IGV Options History — July 2012

In July 2012, IGV traded between $11.52 and $12.57. ATM implied volatility averaged 24.5%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 5.8% (HV 20d: 30.3%). Max pain ranged from $11.20 to $12.40. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 14.67.

Notable Days

2012-07-09: Highest Volume — 900 contracts
2012-07-17: Largest IV spike — 34.9% change
2012-07-17: Highest IV Rank — 27.4%
2012-07-17: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.92	$11.52	$12.57	$12.44	$11.88
Max Pain	$12.26	$11.20	$12.40	$11.80	$12.40
ATM IV	24.5%	18.5%	34.5%	20.3%	27.0%
Expected Move	7.1%	5.3%	9.9%	5.8%	7.7%
HV 20d	30.3%	27.4%	31.8%	29.3%	28.3%
HV 60d	25.6%	24.0%	26.9%	24.5%	26.5%
IV Rank	13.0%	4.5%	27.4%	7.0%	16.6%
IV Percentile	60.2%	7.5%	90.1%	30.6%	77.4%
Term Structure	1.0%	-9.7%	4.2%	2.5%	-0.3%
VWIV	26.4%	20.2%	35.6%	20.2%	35.6%
Skew 25d	5.1%	2.0%	8.8%	2.7%	4.2%
Skew 10d	14.1%	-1.8%	22.8%	3.9%	11.7%
Call IV 25d	23.6%	18.3%	48.1%	19.4%	24.6%
Put IV 25d	28.8%	20.6%	50.1%	22.1%	28.8%
Bid-Ask Spread %	60.91	38.79	157.85	57.56	57.16
Gamma HHI	0.22	0.13	0.59	0.18	0.19
Net GEX	-29.3K	-257.6K	17.2K	12.6K	4.2K
Net DEX	350.3K	-219.9K	1.0M	-177.9K	-34.3K
Net VEX	-1.5K	-1.7K	-1.2K	-1.6K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	14.67	0.00	44.00	44.00	0.00
Total Volume	109.524	0	900	0	130
Total OI	1,184.286	705	1,735	825	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
2012-07-02	$12.44	$11.80	20.3%	5.8%	29.3%	7.0%	0.0%	2.7%	2.5%	12.6K	-177.9K	-1.6K	0.00	57.56	0	0	495	330
2012-07-03	$12.57	$11.80	19.2%	5.5%	29.0%	5.5%	0.0%	2.6%	2.6%	15.7K	-219.0K	-1.6K	0.00	60.42	0	0	495	330
2012-07-05	$12.54	$11.80	18.5%	5.3%	27.4%	4.5%	20.2%	2.3%	2.4%	17.2K	-219.9K	-1.5K	0.00	80.70	0	150	495	330
2012-07-06	$12.02	$11.20	23.6%	7.2%	31.3%	11.8%	23.3%	6.2%	1.1%	-2.0K	-34.7K	-1.5K	0.00	38.79	0	50	495	355
2012-07-09	$11.83	$12.40	23.6%	7.4%	31.8%	11.7%	0.0%	6.4%	1.0%	-10.3K	49.3K	-1.4K	44.00	41.13	20	880	495	380
2012-07-10	$11.72	$12.40	25.0%	7.7%	30.9%	13.7%	0.0%	5.7%	0.7%	-57.2K	902.3K	-1.7K	0.00	45.57	0	0	515	1,185
2012-07-11	$11.65	$12.40	24.6%	7.8%	30.9%	13.1%	0.0%	8.8%	2.0%	-49.7K	967.0K	-1.5K	0.00	67.66	0	100	515	1,185
2012-07-12	$11.56	$12.40	26.4%	7.6%	30.8%	15.7%	0.0%	6.1%	1.2%	-30.4K	1.0M	-1.3K	0.00	50.96	0	25	515	1,160
2012-07-13	$11.78	$12.40	24.4%	7.0%	31.4%	12.9%	0.0%	6.6%	3.1%	-53.4K	950.0K	-1.4K	0.00	65.92	0	0	515	1,160
2012-07-16	$11.70	$12.40	25.6%	7.3%	30.0%	14.6%	0.0%	5.3%	1.8%	-33.8K	1.0M	-1.2K	0.00	51.02	0	0	515	1,160
2012-07-17	$11.73	$12.40	34.5%	9.9%	29.9%	27.4%	0.0%	2.0%	-9.7%	-52.9K	791.2K	-1.6K	0.00	157.85	0	25	515	1,160
2012-07-18	$12.03	$12.40	22.8%	6.5%	31.0%	10.6%	0.0%	4.5%	2.5%	-107.6K	848.3K	-1.4K	0.00	60.02	0	0	515	1,185
2012-07-19	$12.22	$12.40	22.7%	6.5%	31.6%	10.4%	0.0%	4.9%	2.5%	-257.6K	529.0K	-1.5K	0.00	58.75	0	55	515	1,185
2012-07-20	$11.96	$12.40	22.1%	6.3%	30.5%	9.6%	0.0%	4.8%	4.2%	-37.0K	985.1K	-1.4K	0.00	63.16	0	750	495	1,240
2012-07-23	$11.72	$12.40	25.9%	7.4%	30.7%	15.0%	0.0%	7.3%	1.1%	3.9K	25.0K	-1.3K	0.00	47.24	0	0	445	260
2012-07-24	$11.52	$12.40	28.5%	8.2%	30.2%	18.8%	35.6%	7.5%	-0.4%	2.5K	57.1K	-1.2K	0.00	41.11	0	50	445	260
2012-07-25	$11.64	$12.40	27.3%	7.8%	30.3%	17.0%	0.0%	6.3%	0.7%	1.7K	44.5K	-1.3K	0.00	44.73	55	0	445	310
2012-07-26	$11.81	$12.40	24.7%	7.1%	30.7%	13.3%	0.0%	4.7%	1.3%	4.4K	-16.7K	-1.5K	0.00	65.85	0	10	500	310
2012-07-27	$12.13	$12.40	22.0%	6.3%	31.8%	9.5%	0.0%	5.2%	1.3%	8.7K	-87.3K	-1.6K	0.00	69.55	0	0	500	320
2012-07-30	$11.93	$12.40	25.9%	7.4%	28.3%	15.1%	0.0%	3.6%	0.0%	5.5K	-43.2K	-1.5K	0.00	53.97	0	0	500	320
2012-07-31	$11.88	$12.40	27.0%	7.7%	28.3%	16.6%	0.0%	4.2%	-0.3%	4.2K	-34.3K	-1.5K	0.00	57.16	130	0	500	320