IGV Options History — December 2013 In December 2013, IGV traded between $15.33 and $16.41. ATM implied volatility averaged 15.0%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.0% (HV 20d: 13.0%). Max pain ranged from $15.60 to $15.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-12-31 : Highest Volume — 125 contracts2013-12-05 : Largest IV spike — 18.7% change2013-12-17 : Highest IV Rank — 18.6%2013-12-17 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $15.88 $15.33 $16.41 $15.63 $16.41 Max Pain $15.60 $15.60 $15.60 $15.60 $15.60 ATM IV 15.0% 12.4% 17.6% 14.6% 15.1% Expected Move 4.4% 3.6% 5.1% 4.2% 4.3% HV 20d 13.0% 11.1% 14.0% 13.0% 13.1% HV 60d 13.9% 13.3% 14.3% 13.7% 13.7% IV Rank 12.7% 6.9% 18.6% 11.7% 12.9% IV Percentile 45.8% 9.1% 82.5% 38.5% 52.0% Term Structure 1.4% 0.1% 3.4% 1.3% 2.4% Skew 25d 2.6% 0.4% 6.1% 2.2% 0.4% Skew 10d 6.0% -1.9% 10.6% 1.2% -1.9% Call IV 25d 14.4% 12.2% 17.1% 14.0% 14.9% Put IV 25d 16.9% 14.3% 19.4% 16.2% 15.3% Bid-Ask Spread % 62.60 50.49 81.28 64.65 61.14 Gamma HHI 0.34 0.23 0.49 0.28 0.49 Net GEX 25.4K 19.3K 29.9K 22.0K 29.4K Net DEX -187.5K -262.1K -114.3K -159.1K -262.1K Net VEX -753 -873 -590 -730 -849 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 9.286 0 125 0 125 Total OI 484.286 465 535 465 510
Daily Data (21 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 2013-12-02 $15.63 $15.60 14.6% 4.2% 13.0% 11.7% 0.0% 2.2% 1.3% 22.0K -159.1K -730 0.00 64.65 0 0 390 75 2013-12-03 $15.61 $15.60 15.2% 4.3% 12.5% 13.0% 0.0% 1.9% 0.6% 22.9K -157.1K -723 0.00 67.63 0 0 390 75 2013-12-04 $15.72 $15.60 14.0% 4.0% 12.7% 10.5% 0.0% 2.9% 1.3% 24.1K -175.9K -755 0.00 81.28 0 0 390 75 2013-12-05 $15.63 $15.60 16.6% 4.8% 12.4% 16.3% 0.0% 4.3% 0.1% 23.2K -168.4K -750 0.00 66.52 0 0 390 75 2013-12-06 $15.83 $0.00 14.6% 4.6% 11.8% 11.8% 0.0% 2.6% 1.0% 24.9K -191.8K -756 0.00 52.38 0 0 390 75 2013-12-09 $15.83 $0.00 13.6% 4.5% 11.1% 9.7% 0.0% 2.2% 1.0% 26.9K -189.5K -721 0.00 56.19 0 0 390 75 2013-12-10 $15.73 $0.00 14.4% 4.4% 11.2% 11.4% 0.0% 2.8% 1.2% 25.4K -174.9K -715 0.00 58.66 0 0 390 75 2013-12-11 $15.44 $0.00 16.2% 4.9% 13.1% 15.4% 0.0% 3.1% 1.0% 21.7K -131.6K -591 0.00 56.66 0 0 390 75 2013-12-12 $15.33 $0.00 17.0% 4.9% 12.6% 17.2% 0.0% 2.8% 1.1% 19.3K -114.3K -590 0.00 57.79 0 0 390 75 2013-12-13 $15.58 $0.00 15.9% 4.6% 14.0% 14.6% 0.0% 6.1% 0.8% 23.0K -146.0K -634 0.00 62.67 0 0 390 75 2013-12-16 $15.62 $0.00 17.5% 5.0% 14.0% 18.3% 0.0% 2.8% 1.0% 25.3K -159.2K -649 0.00 56.13 0 0 390 75 2013-12-17 $15.67 $0.00 17.6% 5.1% 13.7% 18.6% 0.0% 2.1% 0.5% 26.4K -169.9K -686 0.00 50.49 20 0 390 75 2013-12-18 $15.88 $0.00 16.4% 4.7% 13.6% 15.9% 0.0% 2.4% 0.8% 29.6K -205.5K -746 0.00 54.05 0 50 410 75 2013-12-19 $15.90 $0.00 15.5% 4.4% 13.6% 13.7% 0.0% 2.1% 1.0% 23.1K -196.5K -848 0.00 64.50 0 0 410 125 2013-12-20 $16.12 $0.00 13.9% 4.0% 13.8% 10.3% 0.0% 2.4% 2.0% 23.8K -186.2K -847 0.00 67.11 0 0 385 125 2013-12-23 $16.23 $0.00 13.4% 3.8% 13.8% 9.1% 0.0% 2.6% 1.8% 26.5K -212.5K -847 0.00 75.74 0 0 385 125 2013-12-24 $16.29 $0.00 13.6% 3.9% 13.5% 9.5% 0.0% 2.7% 1.9% 28.0K -228.9K -873 0.00 69.19 0 0 385 125 2013-12-26 $16.31 $0.00 12.4% 3.6% 13.5% 6.9% 0.0% 1.6% 3.4% 29.0K -228.7K -820 0.00 58.80 0 0 385 125 2013-12-27 $16.30 $0.00 13.9% 4.0% 13.5% 10.3% 0.0% 2.0% 2.3% 28.0K -235.5K -851 0.00 74.21 0 0 385 125 2013-12-30 $16.37 $0.00 13.8% 4.0% 13.5% 10.0% 0.0% 2.1% 3.0% 29.9K -243.9K -825 0.00 58.85 0 0 385 125 2013-12-31 $16.41 $0.00 15.1% 4.3% 13.1% 12.9% 0.0% 0.4% 2.4% 29.4K -262.1K -849 0.00 61.14 125 0 385 125
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