IGV Options History — November 2013 In November 2013, IGV traded between $15.26 and $15.82. ATM implied volatility averaged 18.0%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 5.7% (HV 20d: 12.4%). Max pain ranged from $14.00 to $15.60. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-11-11 : Highest Volume — 110 contracts2013-11-08 : Largest IV spike — 264.0% change2013-11-08 : Highest IV Rank — 100.0%2013-11-26 : Largest Expected Move — 8.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.60 $15.26 $15.82 $15.26 $15.73 Max Pain $15.52 $14.00 $15.60 $14.00 $15.60 ATM IV 18.0% 12.9% 54.4% 13.8% 15.3% Expected Move 4.8% 3.8% 8.8% 4.0% 4.4% HV 20d 12.4% 11.0% 15.2% 15.2% 12.6% HV 60d 13.9% 13.4% 14.5% 13.9% 13.6% IV Rank 20.8% 8.1% 100.0% 15.7% 13.4% IV Percentile 43.2% 12.3% 100.0% 21.4% 49.6% Term Structure 0.3% -13.8% 3.9% 1.2% 3.9% Skew 25d 2.1% -2.9% 3.1% 3.1% 2.8% Skew 10d 7.6% 1.5% 12.9% 2.8% 4.0% Call IV 25d 16.8% 11.9% 40.9% 12.4% 11.9% Put IV 25d 18.9% 14.7% 42.5% 15.4% 14.7% Bid-Ask Spread % 78.19 42.52 164.77 42.52 78.91 Gamma HHI 0.32 0.25 0.43 0.27 0.30 Net GEX 25.2K 16.8K 40.0K 40.0K 23.7K Net DEX -343.8K -538.1K -138.9K -498.4K -177.0K Net VEX -804 -957 -618 -827 -780 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 8 0 110 0 0 Total OI 594.25 430 755 755 465
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 2013-11-01 $15.26 $14.00 13.8% 4.0% 15.2% 15.7% 0.0% 3.1% 1.2% 40.0K -498.4K -827 0.00 42.52 0 0 640 115 2013-11-04 $15.42 $15.60 13.2% 4.3% 14.9% 13.4% 0.0% 2.6% 1.9% 34.1K -538.1K -727 0.00 57.05 0 0 635 115 2013-11-05 $15.40 $15.60 13.1% 4.3% 12.1% 13.2% 0.0% 2.1% 1.6% 35.3K -537.6K -719 0.00 56.96 0 0 635 115 2013-11-06 $15.56 $15.60 13.1% 4.2% 12.2% 13.2% 0.0% 2.1% 1.6% 27.6K -483.4K -618 0.00 60.42 0 0 585 115 2013-11-07 $15.33 $15.60 14.9% 4.5% 12.3% 19.5% 0.0% 2.1% 1.5% 36.9K -452.6K -747 0.00 59.09 0 0 585 115 2013-11-08 $15.52 $15.60 54.4% 4.3% 12.7% 100.0% 0.0% 2.5% 0.5% 30.5K -506.1K -743 0.00 59.37 0 0 585 115 2013-11-11 $15.60 $15.60 13.0% 4.3% 12.8% 8.3% 0.0% 2.5% 1.7% 25.6K -519.2K -709 0.00 64.66 110 0 585 115 2013-11-12 $15.66 $15.60 14.4% 4.5% 11.1% 11.3% 0.0% 2.6% 2.2% 24.9K -524.9K -916 0.00 64.61 40 0 615 115 2013-11-13 $15.82 $15.60 12.9% 4.4% 11.1% 8.1% 0.0% 2.9% 2.6% 20.9K -457.3K -956 0.00 63.99 0 0 555 115 2013-11-14 $15.75 $15.60 15.2% 4.3% 11.2% 13.0% 0.0% 2.9% 2.5% 20.4K -450.0K -957 0.00 78.65 0 0 555 115 2013-11-15 $15.80 $15.60 19.9% 5.7% 11.0% 23.5% 0.0% -2.9% 2.9% 22.9K -456.4K -954 0.00 94.30 0 0 555 115 2013-11-18 $15.68 $0.00 14.8% 4.2% 11.4% 12.2% 0.0% 1.5% 1.8% 16.8K -145.8K -835 0.00 89.98 0 0 355 75 2013-11-19 $15.47 $15.60 15.4% 4.4% 12.5% 13.6% 0.0% 2.4% 1.0% 18.2K -138.9K -782 0.00 71.58 0 0 380 75 2013-11-20 $15.51 $15.60 15.0% 4.3% 11.8% 12.6% 0.0% 3.1% 1.5% 18.6K -142.7K -779 0.00 74.25 0 0 380 75 2013-11-21 $15.68 $15.60 14.6% 4.2% 12.3% 11.7% 0.0% 2.6% 0.9% 20.9K -160.8K -818 0.00 77.74 0 0 380 75 2013-11-22 $15.80 $15.60 14.3% 4.1% 12.5% 11.1% 0.0% 2.7% 1.3% 21.7K -174.2K -833 0.00 76.94 0 0 380 75 2013-11-25 $15.70 $15.60 30.0% 8.6% 12.8% 45.9% 0.0% 1.6% -12.9% 20.2K -178.9K -811 0.00 164.77 0 0 380 75 2013-11-26 $15.67 $15.60 30.6% 8.8% 12.8% 47.3% 0.0% 0.8% -13.8% 21.6K -161.1K -763 0.00 155.15 10 0 380 75 2013-11-27 $15.72 $15.60 13.1% 3.8% 12.7% 8.4% 0.0% 2.6% 1.8% 22.8K -172.0K -796 0.00 72.85 0 0 390 75 2013-11-29 $15.73 $15.60 15.3% 4.4% 12.6% 13.4% 0.0% 2.8% 3.9% 23.7K -177.0K -780 0.00 78.91 0 0 390 75
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