.1% 20.1% 20.1% 20.1% 20.1% Skew 25d 3.2% 2.0% 4.3% 3.6% 2.3% Skew 10d 6.9% 3.0% 14.4% 4.6% 8.6% Call IV 25d 22.2% 17.7% 25.2% 17.7% 25.2% Put IV 25d 25.4% 21.0% 27.7% 21.3% 27.6% Bid-Ask Spread % 44.05 22.89 61.39 45.89 50.36 Gamma HHI 0.47 0.18 0.79 0.32 0.78 Net GEX 6.9K -31.1K 28.0K 26.8K 6.4K Net DEX -234.5K -720.6K 30.5K -720.6K -42.3K Net VEX -600 -935 -297 -935 -297 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 21.591 0 460 0 460 Total OI 934.318 225 1,460 1,460 225
Daily Data (22 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 2012-05-01 $13.09 $11.80 19.9% 5.7% 20.8% 10.6% 0.0% 3.6% 0.8% 26.8K -720.6K -935 0.00 45.89 0 0 800 660 2012-05-02 $13.15 $11.80 18.9% 5.4% 20.8% 9.3% 0.0% 3.1% 1.0% 28.0K -716.1K -879 0.00 48.07 0 0 775 660 2012-05-03 $13.01 $11.80 20.0% 5.7% 20.2% 10.7% 20.1% 3.0% 1.0% 21.9K -527.8K -873 0.00 50.80 10 0 665 660 2012-05-04 $12.69 $0.00 21.7% 6.6% 22.1% 13.1% 0.0% 3.5% 0.2% 13.6K -414.9K -893 0.00 22.89 0 0 675 660 2012-05-07 $12.61 $0.00 24.1% 6.8% 21.6% 16.3% 0.0% 3.2% -0.4% 11.9K -386.2K -845 0.00 28.20 0 0 675 660 2012-05-08 $12.51 $0.00 23.1% 6.6% 20.4% 14.9% 0.0% 2.5% 0.2% 8.1K -346.9K -821 0.00 26.87 0 0 675 660 2012-05-09 $12.53 $0.00 23.5% 6.7% 20.1% 15.5% 0.0% 3.2% 0.3% 8.2K -359.0K -803 0.00 28.38 0 0 675 660 2012-05-10 $12.27 $0.00 25.2% 7.2% 20.3% 17.8% 0.0% 2.9% -0.5% 5.3K -252.6K -765 0.00 38.24 0 0 675 660 2012-05-11 $12.37 $0.00 23.9% 6.8% 20.6% 16.0% 0.0% 3.3% 0.0% 3.0K -299.1K -736 0.00 30.19 0 0 675 660 2012-05-14 $12.27 $0.00 26.7% 7.6% 20.7% 19.8% 0.0% 4.3% -1.1% 942 -265.4K -664 0.00 43.35 0 0 675 660 2012-05-15 $12.32 $0.00 24.8% 7.1% 19.5% 17.2% 0.0% 3.9% -0.7% -1.5K -284.9K -625 0.00 35.53 0 0 675 660 2012-05-16 $12.17 $0.00 26.9% 7.7% 19.7% 20.1% 0.0% 4.1% -0.5% -921 -142.9K -572 0.00 61.39 0 0 625 660 2012-05-17 $11.98 $0.00 26.9% 7.7% 20.2% 20.1% 0.0% 2.3% -1.0% -1.5K -22.3K -451 0.00 58.07 0 0 625 660 2012-05-18 $11.82 $0.00 26.7% 7.6% 20.5% 19.8% 0.0% 2.0% -0.3% -31.1K 30.5K -367 0.00 57.07 5 0 625 660 2012-05-21 $12.12 $0.00 25.1% 7.2% 22.6% 17.7% 0.0% 3.6% -0.7% 7.6K -59.9K -389 0.00 44.73 0 0 225 0 2012-05-22 $12.22 $0.00 24.4% 7.0% 22.0% 14.2% 0.0% 3.2% 0.1% 8.1K -64.0K -410 0.00 47.73 0 0 225 0 2012-05-23 $12.25 $0.00 24.3% 7.0% 20.7% 14.0% 0.0% 3.3% -0.2% 8.3K -67.8K -415 0.00 51.21 0 0 225 0 2012-05-24 $12.08 $0.00 25.0% 7.2% 19.1% 15.0% 0.0% 2.6% -0.6% 7.4K -55.2K -376 0.00 53.74 0 0 225 0 2012-05-25 $12.09 $0.00 25.1% 7.2% 19.0% 15.1% 0.0% 3.9% -0.3% 7.5K -55.7K -375 0.00 46.76 0 0 225 0 2012-05-29 $12.16 $0.00 24.9% 7.1% 19.3% 14.9% 0.0% 3.0% -0.2% 8.0K -59.0K -370 0.00 55.01 0 0 225 0 2012-05-30 $11.96 $0.00 27.3% 7.8% 19.2% 18.2% 0.0% 3.0% -0.8% 6.7K -46.7K -328 0.00 44.61 0 0 225 0 2012-05-31 $11.89 $0.00 27.5% 7.9% 18.9% 18.6% 0.0% 2.3% -1.7% 6.4K -42.3K -297 0.00 50.36 460 0 225 0
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