IGV Options History — June 2012

In June 2012, IGV traded between $11.50 and $12.42. ATM implied volatility averaged 24.5%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 0.9% (HV 20d: 25.4%). Max pain ranged from $11.60 to $11.80. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.00.

Notable Days

2012-06-21: Highest Volume — 200 contracts
2012-06-11: Largest IV spike — 23.6% change
2012-06-04: Highest IV Rank — 23.3%
2012-06-01: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.98	$11.50	$12.42	$11.50	$12.42
Max Pain	$11.68	$11.60	$11.80	$11.60	$11.80
ATM IV	24.5%	19.3%	30.9%	30.1%	19.3%
Expected Move	7.0%	5.5%	8.6%	8.6%	5.5%
HV 20d	25.4%	20.5%	29.3%	21.4%	29.3%
HV 60d	21.5%	19.8%	24.5%	20.0%	24.5%
IV Rank	14.1%	5.6%	23.3%	22.2%	5.6%
IV Percentile	61.6%	17.9%	85.7%	84.9%	17.9%
Term Structure	0.6%	-2.4%	3.3%	-2.4%	3.3%
VWIV	24.9%	23.7%	26.1%	26.1%	23.7%
Skew 25d	4.2%	2.4%	6.5%	3.2%	3.5%
Skew 10d	6.0%	3.1%	14.3%	9.6%	3.9%
Call IV 25d	22.5%	18.2%	26.8%	26.8%	18.7%
Put IV 25d	26.7%	22.2%	30.0%	30.0%	22.2%
Bid-Ask Spread %	31.27	18.10	67.48	54.22	67.48
Gamma HHI	0.42	0.16	0.69	0.68	0.18
Net GEX	7.3K	-699	13.1K	8.5K	11.8K
Net DEX	-99.6K	-172.5K	-15.9K	-119.2K	-172.5K
Net VEX	-1.2K	-1.6K	-840	-840	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	3.00	1.00	0.00
Total Volume	25.952	0	200	50	5
Total OI	540.714	335	820	335	820

Daily Data (21 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
2012-06-01	$11.50	$0.00	30.1%	8.6%	21.4%	22.2%	0.0%	3.2%	-2.4%	8.5K	-119.2K	-840	0.00	54.22	0	50	335	0
2012-06-04	$11.55	$0.00	30.9%	7.9%	20.5%	23.3%	0.0%	3.1%	-0.5%	7.6K	-77.8K	-955	0.00	19.87	0	0	335	50
2012-06-05	$11.74	$0.00	28.3%	7.6%	21.8%	19.6%	0.0%	4.0%	-0.6%	8.2K	-92.6K	-1.0K	0.00	18.10	0	0	335	50
2012-06-06	$12.09	$0.00	25.5%	7.2%	24.6%	15.7%	0.0%	3.2%	0.3%	9.0K	-130.9K	-1.1K	0.00	19.83	0	0	335	50
2012-06-07	$11.98	$0.00	24.2%	7.3%	24.8%	13.9%	0.0%	3.9%	-0.4%	8.8K	-117.9K	-1.1K	0.00	18.65	0	0	335	50
2012-06-08	$12.04	$0.00	23.4%	7.2%	23.9%	12.8%	26.1%	3.3%	-0.2%	9.0K	-123.1K	-1.1K	0.00	20.46	0	25	335	50
2012-06-11	$11.78	$11.60	28.9%	7.9%	24.8%	20.6%	0.0%	5.2%	-0.7%	7.0K	-84.1K	-1.0K	0.00	22.91	0	0	335	75
2012-06-12	$11.86	$11.60	25.0%	7.6%	25.0%	15.0%	0.0%	4.5%	-0.9%	7.4K	-90.3K	-1.0K	0.00	19.17	0	0	335	75
2012-06-13	$11.75	$11.60	27.2%	7.6%	25.0%	18.1%	0.0%	4.1%	0.0%	7.0K	-80.4K	-1.0K	0.00	18.10	0	0	335	75
2012-06-14	$11.83	$11.60	26.3%	7.5%	24.9%	16.8%	0.0%	4.1%	-0.2%	7.3K	-87.1K	-1.0K	0.00	18.58	0	0	335	75
2012-06-15	$12.14	$11.60	25.2%	7.2%	26.1%	15.3%	0.0%	3.5%	0.6%	7.7K	-124.5K	-1.1K	1.00	26.95	55	55	335	75
2012-06-18	$12.18	$11.60	22.5%	6.4%	25.6%	11.4%	0.0%	3.3%	0.8%	6.6K	-96.8K	-1.2K	0.00	37.60	105	0	335	130
2012-06-19	$12.35	$11.60	22.6%	6.5%	24.6%	11.6%	0.0%	2.4%	0.0%	13.0K	-169.4K	-1.5K	0.00	33.11	0	0	440	130
2012-06-20	$12.34	$11.60	21.9%	6.3%	24.4%	10.6%	0.0%	3.9%	0.7%	13.1K	-168.2K	-1.4K	0.00	29.99	0	0	440	130
2012-06-21	$11.96	$11.60	22.2%	6.4%	26.9%	11.1%	23.7%	6.5%	2.2%	10.1K	-100.8K	-1.3K	3.00	34.71	50	150	440	130
2012-06-22	$12.16	$11.80	20.0%	5.7%	27.1%	8.0%	0.0%	4.4%	2.9%	6.4K	-102.8K	-1.6K	0.00	40.43	0	50	490	280
2012-06-25	$11.90	$11.80	23.4%	6.7%	28.3%	12.8%	0.0%	5.7%	1.6%	-355	-15.9K	-1.6K	0.00	37.90	0	0	490	330
2012-06-26	$12.00	$11.80	23.1%	6.6%	28.4%	12.3%	0.0%	5.5%	2.1%	1.9K	-44.9K	-1.6K	0.00	41.10	0	0	490	330
2012-06-27	$12.08	$11.80	22.4%	6.4%	27.9%	10.0%	0.0%	5.3%	2.1%	3.4K	-72.0K	-1.6K	0.00	30.71	0	0	490	330
2012-06-28	$11.90	$11.80	21.5%	6.2%	28.3%	8.8%	0.0%	4.7%	2.4%	-699	-20.4K	-1.5K	0.00	46.90	0	0	490	330
2012-06-29	$12.42	$11.80	19.3%	5.5%	29.3%	5.6%	0.0%	3.5%	3.3%	11.8K	-172.5K	-1.6K	0.00	67.48	5	0	490	330