IGV Options History — February 2013 In February 2013, IGV traded between $13.22 and $13.58. ATM implied volatility averaged 14.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.4% (HV 20d: 14.1%). Max pain ranged from $13.60 to $13.80. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2013-02-11 : Highest Volume — 165 contracts2013-02-25 : Largest IV spike — 42.1% change2013-02-25 : Highest IV Rank — 29.0%2013-02-25 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $13.40 $13.22 $13.58 $13.52 $13.41 Max Pain $13.66 $13.60 $13.80 $13.60 $13.80 ATM IV 14.5% 12.7% 19.0% 14.3% 14.6% Expected Move 4.2% 3.6% 5.5% 4.4% 4.2% HV 20d 14.1% 12.2% 15.5% 12.2% 15.0% HV 60d 14.0% 13.3% 15.2% 14.9% 14.2% IV Rank 6.0% 0.0% 29.0% 0.0% 8.7% IV Percentile 3.3% 0.0% 24.6% 0.0% 5.6% Term Structure 0.5% -2.0% 1.8% 0.1% 0.4% VWIV 11.7% 9.7% 13.6% 11.9% 13.6% Skew 25d 2.4% 1.4% 3.7% 2.9% 3.7% Skew 10d 3.6% -1.0% 10.8% 3.5% 5.0% Call IV 25d 13.7% 11.8% 17.1% 13.7% 12.0% Put IV 25d 16.1% 14.1% 20.6% 16.6% 15.7% Bid-Ask Spread % 49.64 26.90 76.89 29.69 76.89 Gamma HHI 0.48 0.32 0.74 0.74 0.43 Net GEX 23.4K 13.4K 36.0K 14.4K 34.8K Net DEX -141.2K -225.6K -67.9K -164.9K -118.3K Net VEX -608 -791 -458 -458 -727 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 25.263 0 165 20 0 Total OI 451.316 245 545 400 490
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 2013-02-01 $13.52 $13.60 14.3% 4.4% 12.2% 0.0% 0.0% 2.9% 0.1% 14.4K -164.9K -458 0.00 29.69 20 0 230 170 2013-02-04 $13.32 $13.60 15.8% 4.8% 13.7% 7.2% 0.0% 2.1% 0.3% 18.5K -123.6K -520 0.00 34.26 0 0 250 170 2013-02-05 $13.44 $13.60 13.3% 4.5% 13.8% 0.0% 0.0% 1.6% 0.8% 18.8K -160.6K -493 0.00 33.54 15 0 250 170 2013-02-06 $13.41 $13.60 13.5% 4.4% 13.8% 0.8% 0.0% 1.8% 1.0% 22.3K -158.1K -500 0.00 30.77 0 0 265 170 2013-02-07 $13.34 $13.60 15.5% 4.4% 13.7% 10.1% 0.0% 2.4% 1.1% 24.5K -135.7K -484 0.00 26.90 0 25 265 170 2013-02-08 $13.41 $13.60 15.0% 4.3% 13.8% 7.8% 0.0% 2.5% 1.5% 21.4K -162.5K -500 0.00 34.51 0 0 265 195 2013-02-11 $13.39 $13.60 13.6% 3.9% 13.7% 1.1% 0.0% 3.0% 1.8% 24.6K -152.5K -458 0.00 51.41 165 0 265 195 2013-02-12 $13.46 $13.60 14.1% 4.0% 13.8% 3.5% 0.0% 1.8% 0.3% 26.9K -225.6K -663 0.00 43.38 0 10 350 195 2013-02-13 $13.41 $13.60 13.8% 4.0% 13.9% 2.3% 0.0% 3.0% 1.5% 26.1K -203.3K -637 0.00 62.47 0 0 350 195 2013-02-14 $13.43 $13.60 14.2% 4.1% 13.6% 4.4% 0.0% 2.1% 0.0% 17.5K -217.4K -610 0.00 41.57 0 0 350 195 2013-02-15 $13.48 $13.60 13.6% 3.9% 13.6% 1.2% 0.0% 2.1% 0.5% 16.9K -126.4K -622 0.00 51.62 0 0 270 195 2013-02-19 $13.58 $13.60 12.7% 3.6% 13.7% 0.0% 11.9% 2.4% 0.3% 13.4K -127.4K -592 0.00 65.28 115 0 205 40 2013-02-20 $13.43 $13.60 13.9% 4.0% 14.3% 5.5% 9.7% 1.7% 0.4% 25.7K -137.9K -698 0.00 59.20 0 30 320 40 2013-02-21 $13.25 $13.80 14.4% 4.1% 14.8% 7.8% 13.6% 2.0% 0.4% 19.5K -67.9K -666 0.00 50.55 100 0 320 70 2013-02-22 $13.44 $13.80 13.4% 3.8% 15.5% 3.2% 0.0% 3.3% 0.6% 36.0K -125.8K -791 0.00 70.35 0 0 420 70 2013-02-25 $13.22 $13.80 19.0% 5.5% 15.2% 29.0% 0.0% 3.5% -2.0% 24.3K -84.5K -707 0.00 56.61 0 0 420 70 2013-02-26 $13.23 $13.80 15.9% 4.6% 15.1% 14.7% 0.0% 2.0% -0.1% 24.6K -72.9K -677 0.00 58.71 0 0 420 70 2013-02-27 $13.42 $13.80 14.4% 4.1% 15.2% 7.7% 0.0% 1.4% 0.5% 34.1K -117.9K -741 0.00 65.48 0 0 420 70 2013-02-28 $13.41 $13.80 14.6% 4.2% 15.0% 8.7% 0.0% 3.7% 0.4% 34.8K -118.3K -727 0.00 76.89 0 0 420 70
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