IGV Options History — April 2013

In April 2013, IGV traded between $13.18 and $13.75. ATM implied volatility averaged 14.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.5% (HV 20d: 15.9%). Max pain ranged from $11.80 to $13.80. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.06.

Notable Days

2013-04-29: Highest Volume — 420 contracts
2013-04-29: Largest IV spike — 26.7% change
2013-04-15: Highest IV Rank — 29.4%
2013-04-15: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.50	$13.18	$13.75	$13.70	$13.64
Max Pain	$13.25	$11.80	$13.80	$13.80	$11.80
ATM IV	14.4%	12.2%	16.7%	13.1%	14.8%
Expected Move	4.1%	3.5%	4.8%	3.7%	4.3%
HV 20d	15.9%	12.8%	18.2%	13.5%	17.6%
HV 60d	14.7%	13.3%	15.9%	13.7%	15.1%
IV Rank	20.2%	11.6%	29.4%	14.9%	22.0%
IV Percentile	15.1%	6.0%	24.6%	8.3%	19.8%
Term Structure	0.1%	-0.9%	2.4%	0.7%	2.4%
VWIV	11.9%	10.0%	13.8%	13.8%	10.0%
Skew 25d	2.4%	1.7%	3.5%	2.2%	2.9%
Skew 10d	6.6%	0.4%	10.8%	5.8%	7.7%
Call IV 25d	13.4%	11.2%	15.7%	12.1%	13.8%
Put IV 25d	15.9%	12.9%	19.2%	14.3%	16.7%
Bid-Ask Spread %	77.23	64.28	92.57	75.71	88.08
Gamma HHI	0.43	0.28	0.60	0.32	0.33
Net GEX	16.0K	7.4K	38.5K	9.8K	38.5K
Net DEX	-69.3K	-319.3K	21.9K	-91.7K	-319.3K
Net VEX	-549	-2.0K	-361	-608	-2.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.00	10.00	0.00	0.13
Total Volume	32.273	0	420	0	220
Total OI	326.364	280	665	315	665

Daily Data (22 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
2013-04-01	$13.70	$13.80	13.1%	3.7%	13.5%	14.9%	0.0%	2.2%	0.7%	9.8K	-91.7K	-608	0.00	75.71	0	0	220	95
2013-04-02	$13.74	$13.80	12.2%	3.5%	12.8%	11.6%	0.0%	1.8%	1.3%	9.8K	-98.8K	-595	0.00	87.83	0	0	220	95
2013-04-03	$13.53	$13.80	13.9%	4.0%	13.1%	18.1%	0.0%	2.0%	-0.2%	10.0K	-48.1K	-560	0.00	79.83	0	0	220	95
2013-04-04	$13.51	$13.80	13.9%	4.0%	12.8%	18.2%	0.0%	2.1%	0.1%	9.5K	-47.2K	-557	0.00	69.89	0	0	220	95
2013-04-05	$13.38	$13.20	14.2%	4.2%	13.0%	19.6%	0.0%	2.5%	-0.2%	10.5K	-16.7K	-496	0.00	64.28	0	0	220	95
2013-04-08	$13.41	$13.20	14.9%	4.2%	13.1%	22.1%	0.0%	2.3%	-0.2%	11.1K	-17.9K	-490	0.00	65.50	0	0	220	95
2013-04-09	$13.47	$13.20	14.2%	4.1%	13.2%	19.4%	13.8%	2.3%	-0.1%	10.1K	-33.0K	-498	0.00	69.24	10	0	220	95
2013-04-10	$13.75	$13.20	13.9%	4.0%	15.4%	18.3%	0.0%	2.3%	-0.3%	9.8K	-110.2K	-566	0.00	71.33	0	0	230	95
2013-04-11	$13.62	$13.20	14.5%	4.2%	15.6%	20.6%	0.0%	2.3%	-0.2%	9.3K	-74.6K	-545	0.00	68.74	0	0	230	95
2013-04-12	$13.62	$13.20	14.2%	4.1%	15.2%	19.6%	0.0%	1.9%	0.3%	8.9K	-74.1K	-536	0.00	75.31	5	0	230	95
2013-04-15	$13.35	$13.20	16.7%	4.8%	16.4%	29.4%	0.0%	3.5%	-0.7%	11.9K	-15.3K	-474	0.00	70.15	0	0	235	95
2013-04-16	$13.57	$13.20	14.0%	4.0%	17.6%	18.7%	0.0%	2.0%	-0.2%	7.4K	-59.5K	-505	0.00	77.01	0	0	235	95
2013-04-17	$13.34	$13.20	16.0%	4.6%	18.1%	26.6%	0.0%	2.5%	-0.9%	14.0K	-6.5K	-433	0.00	73.40	0	0	235	95
2013-04-18	$13.18	$13.20	16.6%	4.8%	17.9%	28.9%	0.0%	3.2%	-0.5%	15.6K	21.9K	-361	10.00	72.33	5	50	235	95
2013-04-19	$13.23	$13.20	14.9%	4.3%	17.8%	22.2%	0.0%	3.3%	-0.2%	18.3K	20.1K	-368	0.00	77.51	0	0	240	95
2013-04-22	$13.30	$13.20	14.0%	4.0%	17.9%	18.6%	0.0%	3.0%	0.0%	21.0K	-49.1K	-368	0.00	85.89	0	0	235	45
2013-04-23	$13.45	$13.20	14.0%	4.0%	18.1%	18.5%	0.0%	2.6%	0.1%	24.0K	-82.2K	-419	0.00	87.52	0	0	235	45
2013-04-24	$13.55	$13.20	13.6%	3.9%	18.2%	17.0%	0.0%	1.9%	0.1%	25.7K	-100.8K	-438	0.00	81.35	0	0	235	45
2013-04-25	$13.49	$13.20	14.6%	4.2%	18.1%	21.2%	0.0%	2.2%	-0.4%	25.0K	-90.3K	-425	0.00	79.58	0	0	235	45
2013-04-26	$13.52	$13.20	12.6%	3.6%	17.7%	13.2%	0.0%	1.7%	0.8%	27.0K	-95.2K	-424	0.00	92.57	0	0	235	45
2013-04-29	$13.66	$13.20	16.0%	4.6%	17.6%	26.6%	10.0%	2.8%	-0.1%	24.4K	-135.6K	-448	0.15	86.03	365	55	235	45
2013-04-30	$13.64	$11.80	14.8%	4.3%	17.6%	22.0%	0.0%	2.9%	2.4%	38.5K	-319.3K	-2.0K	0.13	88.08	195	25	595	70