IGV Options History — January 2013 In January 2013, IGV traded between $12.82 and $13.55. ATM implied volatility averaged 16.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.5% (HV 20d: 15.1%). Max pain ranged from $11.20 to $13.20. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-01-18 : Highest Volume — 120 contracts2013-01-22 : Largest IV spike — 18.6% change2013-01-14 : Highest IV Rank — 13.3%2013-01-09 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $13.13 $12.82 $13.55 $12.99 $13.35 Max Pain $12.19 $11.20 $13.20 $11.20 $13.20 ATM IV 16.7% 14.5% 18.7% 18.7% 16.3% Expected Move 4.9% 4.2% 5.4% 5.4% 4.7% HV 20d 15.1% 12.8% 16.3% 15.1% 12.8% HV 60d 15.3% 14.4% 16.1% 15.9% 14.7% IV Rank 7.4% 0.0% 13.3% 11.3% 8.8% IV Percentile 2.9% 0.0% 7.1% 7.1% 2.8% Term Structure 1.5% -0.9% 3.5% -0.9% 0.7% VWIV 15.0% 11.3% 17.9% 16.5% 15.3% Skew 25d 1.9% 0.6% 5.6% 0.6% 1.7% Skew 10d 1.6% -3.8% 4.7% -1.2% 1.5% Call IV 25d 16.4% 12.2% 18.8% 18.8% 15.3% Put IV 25d 18.3% 16.0% 20.0% 19.4% 16.9% Bid-Ask Spread % 73.35 48.65 93.13 82.76 68.71 Gamma HHI 0.39 0.18 0.67 0.18 0.67 Net GEX 24.2K 12.6K 37.3K 19.8K 16.4K Net DEX -322.9K -677.8K -99.7K -629.7K -119.2K Net VEX -468 -627 -334 -564 -479 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 18.095 0 120 10 0 Total OI 574.762 345 940 845 400
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 2013-01-02 $12.99 $11.20 18.7% 5.4% 15.1% 11.3% 0.0% 0.6% -0.9% 19.8K -629.7K -564 0.00 82.76 10 0 615 230 2013-01-03 $12.82 $11.20 16.7% 4.8% 16.2% 2.4% 16.5% 1.3% 2.4% 20.2K -574.1K -627 0.00 83.62 55 0 605 230 2013-01-04 $12.90 $11.40 15.7% 5.4% 15.9% 0.0% 0.0% 2.8% 0.9% 28.4K -632.6K -595 0.00 72.77 0 0 660 230 2013-01-07 $12.85 $11.40 15.8% 5.4% 16.1% 0.4% 0.0% 1.7% 2.2% 28.4K -621.9K -550 0.00 48.65 50 0 660 230 2013-01-08 $12.85 $11.40 15.0% 5.3% 16.1% 0.0% 0.0% 1.8% 2.8% 33.1K -677.8K -563 0.00 54.99 0 0 710 230 2013-01-09 $12.98 $11.60 16.5% 5.4% 16.3% 6.2% 0.0% 1.9% 2.3% 29.2K -570.2K -508 0.00 51.01 0 0 590 230 2013-01-10 $13.02 $11.60 17.3% 5.0% 15.3% 9.7% 0.0% 5.6% 3.5% 30.8K -357.5K -453 0.00 78.06 0 0 415 230 2013-01-11 $13.10 $11.60 17.6% 5.0% 15.2% 11.1% 0.0% 1.6% 2.8% 29.7K -381.4K -447 0.00 63.76 0 0 415 230 2013-01-14 $13.14 $11.60 18.1% 5.2% 14.9% 13.3% 0.0% 2.0% 2.3% 29.5K -393.3K -426 0.00 63.94 50 0 415 230 2013-01-15 $13.17 $12.60 17.5% 5.0% 14.8% 10.5% 0.0% 1.4% 3.3% 27.6K -204.4K -381 0.00 67.85 0 0 260 230 2013-01-16 $13.09 $12.60 17.6% 5.1% 14.8% 11.3% 0.0% 1.3% 3.1% 35.7K -188.1K -370 0.00 69.00 0 0 260 230 2013-01-17 $13.15 $12.60 16.7% 4.8% 14.2% 7.3% 0.0% 3.1% 1.6% 31.8K -208.1K -354 0.00 84.75 0 0 260 230 2013-01-18 $13.12 $12.60 14.5% 4.2% 14.3% 0.0% 11.3% 3.7% 3.4% 37.3K -203.3K -334 0.00 93.13 120 0 260 230 2013-01-22 $13.05 $12.60 17.2% 4.9% 14.4% 11.5% 0.0% 1.0% 0.5% 17.7K -127.7K -435 0.00 69.87 0 0 225 120 2013-01-23 $13.19 $12.60 15.8% 4.5% 14.7% 5.5% 0.0% 1.6% -0.1% 19.2K -150.1K -434 0.00 85.02 0 15 225 120 2013-01-24 $13.26 $12.60 17.3% 4.9% 14.6% 11.7% 12.6% 1.8% 0.3% 16.5K -149.6K -460 0.00 76.09 20 0 225 135 2013-01-25 $13.50 $12.60 17.0% 4.9% 15.1% 10.8% 17.9% 1.0% -0.5% 14.7K -185.0K -458 0.00 81.55 0 10 225 135 2013-01-28 $13.55 $12.60 16.5% 4.7% 14.9% 8.6% 16.4% 0.8% -0.4% 13.9K -195.6K -432 0.00 87.13 0 25 225 145 2013-01-29 $13.35 $13.20 15.8% 4.5% 16.0% 5.6% 15.3% 1.1% 0.5% 12.6K -111.2K -469 0.00 77.61 25 0 205 170 2013-01-30 $13.26 $13.20 16.3% 4.7% 16.3% 9.1% 0.0% 2.1% 1.2% 16.3K -99.7K -488 0.00 80.01 0 0 230 170 2013-01-31 $13.35 $13.20 16.3% 4.7% 12.8% 8.8% 0.0% 1.7% 0.7% 16.4K -119.2K -479 0.00 68.71 0 0 230 170
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