IGV Options History — May 2013

In May 2013, IGV traded between $13.55 and $14.33. ATM implied volatility averaged 15.1%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 1.1% (HV 20d: 14.0%). 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 22 of 22 days. Put/call ratio averaged 0.08.

Notable Days

  • 2013-05-01: Highest Volume — 305 contracts
  • 2013-05-16: Largest IV spike — 33.0% change
  • 2013-05-01: Highest IV Rank — 34.9%
  • 2013-05-01: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.99$13.55$14.33$13.55$13.90
Max Pain$13.53$11.80$13.80$11.80$13.80
ATM IV15.1%11.7%18.1%18.1%17.2%
Expected Move4.6%4.3%5.2%5.2%4.9%
HV 20d14.0%10.4%17.3%16.8%13.6%
HV 60d14.9%14.3%15.4%14.8%14.6%
IV Rank22.8%9.5%34.9%34.9%31.2%
IV Percentile22.1%4.8%36.9%31.3%36.9%
Term Structure0.9%0.1%2.2%2.0%0.3%
VWIV17.8%17.8%17.8%17.8%17.8%
Skew 25d2.9%1.0%22.0%2.5%2.4%
Skew 10d5.0%-4.1%30.0%10.9%6.4%
Call IV 25d15.4%13.6%17.5%17.5%15.8%
Put IV 25d18.3%15.9%37.4%20.0%18.1%
Bid-Ask Spread %64.0129.90124.5379.2474.08
Gamma HHI0.300.260.340.300.34
Net GEX46.3K38.2K66.7K40.6K41.6K
Net DEX-548.0K-788.6K-349.9K-385.9K-389.9K
Net VEX-2.7K-3.3K-2.2K-2.6K-2.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.500.090.00
Total Volume49.09103053050
Total OI984.3188201,170860820

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$13.55$11.8018.1%5.2%16.8%34.9%17.8%2.5%2.0%40.6K-385.9K-2.6K0.0979.242802576595
2013-05-02$13.71$11.8016.6%4.8%17.3%28.9%0.0%1.9%1.8%61.7K-571.0K-3.2K0.3383.7375251,000120
2013-05-03$13.88$11.8016.0%4.6%17.3%26.5%0.0%1.8%1.9%60.1K-666.6K-3.3K0.0075.99001,025145
2013-05-06$13.93$13.8013.7%4.6%17.3%17.5%0.0%1.8%0.5%66.7K-696.9K-3.2K0.5041.3750251,025145
2013-05-07$13.92$13.8013.0%4.3%17.3%14.8%0.0%1.9%0.1%64.1K-638.7K-3.1K0.0041.0018001,000170
2013-05-08$13.95$13.8013.6%4.5%15.8%16.9%0.0%2.1%0.1%45.5K-517.7K-2.7K0.0034.1400830170
2013-05-09$13.84$13.8014.3%4.6%15.6%19.8%0.0%1.6%0.1%48.5K-458.0K-2.7K0.0029.90500830170
2013-05-10$14.01$13.8013.6%4.5%16.1%16.9%0.0%1.9%0.1%40.6K-524.6K-2.5K0.0035.6000780170
2013-05-13$13.93$13.8015.4%4.7%14.4%24.1%0.0%1.5%1.2%42.5K-486.7K-2.4K0.0054.111650780170
2013-05-14$14.09$13.8013.5%4.7%13.8%16.8%0.0%1.5%0.5%38.2K-663.7K-3.0K0.0041.60250945170
2013-05-15$14.16$13.8011.7%4.5%11.8%9.5%0.0%1.3%0.5%39.3K-694.6K-2.9K0.0049.2100930170
2013-05-16$14.23$13.8015.6%4.5%10.4%24.8%0.0%1.3%0.7%49.8K-734.9K-2.9K0.0051.93200930170
2013-05-17$14.33$13.8014.8%4.3%10.5%21.9%0.0%1.5%2.2%42.5K-788.6K-2.9K0.0069.9700930170
2013-05-20$14.27$13.8015.3%4.4%10.9%23.7%0.0%1.0%1.2%41.3K-638.7K-2.8K0.0077.11100830120
2013-05-21$14.24$13.8015.4%4.4%10.6%24.3%0.0%1.4%0.7%40.7K-617.3K-2.8K0.0074.1800820120
2013-05-22$13.98$13.8015.6%4.5%12.8%24.9%0.0%2.5%1.4%44.4K-487.1K-2.8K0.0057.18250820120
2013-05-23$13.95$13.8015.6%4.5%12.7%25.1%0.0%22.0%0.2%46.5K-463.1K-2.7K0.00124.531000800120
2013-05-24$13.85$13.8015.8%4.5%13.1%25.9%0.0%3.4%0.8%40.5K-349.9K-2.3K0.0082.1100700120
2013-05-28$14.01$13.8015.4%4.4%13.2%24.0%0.0%3.6%1.2%41.2K-428.1K-2.3K0.0077.55250700120
2013-05-29$13.94$13.8015.6%4.5%13.3%25.1%0.0%3.0%0.9%42.0K-400.0K-2.2K0.0078.9200700120
2013-05-30$14.06$13.8015.6%4.5%13.3%24.8%0.0%2.1%1.1%40.9K-454.1K-2.2K0.0074.8300700120
2013-05-31$13.90$13.8017.2%4.9%13.6%31.2%0.0%2.4%0.3%41.6K-389.9K-2.2K0.0074.0800700120