IGV Options History — June 2013 In June 2013, IGV traded between $13.18 and $13.91. ATM implied volatility averaged 18.8%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 3.5% (HV 20d: 15.3%). Max pain ranged from $13.60 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-06-18 : Highest Volume — 170 contracts2013-06-18 : Largest IV spike — 73.1% change2013-06-18 : Highest IV Rank — 84.7%2013-06-18 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $13.62 $13.18 $13.91 $13.87 $13.60 Max Pain $13.71 $13.60 $14.00 $13.80 $13.60 ATM IV 18.8% 15.2% 30.7% 17.3% 17.1% Expected Move 5.4% 4.7% 8.8% 5.0% 4.9% HV 20d 15.3% 12.9% 17.9% 12.9% 17.5% HV 60d 15.4% 14.5% 16.0% 14.5% 16.0% IV Rank 37.6% 23.5% 84.7% 31.8% 30.8% IV Percentile 45.7% 25.0% 99.6% 38.5% 38.5% Term Structure -0.2% -14.4% 1.1% 0.1% 1.0% VWIV 17.8% 16.0% 20.7% 16.0% 17.8% Skew 25d 3.8% 1.2% 4.9% 3.5% 2.9% Skew 10d 9.8% -1.7% 13.9% 13.9% 9.4% Call IV 25d 17.6% 14.3% 42.0% 15.6% 15.9% Put IV 25d 21.4% 18.8% 43.2% 19.1% 18.8% Bid-Ask Spread % 68.40 49.40 162.45 62.83 68.58 Gamma HHI 0.32 0.19 0.48 0.36 0.19 Net GEX 40.2K 17.4K 63.5K 43.8K 23.9K Net DEX -233.4K -385.2K -47.9K -360.4K -180.3K Net VEX -1.8K -2.1K -1.3K -2.1K -1.5K 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 25.25 0 170 0 25 Total OI 765.5 570 905 820 580
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 2013-06-03 $13.87 $13.80 17.3% 5.0% 12.9% 31.8% 0.0% 3.5% 0.1% 43.8K -360.4K -2.1K 0.00 62.83 0 0 700 120 2013-06-04 $13.72 $13.80 17.1% 4.9% 13.4% 30.7% 0.0% 4.4% 0.6% 44.0K -284.8K -2.0K 0.00 68.11 0 0 700 120 2013-06-05 $13.60 $13.80 18.8% 5.4% 13.7% 37.5% 0.0% 3.3% -0.4% 41.6K -239.9K -2.0K 0.00 72.88 0 0 700 120 2013-06-06 $13.70 $13.80 18.6% 5.3% 14.0% 36.7% 0.0% 4.9% 0.5% 43.5K -273.4K -2.0K 0.00 67.61 10 0 700 120 2013-06-07 $13.91 $0.00 15.2% 4.7% 14.9% 23.5% 0.0% 4.0% 1.0% 48.6K -385.2K -2.1K 0.00 49.40 15 0 700 120 2013-06-10 $13.83 $0.00 15.7% 4.9% 14.3% 25.4% 16.0% 3.5% 0.8% 52.6K -341.9K -2.0K 0.00 54.44 100 0 700 120 2013-06-11 $13.64 $14.00 17.7% 5.1% 15.0% 33.2% 0.0% 4.0% 1.1% 55.1K -278.9K -2.0K 0.00 59.07 0 0 780 120 2013-06-12 $13.56 $14.00 18.8% 5.5% 14.4% 37.6% 0.0% 3.9% 0.4% 51.5K -228.3K -1.9K 0.00 58.19 0 0 780 120 2013-06-13 $13.69 $14.00 18.2% 5.2% 14.7% 35.4% 18.2% 4.1% 0.8% 62.5K -291.9K -2.0K 0.00 60.47 5 0 780 120 2013-06-14 $13.58 $13.60 18.3% 5.2% 14.6% 35.7% 16.4% 4.1% 0.1% 60.2K -227.5K -1.9K 0.00 65.89 100 0 785 120 2013-06-17 $13.75 $13.60 17.7% 5.1% 15.2% 33.5% 0.0% 3.8% 0.4% 63.5K -298.4K -1.8K 0.00 63.97 50 0 720 120 2013-06-18 $13.82 $13.60 30.7% 8.8% 15.4% 84.7% 0.0% 1.2% -14.4% 41.5K -351.6K -1.9K 0.00 162.45 170 0 720 120 2013-06-19 $13.78 $13.60 16.9% 4.8% 15.4% 30.1% 0.0% 4.0% 1.0% 44.7K -245.9K -1.7K 0.00 60.55 0 0 620 120 2013-06-20 $13.48 $13.60 21.4% 6.1% 16.1% 48.1% 20.7% 4.6% -0.0% 25.1K -91.0K -1.5K 0.00 62.93 5 0 620 120 2013-06-21 $13.34 $13.60 19.5% 5.6% 16.4% 40.3% 0.0% 3.9% 0.6% 19.4K -47.9K -1.4K 0.00 69.07 0 0 625 120 2013-06-24 $13.18 $13.60 20.8% 6.0% 16.7% 45.5% 0.0% 2.9% 0.8% 17.4K -100.2K -1.3K 0.00 60.91 0 0 505 70 2013-06-25 $13.27 $13.60 19.6% 5.6% 16.3% 40.8% 0.0% 3.5% 0.9% 19.0K -99.3K -1.3K 0.00 60.55 15 0 505 70 2013-06-26 $13.42 $13.60 18.4% 5.3% 17.0% 35.9% 17.8% 4.8% 0.7% 21.1K -142.5K -1.4K 0.00 70.63 10 0 500 70 2013-06-27 $13.65 $13.60 18.1% 5.2% 17.9% 34.8% 0.0% 4.7% 0.8% 24.3K -198.0K -1.6K 0.00 69.37 0 0 510 70 2013-06-28 $13.60 $13.60 17.1% 4.9% 17.5% 30.8% 0.0% 2.9% 1.0% 23.9K -180.3K -1.5K 0.00 68.58 0 25 510 70
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