IGV Options History — September 2013 In September 2013, IGV traded between $14.72 and $15.59. ATM implied volatility averaged 16.3%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 3.1% (HV 20d: 13.2%). Max pain ranged from $14.60 to $14.60. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-09-16 : Highest Volume — 125 contracts2013-09-04 : Largest IV drop — 56.1% change2013-09-03 : Highest IV Rank — 100.0%2013-09-03 : Largest Expected Move — 11.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.19 $14.72 $15.59 $14.72 $15.26 Max Pain $14.60 $14.60 $14.60 $14.60 $14.60 ATM IV 16.3% 13.6% 38.2% 38.2% 17.0% Expected Move 4.7% 4.0% 11.0% 11.0% 4.9% HV 20d 13.2% 10.9% 15.0% 14.1% 11.3% HV 60d 13.2% 12.3% 14.3% 14.3% 12.3% IV Rank 24.2% 15.0% 100.0% 100.0% 26.7% IV Percentile 39.4% 17.5% 100.0% 100.0% 60.3% Term Structure 0.4% -11.2% 1.8% -11.2% 0.4% Skew 25d 3.1% 2.1% 4.2% 2.3% 4.1% Skew 10d 5.6% -2.1% 14.9% 14.9% 7.2% Call IV 25d 16.0% 13.1% 52.0% 52.0% 15.4% Put IV 25d 19.1% 15.4% 54.3% 54.3% 19.5% Bid-Ask Spread % 74.89 48.33 168.53 168.53 72.31 Gamma HHI 0.20 0.14 0.26 0.14 0.24 Net GEX 23.5K 14.6K 27.1K 14.6K 26.6K Net DEX -359.5K -480.8K -194.9K -194.9K -378.0K Net VEX -1.2K -1.3K -1.1K -1.3K -1.2K 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 7.5 0 125 0 0 Total OI 651 605 730 605 675
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 2013-09-03 $14.72 $14.60 38.2% 11.0% 14.1% 100.0% 0.0% 2.3% -11.2% 14.6K -194.9K -1.3K 0.00 168.53 0 0 460 145 2013-09-04 $14.78 $14.60 16.8% 4.8% 14.0% 25.9% 0.0% 2.4% 0.8% 19.1K -237.5K -1.3K 0.00 72.56 0 0 460 145 2013-09-05 $14.78 $14.60 16.1% 4.6% 13.9% 23.6% 0.0% 3.1% 1.8% 19.7K -244.4K -1.3K 0.00 78.48 0 0 460 145 2013-09-06 $14.76 $0.00 16.0% 4.9% 13.5% 23.3% 0.0% 4.0% 0.8% 19.8K -241.1K -1.3K 0.00 48.33 0 0 460 145 2013-09-09 $14.97 $0.00 15.8% 4.7% 14.4% 22.6% 0.0% 3.6% 0.7% 21.6K -296.6K -1.2K 0.00 53.84 0 0 460 145 2013-09-10 $15.15 $0.00 14.3% 4.5% 14.9% 17.2% 0.0% 4.2% 1.0% 21.8K -339.4K -1.2K 0.00 62.09 0 0 460 145 2013-09-11 $15.20 $0.00 13.6% 4.4% 14.9% 15.0% 0.0% 3.4% 0.7% 22.7K -357.6K -1.1K 0.00 64.47 0 0 460 145 2013-09-12 $15.13 $0.00 15.1% 4.3% 15.0% 20.2% 0.0% 3.3% 1.1% 23.2K -345.8K -1.1K 0.00 65.22 0 0 460 145 2013-09-13 $15.12 $0.00 15.0% 4.3% 12.9% 19.9% 0.0% 3.3% 0.8% 23.4K -344.7K -1.1K 0.00 67.40 0 0 460 145 2013-09-16 $15.20 $0.00 15.6% 4.5% 12.8% 21.8% 0.0% 3.7% 0.9% 23.4K -363.9K -1.1K 0.00 70.07 125 0 460 145 2013-09-17 $15.26 $0.00 15.6% 4.5% 12.3% 21.9% 0.0% 3.5% 0.4% 26.5K -402.7K -1.3K 0.00 71.87 0 0 585 145 2013-09-18 $15.54 $0.00 14.6% 4.2% 13.5% 18.4% 0.0% 3.5% 1.7% 25.1K -461.4K -1.3K 0.00 98.79 0 0 585 145 2013-09-19 $15.59 $0.00 14.2% 4.1% 13.2% 17.1% 0.0% 2.4% 0.8% 25.1K -480.8K -1.3K 0.00 78.53 0 0 585 145 2013-09-20 $15.55 $0.00 14.0% 4.0% 12.9% 16.1% 0.0% 2.2% 1.5% 25.5K -478.3K -1.3K 0.00 70.13 0 0 585 145 2013-09-23 $15.42 $0.00 14.7% 4.2% 13.3% 18.7% 0.0% 2.7% 1.0% 26.4K -419.6K -1.2K 0.00 72.60 0 0 560 115 2013-09-24 $15.27 $0.00 15.1% 4.3% 14.0% 20.2% 0.0% 2.6% 0.4% 27.1K -388.5K -1.2K 0.00 73.94 25 0 560 115 2013-09-25 $15.32 $0.00 14.3% 4.1% 10.9% 17.3% 0.0% 2.4% 1.4% 26.7K -399.6K -1.2K 0.00 73.55 0 0 560 115 2013-09-26 $15.40 $0.00 14.6% 4.2% 10.9% 18.2% 0.0% 2.1% 1.3% 26.4K -417.8K -1.2K 0.00 65.91 0 0 560 115 2013-09-27 $15.34 $0.00 14.8% 4.2% 11.0% 19.0% 0.0% 3.0% 1.0% 26.0K -397.1K -1.2K 0.00 69.19 0 0 560 115 2013-09-30 $15.26 $0.00 17.0% 4.9% 11.3% 26.7% 0.0% 4.1% 0.4% 26.6K -378.0K -1.2K 0.00 72.31 0 0 560 115
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