IGV Options History — February 2014 In February 2014, IGV traded between $15.94 and $17.55. ATM implied volatility averaged 16.7%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 2.6% (HV 20d: 19.4%). Max pain ranged from $15.20 to $15.20. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.00.
Notable Days 2014-02-14 : Highest Volume — 25 contracts2014-02-04 : Largest IV drop — 22.9% change2014-02-03 : Highest IV Rank — 41.9%2014-02-03 : Largest Expected Move — 8.1%Monthly Statistics Metric Avg Min Max Open Close Price $16.83 $15.94 $17.55 $15.94 $17.34 Max Pain $15.20 $15.20 $15.20 $15.20 $15.20 ATM IV 16.7% 13.2% 28.2% 28.2% 15.2% Expected Move 4.9% 3.8% 8.1% 8.1% 4.3% HV 20d 19.4% 16.4% 21.2% 20.7% 16.6% HV 60d 15.6% 15.3% 15.9% 15.8% 15.8% IV Rank 16.5% 8.6% 41.9% 41.9% 13.0% IV Percentile 60.4% 16.3% 96.8% 96.8% 52.4% Term Structure 0.6% -4.5% 5.5% -1.1% 1.1% VWIV 23.5% 23.5% 23.5% 23.5% 23.5% Skew 25d 3.0% -3.3% 5.2% 4.4% 3.9% Skew 10d 9.0% 2.2% 15.0% 12.4% 6.7% Call IV 25d 15.5% 8.6% 21.2% 21.2% 13.3% Put IV 25d 18.5% 10.6% 25.6% 25.6% 17.2% Bid-Ask Spread % 64.87 37.98 111.12 90.60 37.98 Gamma HHI 0.49 0.20 0.80 0.20 0.40 Net GEX 15.7K 7.6K 32.0K 7.6K 8.6K Net DEX -161.8K -256.9K -87.0K -87.0K -149.9K Net VEX -499 -543 -468 -525 -470 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 3.684 0 25 10 0 Total OI 302.632 155 365 360 155
Daily Data (19 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 2014-02-03 $15.94 $15.20 28.2% 8.1% 20.7% 41.9% 23.5% 4.4% -1.1% 7.6K -87.0K -525 0.00 90.60 10 0 215 145 2014-02-04 $16.07 $15.20 21.7% 6.2% 20.8% 27.6% 0.0% 4.5% -0.6% 8.9K -101.6K -519 0.00 56.37 0 0 215 145 2014-02-05 $16.10 $15.20 22.4% 6.4% 20.1% 29.1% 0.0% 4.0% -0.3% 9.1K -106.0K -517 0.00 45.72 0 0 215 145 2014-02-06 $16.20 $15.20 19.0% 5.5% 20.2% 21.6% 0.0% 4.8% 1.1% 10.2K -113.1K -501 0.00 78.96 5 0 215 145 2014-02-07 $16.49 $0.00 17.3% 5.2% 21.2% 17.7% 0.0% 2.3% 0.3% 14.2K -156.7K -507 0.00 60.70 0 0 220 145 2014-02-10 $16.52 $0.00 15.7% 5.0% 21.2% 14.1% 0.0% 4.4% 0.7% 15.2K -154.3K -473 0.00 60.12 5 0 220 145 2014-02-11 $16.65 $0.00 14.7% 4.8% 20.4% 11.9% 0.0% 2.3% 0.4% 17.4K -140.0K -490 0.00 60.46 0 0 200 145 2014-02-12 $16.71 $0.00 14.5% 4.7% 19.7% 11.6% 0.0% 2.9% 0.7% 18.4K -145.8K -482 0.00 58.95 5 0 200 145 2014-02-13 $16.97 $0.00 13.5% 3.9% 19.6% 9.3% 0.0% 2.7% 5.5% 21.3K -181.7K -497 0.00 70.44 0 20 195 145 2014-02-14 $16.98 $0.00 15.6% 4.5% 19.6% 13.9% 0.0% 2.9% 0.9% 23.9K -174.5K -489 0.00 53.36 25 0 190 145 2014-02-18 $17.10 $0.00 15.1% 4.3% 19.7% 13.0% 0.0% -3.3% -1.4% 27.1K -233.1K -543 0.00 70.45 0 0 215 145 2014-02-19 $17.00 $0.00 16.6% 4.7% 19.8% 16.1% 0.0% 2.0% -4.5% 32.0K -214.7K -539 0.00 61.30 0 0 215 145 2014-02-20 $17.16 $0.00 15.5% 4.5% 20.1% 13.9% 0.0% 3.2% 1.3% 29.1K -254.0K -516 0.00 59.16 0 0 215 145 2014-02-21 $17.23 $0.00 13.2% 3.8% 19.9% 8.6% 0.0% 5.2% 2.0% 21.1K -256.9K -500 0.00 111.12 0 0 215 145 2014-02-24 $17.28 $0.00 15.3% 4.4% 18.6% 13.3% 0.0% 2.0% 0.7% 8.4K -147.3K -490 0.00 57.27 0 0 140 15 2014-02-25 $17.23 $0.00 16.0% 4.6% 17.2% 14.8% 0.0% 3.0% 0.4% 8.7K -143.8K -490 0.00 48.48 0 0 140 15 2014-02-26 $17.32 $0.00 14.5% 4.2% 16.7% 11.6% 0.0% 3.2% 2.7% 8.3K -151.4K -474 0.00 92.54 0 0 140 15 2014-02-27 $17.55 $0.00 14.3% 4.1% 16.4% 11.2% 0.0% 3.1% 1.1% 8.0K -162.4K -468 0.00 58.50 0 0 140 15 2014-02-28 $17.34 $0.00 15.2% 4.3% 16.6% 13.0% 0.0% 3.9% 1.1% 8.6K -149.9K -470 0.00 37.98 0 0 140 15
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