IGV Options History — August 2012

In August 2012, IGV traded between $11.76 and $12.79. ATM implied volatility averaged 22.6%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 0.7% (HV 20d: 21.8%). Max pain ranged from $11.60 to $12.40. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2012-08-21: Highest Volume — 105 contracts
  • 2012-08-03: Largest IV drop — 11.7% change
  • 2012-08-01: Highest IV Rank — 15.5%
  • 2012-08-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.47$11.76$12.79$11.78$12.60
Max Pain$11.70$11.60$12.40$12.40$11.60
ATM IV22.6%19.3%26.2%26.2%24.9%
Expected Move6.7%5.8%7.5%7.5%7.1%
HV 20d21.8%13.3%27.9%27.9%13.3%
HV 60d26.2%24.4%27.2%26.5%24.4%
IV Rank9.7%4.8%15.5%15.5%12.9%
IV Percentile44.4%11.9%72.2%72.2%66.7%
Term Structure2.9%-0.2%4.7%-0.2%2.5%
VWIV26.0%26.0%26.0%26.0%26.0%
Skew 25d3.8%1.9%6.0%6.0%4.1%
Skew 10d7.0%3.8%16.2%16.2%6.6%
Call IV 25d22.1%20.3%24.1%24.1%23.3%
Put IV 25d25.9%22.4%30.1%30.1%27.4%
Bid-Ask Spread %33.1818.4372.3860.3029.44
Gamma HHI0.230.160.520.160.19
Net GEX12.4K2.1K54.0K2.5K5.1K
Net DEX-141.9K-320.2K17.4K17.4K-161.3K
Net VEX-1.4K-1.6K-1.2K-1.3K-1.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.002.500.000.00
Total Volume15.21701050100
Total OI743.043575865790700

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$11.78$12.4026.2%7.5%27.9%15.5%0.0%6.0%-0.2%2.5K17.4K-1.3K0.0060.3000470320
2012-08-02$11.76$12.4024.5%7.0%27.9%13.0%0.0%3.5%1.2%2.1K16.7K-1.3K0.0052.6200470320
2012-08-03$12.11$12.4021.6%6.2%26.2%8.9%0.0%1.9%2.3%7.9K-52.0K-1.4K0.0072.3800470320
2012-08-06$12.28$11.6021.4%6.8%25.9%8.7%0.0%5.5%3.1%11.3K-88.0K-1.3K0.0043.9300470320
2012-08-07$12.45$11.6023.1%6.9%25.8%10.4%0.0%2.9%2.8%16.8K-140.4K-1.4K0.0018.4300470320
2012-08-08$12.41$11.6021.9%6.8%25.7%8.7%0.0%3.6%2.5%15.9K-127.6K-1.3K0.0020.1800470320
2012-08-09$12.46$11.6019.6%6.4%25.4%5.3%0.0%4.4%3.2%17.8K-135.9K-1.3K0.0031.7500470320
2012-08-10$12.51$11.6019.3%6.1%24.8%4.8%0.0%3.4%3.6%19.6K-146.9K-1.3K0.0030.9300470320
2012-08-13$12.45$11.6021.3%6.4%24.7%7.7%0.0%3.6%3.5%17.0K-124.2K-1.3K0.0024.1300470320
2012-08-14$12.35$11.6021.4%6.8%25.0%7.9%0.0%3.7%3.3%10.5K-91.6K-1.2K0.0023.06100470320
2012-08-15$12.49$11.6021.3%6.9%23.7%7.7%0.0%2.7%3.4%18.5K-132.3K-1.3K0.0025.43550480320
2012-08-16$12.72$11.6022.4%6.4%24.0%9.3%0.0%3.0%3.9%42.3K-273.2K-1.4K2.5026.751025535320
2012-08-17$12.79$11.6020.3%5.8%22.3%6.3%26.0%2.9%4.7%54.0K-320.2K-1.4K0.0039.53025545320
2012-08-20$12.69$11.6022.1%6.3%20.9%9.0%0.0%3.9%2.6%6.6K-195.9K-1.4K0.0029.1400365210
2012-08-21$12.71$11.6023.3%6.7%19.4%10.6%0.0%3.4%2.4%6.4K-196.3K-1.4K0.0029.980105365210
2012-08-22$12.73$11.6021.8%6.3%19.4%8.5%0.0%3.8%3.3%3.9K-172.0K-1.6K0.0031.3400365315
2012-08-23$12.66$11.6023.6%6.8%19.3%11.1%0.0%3.5%3.0%3.8K-158.7K-1.6K0.0024.1700365315
2012-08-24$12.61$11.6022.1%6.4%17.3%9.0%0.0%4.3%4.2%4.1K-149.5K-1.6K0.0031.7100365315
2012-08-27$12.62$11.6023.8%6.8%15.9%11.3%0.0%4.3%3.0%4.1K-153.6K-1.5K0.0030.45200365315
2012-08-28$12.62$11.6023.1%6.6%15.7%10.4%0.0%4.2%3.3%5.3K-167.6K-1.6K0.0035.3300385315
2012-08-29$12.66$11.6024.1%6.9%15.1%11.8%0.0%4.0%2.6%5.1K-172.6K-1.6K0.0027.0400385315
2012-08-30$12.48$11.6025.8%7.4%16.3%14.2%0.0%4.5%2.7%5.0K-138.0K-1.6K0.0025.2000385315
2012-08-31$12.60$11.6024.9%7.1%13.3%12.9%0.0%4.1%2.5%5.1K-161.3K-1.5K0.0029.441000385315