IGV Options History — January 2014 In January 2014, IGV traded between $16.13 and $16.81. ATM implied volatility averaged 17.6%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.6% (HV 20d: 13.9%). Max pain ranged from $15.20 to $15.20. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-01-17 : Highest Volume — 125 contracts2014-01-07 : Largest IV spike — 208.1% change2014-01-07 : Highest IV Rank — 77.0%2014-01-07 : Largest Expected Move — 6.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.48 $16.13 $16.81 $16.31 $16.42 Max Pain $15.20 $15.20 $15.20 $15.20 $15.20 ATM IV 17.6% 12.5% 44.0% 15.3% 19.3% Expected Move 4.9% 4.2% 6.3% 4.4% 5.5% HV 20d 13.9% 10.9% 17.8% 13.4% 17.8% HV 60d 13.0% 11.9% 14.6% 13.5% 14.6% IV Rank 18.3% 7.2% 77.0% 13.4% 22.1% IV Percentile 64.0% 10.7% 99.6% 54.8% 92.5% Term Structure 0.9% -1.6% 3.4% 3.1% 0.1% VWIV 17.0% 15.4% 18.7% 17.5% 18.7% Skew 25d 3.6% 1.5% 5.2% 3.1% 3.5% Skew 10d 9.5% 3.8% 14.1% 6.6% 13.9% Call IV 25d 15.8% 12.5% 29.9% 14.6% 18.2% Put IV 25d 19.4% 16.5% 31.4% 17.8% 21.7% Bid-Ask Spread % 56.05 34.24 124.56 91.22 50.13 Gamma HHI 0.36 0.24 0.62 0.30 0.31 Net GEX 16.3K 8.7K 24.2K 16.9K 11.7K Net DEX -187.0K -279.5K -104.6K -192.5K -141.1K Net VEX -583 -722 -529 -577 -582 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 14.286 0 125 0 0 Total OI 376.667 330 410 385 360
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 2014-01-02 $16.31 $0.00 15.3% 4.4% 13.4% 13.4% 0.0% 3.1% 3.1% 16.9K -192.5K -577 0.00 91.22 0 0 260 125 2014-01-03 $16.32 $0.00 14.6% 4.2% 13.3% 11.8% 0.0% 2.6% 3.4% 17.0K -192.7K -582 0.00 60.39 0 0 260 125 2014-01-06 $16.20 $15.20 14.3% 4.8% 13.4% 11.1% 0.0% 2.4% 1.1% 16.7K -175.8K -539 0.00 81.83 0 0 260 125 2014-01-07 $16.44 $15.20 44.0% 6.3% 13.6% 77.0% 0.0% 1.5% -0.9% 14.4K -214.8K -633 0.00 124.56 0 0 260 125 2014-01-08 $16.48 $15.20 14.7% 5.0% 13.6% 11.9% 0.0% 3.9% -0.0% 19.9K -214.2K -529 0.00 51.70 20 0 260 125 2014-01-09 $16.41 $15.20 14.3% 5.0% 13.4% 11.2% 0.0% 3.8% 0.3% 19.9K -213.1K -592 0.00 47.02 0 0 280 125 2014-01-10 $16.49 $15.20 12.5% 4.8% 10.9% 7.2% 0.0% 2.9% 0.5% 21.6K -221.6K -582 0.00 50.33 0 0 280 125 2014-01-13 $16.23 $15.20 15.4% 4.8% 12.5% 13.5% 0.0% 2.9% 1.0% 18.4K -183.7K -552 0.00 46.44 0 0 280 125 2014-01-14 $16.49 $15.20 15.4% 4.7% 12.5% 13.5% 0.0% 3.3% 1.1% 22.2K -225.0K -553 0.00 50.70 0 0 280 125 2014-01-15 $16.77 $15.20 14.6% 4.4% 13.4% 11.9% 17.5% 5.1% 2.4% 23.1K -279.5K -540 0.00 48.80 120 0 280 125 2014-01-16 $16.77 $15.20 15.2% 4.4% 13.5% 13.2% 0.0% 4.9% 2.5% 23.9K -241.2K -722 0.00 45.15 0 0 285 125 2014-01-17 $16.76 $15.20 15.6% 4.5% 13.0% 14.0% 15.6% 4.5% 2.3% 24.2K -236.6K -717 0.00 44.83 125 0 285 125 2014-01-21 $16.77 $15.20 15.4% 4.4% 13.0% 13.6% 15.4% 4.5% 1.3% 13.7K -190.4K -536 0.00 47.58 0 10 205 125 2014-01-22 $16.81 $15.20 15.2% 4.4% 12.3% 13.2% 0.0% 5.2% 1.5% 13.0K -185.2K -570 0.00 44.41 0 0 205 135 2014-01-23 $16.71 $15.20 15.0% 4.3% 12.5% 12.7% 0.0% 4.7% 1.5% 12.8K -172.6K -555 0.00 44.91 0 0 205 135 2014-01-24 $16.42 $15.20 19.4% 5.6% 14.2% 22.4% 18.1% 2.9% 0.7% 10.6K -138.2K -578 0.00 34.24 0 15 205 135 2014-01-27 $16.13 $15.20 19.7% 5.7% 15.5% 23.2% 18.7% 2.9% -0.6% 8.7K -104.6K -574 0.00 43.42 10 0 205 145 2014-01-28 $16.37 $15.20 20.1% 5.8% 16.4% 23.9% 0.0% 3.8% -1.6% 11.1K -133.8K -590 0.00 55.25 0 0 215 145 2014-01-29 $16.22 $15.20 20.0% 5.7% 16.7% 23.8% 0.0% 4.4% -0.4% 10.0K -117.9K -578 0.00 49.68 0 0 215 145 2014-01-30 $16.50 $15.20 18.5% 5.3% 17.8% 20.5% 0.0% 3.4% -0.2% 12.6K -151.9K -564 0.00 64.37 0 0 215 145 2014-01-31 $16.42 $15.20 19.3% 5.5% 17.8% 22.1% 0.0% 3.5% 0.1% 11.7K -141.1K -582 0.00 50.13 0 0 215 145
« Dec 2013 | All History | Feb 2014 » Home IGV History January 2014