IGV Options History — October 2012

In October 2012, IGV traded between $12.06 and $12.74. ATM implied volatility averaged 23.4%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 8.7% (HV 20d: 14.7%). Max pain ranged from $12.20 to $12.60. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.16.

Notable Days

2012-10-03: Highest Volume — 350 contracts
2012-10-09: Largest IV spike — 15.6% change
2012-10-31: Highest IV Rank — 16.0%
2012-10-31: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.36	$12.06	$12.74	$12.62	$12.09
Max Pain	$12.26	$12.20	$12.60	$12.60	$12.20
ATM IV	23.4%	19.7%	27.3%	22.6%	27.3%
Expected Move	6.8%	5.6%	7.8%	6.5%	7.8%
HV 20d	14.7%	13.0%	16.6%	16.6%	13.5%
HV 60d	17.4%	14.5%	19.2%	19.2%	14.5%
IV Rank	10.5%	5.1%	16.0%	9.6%	16.0%
IV Percentile	54.4%	19.4%	82.5%	48.8%	82.5%
Term Structure	0.6%	-1.9%	2.9%	0.9%	-1.9%
VWIV	24.3%	19.5%	31.8%	23.6%	31.8%
Skew 25d	4.1%	-1.4%	6.6%	2.9%	4.8%
Skew 10d	10.3%	2.0%	19.2%	3.5%	2.0%
Call IV 25d	22.4%	19.5%	28.5%	20.9%	24.6%
Put IV 25d	26.5%	21.0%	29.8%	23.8%	29.4%
Bid-Ask Spread %	47.50	28.94	91.30	54.46	91.30
Gamma HHI	0.12	0.10	0.15	0.15	0.12
Net GEX	9.5K	-2.8K	21.9K	12.5K	4.7K
Net DEX	-192.2K	-309.3K	-96.1K	-270.0K	-153.6K
Net VEX	-1.9K	-2.1K	-1.6K	-1.6K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.00	0.42	0.08	0.36
Total Volume	36.429	0	350	0	0
Total OI	1,097.619	895	1,205	895	1,205

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
2012-10-01	$12.62	$12.60	22.6%	6.5%	16.6%	9.6%	0.0%	2.9%	0.9%	12.5K	-270.0K	-1.6K	0.00	54.46	0	0	565	330
2012-10-02	$12.67	$12.60	22.2%	6.4%	16.6%	8.7%	0.0%	2.7%	2.0%	13.0K	-286.1K	-1.6K	0.00	48.06	0	0	565	330
2012-10-03	$12.74	$12.60	22.3%	6.4%	16.6%	8.8%	23.6%	1.8%	1.4%	14.1K	-309.3K	-1.6K	0.08	54.82	325	25	565	330
2012-10-04	$12.73	$12.20	19.7%	5.6%	13.0%	5.1%	19.5%	1.5%	2.9%	11.7K	-269.7K	-1.8K	0.42	59.70	120	50	590	355
2012-10-05	$12.62	$12.20	21.3%	6.5%	13.3%	7.3%	22.2%	6.6%	2.2%	16.6K	-258.0K	-2.1K	0.00	47.15	5	0	700	405
2012-10-08	$12.52	$12.20	20.8%	6.8%	13.4%	6.7%	0.0%	4.6%	0.5%	14.2K	-228.7K	-2.0K	0.00	28.94	0	0	705	405
2012-10-09	$12.31	$12.20	24.1%	7.3%	14.4%	11.4%	0.0%	6.2%	0.7%	9.3K	-150.4K	-2.0K	0.00	46.59	0	0	705	405
2012-10-10	$12.26	$12.20	21.2%	7.0%	14.2%	7.2%	0.0%	3.8%	0.1%	6.7K	-131.7K	-1.9K	0.00	35.93	0	0	705	405
2012-10-11	$12.32	$12.20	23.3%	6.7%	13.8%	10.3%	0.0%	3.7%	0.9%	8.2K	-151.5K	-1.9K	0.00	35.55	0	0	705	405
2012-10-12	$12.38	$12.20	23.4%	6.7%	13.3%	10.4%	0.0%	4.7%	1.1%	8.8K	-167.6K	-1.9K	0.00	33.51	0	0	705	405
2012-10-15	$12.45	$12.20	22.9%	6.6%	13.7%	9.7%	0.0%	5.5%	1.3%	10.6K	-192.1K	-1.8K	0.08	38.21	60	5	705	405
2012-10-16	$12.62	$12.20	21.9%	6.3%	14.8%	8.3%	0.0%	3.8%	0.9%	21.9K	-296.6K	-2.0K	0.00	44.40	0	0	765	410
2012-10-17	$12.42	$12.20	23.0%	6.6%	15.6%	9.8%	0.0%	4.3%	0.5%	11.6K	-215.6K	-2.0K	0.00	38.90	10	0	765	410
2012-10-18	$12.34	$12.20	23.0%	6.6%	15.7%	9.8%	0.0%	-1.4%	1.5%	5.9K	-188.5K	-2.0K	0.00	58.64	0	0	775	410
2012-10-19	$12.12	$12.20	23.5%	6.7%	16.6%	10.6%	0.0%	6.1%	0.9%	-2.8K	-96.1K	-1.9K	0.00	50.73	0	25	775	410
2012-10-22	$12.09	$12.20	24.2%	6.9%	16.4%	11.6%	0.0%	5.6%	0.2%	6.5K	-109.2K	-1.8K	0.00	58.94	0	0	700	385
2012-10-23	$12.13	$12.20	25.4%	7.3%	15.5%	13.3%	0.0%	5.3%	0.1%	7.3K	-129.0K	-1.9K	0.36	45.95	55	20	700	385
2012-10-24	$12.09	$12.20	26.9%	7.7%	15.2%	15.4%	31.8%	4.8%	-0.9%	7.6K	-154.8K	-2.0K	0.00	43.14	0	65	755	395
2012-10-25	$12.06	$12.20	26.9%	7.7%	13.6%	15.4%	0.0%	4.7%	-1.1%	5.5K	-141.9K	-2.0K	0.00	44.45	0	0	755	450
2012-10-26	$12.06	$12.20	26.2%	7.5%	13.6%	14.5%	0.0%	4.4%	-0.4%	5.0K	-135.6K	-2.0K	0.00	38.16	0	0	755	450
2012-10-31	$12.09	$12.20	27.3%	7.8%	13.5%	16.0%	0.0%	4.8%	-1.9%	4.7K	-153.6K	-1.8K	0.00	91.30	0	0	755	450