IGV Options History — March 2013

In March 2013, IGV traded between $13.56 and $14.12. ATM implied volatility averaged 11.4%, placing in the 6.4% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded below realized volatility by 2.8% (HV 20d: 14.2%). Max pain ranged from $13.80 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2013-03-04: Highest Volume — 195 contracts
2013-03-21: Largest IV spike — 11.8% change
2013-03-25: Highest IV Rank — 12.8%
2013-03-01: Largest Expected Move — 3.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.86	$13.56	$14.12	$13.56	$13.88
Max Pain	$13.97	$13.80	$14.00	$13.80	$14.00
ATM IV	11.4%	9.3%	13.0%	13.0%	12.0%
Expected Move	3.4%	3.0%	3.7%	3.7%	3.5%
HV 20d	14.2%	12.6%	15.4%	15.3%	12.9%
HV 60d	14.4%	14.0%	14.6%	14.3%	14.6%
IV Rank	6.4%	0.0%	12.8%	1.2%	10.9%
IV Percentile	2.4%	0.0%	6.0%	0.4%	5.6%
Term Structure	0.7%	0.3%	1.3%	0.7%	1.0%
VWIV	12.1%	11.7%	12.4%	11.7%	12.4%
Skew 25d	1.9%	1.0%	4.9%	1.9%	2.3%
Skew 10d	2.1%	-2.1%	5.7%	-0.1%	1.4%
Call IV 25d	11.1%	8.2%	12.6%	11.6%	10.6%
Put IV 25d	13.0%	11.7%	16.0%	13.4%	12.9%
Bid-Ask Spread %	64.98	44.77	91.70	85.45	75.31
Gamma HHI	0.41	0.32	0.60	0.50	0.42
Net GEX	18.0K	6.2K	60.6K	45.3K	19.0K
Net DEX	-186.5K	-239.7K	-138.6K	-160.7K	-181.4K
Net VEX	-531	-783	-451	-769	-466
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.50	0.00	0.50
Total Volume	20.25	0	195	0	150
Total OI	305.75	260	490	490	265

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
2013-03-01	$13.56	$13.80	13.0%	3.7%	15.3%	1.2%	0.0%	1.9%	0.7%	45.3K	-160.7K	-769	0.00	85.45	0	0	420	70
2013-03-04	$13.72	$0.00	11.5%	3.6%	15.2%	0.0%	0.0%	3.5%	0.6%	60.6K	-239.7K	-783	0.00	49.16	195	0	420	70
2013-03-05	$13.89	$0.00	11.3%	3.6%	14.5%	0.0%	0.0%	1.1%	0.3%	10.4K	-186.9K	-558	0.00	44.77	5	0	225	70
2013-03-06	$13.96	$0.00	11.1%	3.4%	14.3%	0.0%	0.0%	1.4%	0.5%	10.6K	-201.1K	-511	0.00	47.52	0	15	220	70
2013-03-07	$14.00	$0.00	10.4%	3.4%	14.2%	0.0%	0.0%	1.3%	0.4%	7.6K	-201.7K	-518	0.00	47.59	0	0	220	85
2013-03-08	$14.02	$0.00	9.3%	3.3%	14.0%	0.0%	0.0%	1.0%	0.7%	8.2K	-207.9K	-501	0.00	59.70	0	0	220	85
2013-03-11	$14.05	$0.00	9.9%	3.3%	13.9%	2.5%	0.0%	1.6%	0.6%	8.0K	-212.1K	-497	0.00	65.47	0	0	220	85
2013-03-12	$13.98	$0.00	11.1%	3.3%	14.1%	7.1%	0.0%	1.5%	0.8%	6.2K	-198.2K	-503	0.00	59.27	0	0	220	85
2013-03-13	$14.01	$0.00	11.2%	3.4%	14.1%	7.6%	0.0%	1.4%	0.4%	8.7K	-205.9K	-493	0.00	60.14	0	0	220	85
2013-03-14	$14.12	$0.00	10.5%	3.0%	14.0%	4.9%	0.0%	1.1%	0.6%	11.5K	-225.3K	-451	0.00	70.42	10	0	220	85
2013-03-15	$14.01	$0.00	11.3%	3.3%	14.5%	8.1%	0.0%	1.5%	0.6%	14.0K	-217.1K	-490	0.00	65.11	0	0	230	85
2013-03-18	$13.90	$0.00	11.0%	3.2%	14.9%	6.9%	0.0%	1.5%	0.9%	16.9K	-180.2K	-494	0.00	67.29	5	0	215	45
2013-03-19	$13.74	$0.00	12.3%	3.5%	15.4%	11.9%	11.7%	2.0%	0.5%	17.6K	-155.3K	-535	0.00	54.76	5	0	220	45
2013-03-20	$13.89	$14.00	11.1%	3.2%	15.1%	7.2%	0.0%	1.5%	1.3%	17.6K	-184.3K	-521	0.00	70.99	0	0	225	45
2013-03-21	$13.75	$14.00	12.4%	3.6%	14.8%	12.4%	0.0%	2.7%	0.9%	18.5K	-160.1K	-528	0.00	76.05	0	0	225	45
2013-03-22	$13.76	$14.00	12.0%	3.5%	14.1%	10.9%	0.0%	1.8%	1.0%	19.6K	-165.3K	-517	0.00	63.65	0	0	225	45
2013-03-25	$13.61	$14.00	12.5%	3.6%	13.3%	12.8%	0.0%	1.4%	0.7%	20.1K	-138.6K	-505	0.00	67.37	0	0	225	45
2013-03-26	$13.66	$14.00	12.0%	3.4%	13.3%	10.6%	0.0%	4.9%	1.0%	20.5K	-148.2K	-503	0.00	91.70	20	0	225	45
2013-03-27	$13.74	$14.00	12.4%	3.6%	12.6%	12.3%	0.0%	2.1%	0.6%	19.7K	-159.7K	-480	0.00	77.92	0	0	220	45
2013-03-28	$13.88	$14.00	12.0%	3.5%	12.9%	10.9%	12.4%	2.3%	1.0%	19.0K	-181.4K	-466	0.50	75.31	100	50	220	45