IGV Options History — December 2012 In December 2012, IGV traded between $12.19 and $12.81. ATM implied volatility averaged 20.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 7.7% (HV 20d: 13.0%). Max pain ranged from $11.20 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-07 : Highest Volume — 75 contracts2012-12-13 : Largest IV spike — 13.7% change2012-12-28 : Highest IV Rank — 35.4%2012-12-28 : Largest Expected Move — 6.9%Monthly Statistics Metric Avg Min Max Open Close Price $12.51 $12.19 $12.81 $12.24 $12.61 Max Pain $11.36 $11.20 $12.00 $12.00 $11.20 ATM IV 20.7% 18.3% 23.9% 19.9% 21.8% Expected Move 6.0% 5.6% 6.9% 5.7% 6.2% HV 20d 13.0% 11.3% 16.4% 16.4% 11.7% HV 60d 15.2% 14.6% 16.1% 16.1% 14.7% IV Rank 17.7% 6.6% 35.4% 8.4% 25.4% IV Percentile 31.1% 4.4% 70.2% 22.2% 45.6% Term Structure 0.8% -0.0% 1.6% 0.8% -0.0% Skew 25d 2.5% 1.4% 4.9% 3.3% 2.5% Skew 10d 4.2% -2.4% 7.9% 6.9% 2.4% Call IV 25d 20.2% 18.5% 21.9% 18.5% 20.5% Put IV 25d 22.6% 21.1% 26.9% 21.8% 23.0% Bid-Ask Spread % 51.51 25.88 70.79 53.32 65.11 Gamma HHI 0.19 0.15 0.27 0.16 0.16 Net GEX 29.4K 23.5K 38.9K 27.1K 24.7K Net DEX -471.3K -606.4K -358.5K -358.5K -498.1K Net VEX -1.2K -1.5K -851 -1.5K -851 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 6.75 0 75 0 0 Total OI 927.25 845 1,000 975 845
Daily Data (20 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 2012-12-03 $12.24 $12.00 19.9% 5.7% 16.4% 8.4% 0.0% 3.3% 0.8% 27.1K -358.5K -1.5K 0.00 53.32 0 0 735 240 2012-12-04 $12.28 $12.00 20.6% 5.9% 16.4% 9.9% 0.0% 2.3% 1.2% 26.9K -370.3K -1.5K 0.00 70.79 25 0 735 240 2012-12-05 $12.19 $12.00 20.6% 5.9% 16.2% 10.0% 0.0% 2.1% 0.6% 27.7K -359.6K -1.5K 0.00 53.90 0 0 760 240 2012-12-06 $12.23 $12.00 20.8% 5.9% 14.1% 10.3% 0.0% 2.0% 1.0% 28.1K -374.8K -1.5K 0.00 56.39 0 0 760 240 2012-12-07 $12.24 $11.20 19.1% 6.1% 12.9% 6.6% 0.0% 1.5% 1.2% 28.8K -382.7K -1.5K 0.00 25.88 75 0 760 240 2012-12-10 $12.32 $11.20 19.9% 6.0% 13.0% 8.4% 0.0% 3.3% 1.6% 27.6K -390.2K -1.3K 0.00 43.98 0 0 685 240 2012-12-11 $12.54 $11.20 18.3% 5.8% 13.7% 9.4% 0.0% 2.9% 1.3% 31.5K -477.2K -1.3K 0.00 59.20 0 0 685 240 2012-12-12 $12.48 $11.20 19.0% 6.1% 13.4% 12.7% 0.0% 1.8% 0.5% 30.6K -461.3K -1.3K 0.00 34.71 10 0 685 240 2012-12-13 $12.41 $11.20 21.6% 6.2% 12.8% 24.4% 0.0% 1.6% 0.8% 30.8K -433.5K -1.3K 0.00 30.16 0 0 695 240 2012-12-14 $12.49 $11.20 22.3% 6.4% 12.8% 27.6% 0.0% 2.1% 0.6% 32.0K -464.3K -1.3K 0.00 35.28 0 0 695 240 2012-12-17 $12.62 $11.20 21.6% 6.2% 12.9% 24.5% 0.0% 1.6% 0.4% 35.3K -526.3K -1.1K 0.00 55.51 0 0 695 240 2012-12-18 $12.80 $11.20 19.7% 5.7% 13.0% 15.8% 0.0% 1.4% 1.1% 32.8K -597.9K -1.1K 0.00 56.23 0 0 695 240 2012-12-19 $12.81 $11.20 21.4% 6.1% 12.3% 23.5% 0.0% 2.1% 0.5% 32.8K -606.4K -1.1K 0.00 53.41 0 0 695 240 2012-12-20 $12.78 $11.20 21.2% 6.1% 11.5% 22.6% 0.0% 2.5% 0.7% 36.0K -601.8K -1.0K 0.00 52.36 0 0 695 240 2012-12-21 $12.74 $11.20 19.6% 5.6% 11.4% 15.8% 0.0% 2.3% 1.3% 38.9K -589.6K -1.0K 0.00 60.31 0 0 695 240 2012-12-24 $12.70 $11.20 20.6% 5.9% 11.6% 20.2% 0.0% 3.2% 0.9% 23.8K -516.6K -1.0K 0.00 55.10 0 0 640 230 2012-12-26 $12.60 $11.20 20.5% 5.9% 11.8% 19.7% 0.0% 2.9% 0.9% 25.0K -496.7K -963 0.00 56.55 25 0 640 230 2012-12-27 $12.57 $11.20 21.2% 6.1% 11.3% 22.9% 0.0% 2.8% 0.6% 24.2K -475.5K -946 0.00 51.81 0 0 615 230 2012-12-28 $12.49 $11.20 23.9% 6.9% 11.3% 35.4% 0.0% 4.9% 0.2% 23.5K -444.4K -946 0.00 60.09 0 0 615 230 2012-12-31 $12.61 $11.20 21.8% 6.2% 11.7% 25.4% 0.0% 2.5% -0.0% 24.7K -498.1K -851 0.00 65.11 0 0 615 230
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