IGV Options History — November 2012

In November 2012, IGV traded between $11.62 and $12.38. ATM implied volatility averaged 23.7%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.7% (HV 20d: 17.0%). Max pain ranged from $12.00 to $12.20. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.12.

Notable Days

2012-11-29: Highest Volume — 145 contracts
2012-11-29: Largest IV drop — 16.2% change
2012-11-05: Highest IV Rank — 16.3%
2012-11-14: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.04	$11.62	$12.38	$12.36	$12.32
Max Pain	$12.02	$12.00	$12.20	$12.20	$12.00
ATM IV	23.7%	18.2%	27.5%	24.5%	20.4%
Expected Move	6.8%	5.2%	7.7%	7.0%	5.8%
HV 20d	17.0%	15.9%	18.3%	16.0%	16.4%
HV 60d	15.6%	14.8%	16.2%	15.0%	16.1%
IV Rank	11.9%	4.6%	16.3%	12.0%	9.5%
IV Percentile	54.5%	4.0%	82.5%	66.7%	27.0%
Term Structure	0.4%	-0.7%	1.4%	-0.5%	0.6%
VWIV	20.0%	20.0%	20.0%	20.0%	20.0%
Skew 25d	2.7%	1.0%	4.3%	3.4%	2.5%
Skew 10d	4.7%	2.0%	12.3%	12.3%	5.0%
Call IV 25d	22.2%	17.4%	25.5%	23.4%	19.3%
Put IV 25d	24.9%	20.0%	27.8%	26.8%	21.8%
Bid-Ask Spread %	36.11	17.94	68.45	68.45	50.98
Gamma HHI	0.19	0.11	0.46	0.11	0.16
Net GEX	8.2K	-17.7K	27.5K	11.7K	27.5K
Net DEX	-184.4K	-385.4K	4.4K	-255.5K	-385.4K
Net VEX	-1.5K	-1.8K	-1.1K	-1.8K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	0.61	0.00	0.61
Total Volume	19.524	0	145	0	0
Total OI	1,014.286	640	1,210	1,205	975

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
2012-11-01	$12.36	$12.20	24.5%	7.0%	16.0%	12.0%	0.0%	3.4%	-0.5%	11.7K	-255.5K	-1.8K	0.00	68.45	0	0	755	450
2012-11-02	$12.28	$12.20	26.1%	7.5%	15.9%	14.2%	0.0%	2.3%	-0.7%	9.9K	-233.2K	-1.7K	0.00	62.49	0	0	755	450
2012-11-05	$12.27	$12.00	27.5%	7.4%	15.9%	16.3%	0.0%	3.6%	-0.5%	9.9K	-225.2K	-1.7K	0.00	17.94	15	0	755	450
2012-11-06	$12.38	$12.00	26.2%	6.9%	16.1%	14.4%	0.0%	4.3%	0.2%	13.6K	-272.5K	-1.7K	0.00	20.35	0	5	760	450
2012-11-07	$12.11	$12.00	25.5%	7.3%	17.7%	13.4%	0.0%	3.0%	-0.4%	7.3K	-176.4K	-1.7K	0.00	19.32	0	0	760	450
2012-11-08	$11.93	$12.00	24.2%	7.4%	17.5%	11.6%	0.0%	2.5%	-0.0%	2.0K	-110.4K	-1.6K	0.00	25.45	0	0	760	450
2012-11-09	$11.92	$12.00	24.9%	7.5%	17.4%	12.6%	0.0%	2.6%	0.2%	2.0K	-111.7K	-1.6K	0.00	26.84	0	0	760	450
2012-11-12	$11.84	$12.00	25.2%	7.3%	17.3%	13.0%	0.0%	1.5%	0.4%	-1.1K	-91.3K	-1.5K	0.00	26.77	0	0	760	450
2012-11-13	$11.75	$12.00	26.5%	7.1%	17.3%	14.9%	0.0%	1.4%	0.5%	-8.1K	-45.1K	-1.5K	0.00	36.61	0	0	760	450
2012-11-14	$11.62	$12.00	27.3%	7.7%	17.2%	16.0%	0.0%	1.5%	0.8%	-17.7K	4.4K	-1.4K	0.00	28.47	0	0	760	450
2012-11-15	$11.66	$12.00	26.5%	7.6%	16.2%	14.9%	0.0%	1.0%	0.6%	-12.0K	-26.2K	-1.3K	0.00	28.79	0	0	760	450
2012-11-16	$11.77	$12.00	24.5%	7.0%	16.2%	12.0%	0.0%	2.2%	0.7%	-15.3K	-65.2K	-1.4K	0.00	26.34	0	0	760	450
2012-11-19	$11.92	$12.00	21.1%	6.0%	17.0%	7.0%	0.0%	3.2%	1.1%	14.8K	-185.3K	-1.3K	0.00	40.70	55	0	565	130
2012-11-20	$11.82	$12.00	21.6%	6.2%	16.0%	7.8%	0.0%	2.9%	1.4%	11.9K	-147.3K	-1.1K	0.00	44.81	0	0	510	130
2012-11-21	$12.02	$12.00	21.7%	6.2%	17.2%	8.0%	20.0%	3.4%	1.0%	13.0K	-185.0K	-1.2K	0.00	32.07	65	0	510	130
2012-11-23	$12.14	$12.00	20.7%	5.9%	17.6%	10.3%	0.0%	3.7%	0.6%	18.3K	-231.4K	-1.3K	0.00	37.01	0	0	575	130
2012-11-26	$12.15	$12.00	20.5%	5.9%	17.5%	9.6%	0.0%	3.4%	0.9%	18.4K	-234.6K	-1.3K	0.00	44.15	70	0	575	130
2012-11-27	$12.08	$12.00	22.6%	6.5%	17.6%	14.4%	0.0%	3.1%	0.3%	21.3K	-270.2K	-1.3K	0.00	35.66	0	55	645	130
2012-11-28	$12.22	$12.00	21.8%	6.2%	18.1%	12.5%	0.0%	2.3%	0.4%	21.1K	-301.4K	-1.4K	0.00	35.02	0	0	645	185
2012-11-29	$12.32	$12.00	18.2%	5.2%	18.3%	4.6%	0.0%	2.5%	1.0%	24.2K	-324.1K	-1.3K	0.61	50.02	90	55	645	185
2012-11-30	$12.32	$12.00	20.4%	5.8%	16.4%	9.5%	0.0%	2.5%	0.6%	27.5K	-385.4K	-1.6K	0.00	50.98	0	0	735	240