IGV Options History — September 2012 In September 2012, IGV traded between $12.56 and $13.31. ATM implied volatility averaged 22.3%, placing in the 9.2% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.8% (HV 20d: 14.5%). Max pain ranged from $11.60 to $12.60. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.30.
Notable Days 2012-09-25 : Highest Volume — 90 contracts2012-09-10 : Largest IV spike — 18.5% change2012-09-04 : Highest IV Rank — 14.9%2012-09-04 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $12.97 $12.56 $13.31 $12.67 $12.74 Max Pain $12.44 $11.60 $12.60 $11.60 $12.60 ATM IV 22.3% 19.6% 26.3% 26.3% 21.3% Expected Move 6.4% 5.6% 7.5% 7.5% 6.1% HV 20d 14.5% 11.7% 17.3% 12.6% 16.5% HV 60d 22.9% 20.7% 24.5% 24.4% 21.0% IV Rank 9.2% 5.2% 14.9% 14.9% 7.7% IV Percentile 42.8% 17.9% 73.4% 73.4% 32.9% Term Structure 1.6% 0.4% 2.9% 1.9% 2.1% Skew 25d 2.9% 1.0% 4.9% 4.4% 2.0% Skew 10d 5.4% 1.6% 12.3% 6.9% 10.2% Call IV 25d 21.7% 18.5% 25.1% 24.1% 20.9% Put IV 25d 24.6% 20.5% 29.5% 28.5% 22.9% Bid-Ask Spread % 37.12 17.73 75.70 38.89 45.64 Gamma HHI 0.15 0.14 0.16 0.16 0.15 Net GEX 10.6K 7.4K 15.4K 7.6K 14.7K Net DEX -364.6K -458.5K -252.1K -252.1K -312.5K Net VEX -1.7K -1.8K -1.6K -1.8K -1.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.30 0.00 1.00 0.00 0.80 Total Volume 18.684 0 90 0 55 Total OI 857.105 800 940 800 840
Daily Data (19 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 2012-09-04 $12.67 $11.60 26.3% 7.5% 12.6% 14.9% 0.0% 4.4% 1.9% 7.6K -252.1K -1.8K 0.00 38.89 0 0 485 315 2012-09-05 $12.71 $11.60 26.1% 7.5% 11.7% 14.6% 0.0% 4.3% 1.3% 7.6K -259.2K -1.8K 0.00 33.99 0 0 485 315 2012-09-06 $13.06 $11.60 23.5% 6.8% 15.0% 11.0% 0.0% 1.0% 1.7% 7.4K -346.0K -1.6K 0.00 75.70 70 0 485 315 2012-09-07 $13.02 $12.60 19.7% 6.4% 15.1% 5.4% 0.0% 3.3% 1.7% 8.0K -348.4K -1.6K 0.00 30.04 55 0 485 315 2012-09-10 $12.98 $12.60 23.3% 6.9% 15.2% 10.7% 0.0% 2.8% 1.7% 10.8K -363.1K -1.7K 0.00 21.82 0 0 540 315 2012-09-11 $13.01 $12.60 23.8% 6.9% 15.0% 11.4% 0.0% 3.6% 1.0% 10.8K -369.9K -1.7K 0.00 19.21 10 0 540 315 2012-09-12 $13.06 $12.60 24.6% 7.1% 14.5% 12.4% 0.0% 3.1% 0.7% 11.0K -389.3K -1.7K 0.00 17.73 0 0 550 315 2012-09-13 $13.18 $12.60 22.3% 6.4% 14.4% 9.2% 0.0% 3.0% 1.3% 10.2K -424.8K -1.6K 1.00 24.12 10 10 550 315 2012-09-14 $13.31 $12.60 23.2% 6.7% 13.5% 10.5% 0.0% 1.7% 0.4% 9.5K -458.5K -1.6K 0.00 27.64 0 0 560 325 2012-09-17 $13.24 $12.60 23.4% 6.7% 13.6% 10.8% 0.0% 3.1% 0.9% 9.5K -444.7K -1.6K 0.00 22.21 0 0 560 325 2012-09-18 $13.14 $12.60 21.9% 6.3% 13.6% 8.5% 0.0% 3.3% 1.9% 9.2K -427.8K -1.6K 0.00 29.23 0 0 560 325 2012-09-19 $13.15 $12.60 20.7% 5.9% 13.6% 6.8% 0.0% 3.8% 1.7% 9.1K -431.4K -1.6K 0.00 30.29 0 0 560 325 2012-09-20 $13.13 $12.60 20.3% 5.8% 13.7% 6.3% 0.0% 2.1% 2.0% 9.5K -429.9K -1.6K 0.00 38.16 55 0 560 325 2012-09-21 $13.09 $12.60 19.6% 5.6% 13.5% 5.3% 0.0% 2.6% 2.9% 12.9K -451.9K -1.7K 0.00 38.05 0 0 615 325 2012-09-24 $12.95 $12.60 19.7% 5.6% 14.1% 5.4% 0.0% 3.3% 2.3% 13.1K -352.0K -1.7K 0.00 46.68 0 0 565 315 2012-09-25 $12.71 $12.60 21.4% 6.1% 15.8% 7.9% 0.0% 1.7% 1.8% 12.0K -282.7K -1.7K 0.80 37.35 50 40 565 315 2012-09-26 $12.56 $12.60 23.2% 6.6% 16.4% 10.4% 0.0% 4.9% 1.9% 12.8K -258.1K -1.6K 0.00 61.29 0 0 565 275 2012-09-27 $12.77 $12.60 19.6% 5.6% 17.3% 5.2% 0.0% 1.4% 2.2% 15.4K -324.8K -1.6K 0.00 67.16 0 0 565 275 2012-09-28 $12.74 $12.60 21.3% 6.1% 16.5% 7.7% 0.0% 2.0% 2.1% 14.7K -312.5K -1.6K 0.00 45.64 0 55 565 275
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