IGV Options History — March 2014

In March 2014, IGV traded between $16.38 and $17.56. ATM implied volatility averaged 26.0%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 9.3% (HV 20d: 16.7%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.00.

Notable Days

2014-03-04: Highest Volume — 35 contracts
2014-03-12: Largest IV spike — 149.8% change
2014-03-12: Highest IV Rank — 76.7%
2014-03-06: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.02	$16.38	$17.56	$17.14	$16.65
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	26.0%	13.4%	44.0%	18.4%	33.0%
Expected Move	7.0%	4.4%	9.8%	5.3%	9.5%
HV 20d	16.7%	14.2%	19.5%	17.1%	19.1%
HV 60d	16.8%	16.0%	17.9%	16.0%	17.9%
IV Rank	36.6%	9.1%	76.7%	20.3%	52.2%
IV Percentile	88.4%	16.3%	99.2%	87.7%	97.6%
Term Structure	-5.7%	-18.3%	1.9%	-1.0%	-11.6%
VWIV	17.9%	17.9%	17.9%	17.9%	17.9%
Skew 25d	-1.7%	-21.3%	7.0%	2.5%	-5.1%
Skew 10d	-3.7%	-29.0%	20.5%	12.0%	-13.8%
Call IV 25d	29.8%	14.0%	45.7%	17.2%	45.7%
Put IV 25d	28.1%	13.0%	48.4%	19.6%	40.6%
Bid-Ask Spread %	131.13	45.48	171.36	45.94	161.19
Gamma HHI	0.28	0.22	0.42	0.39	0.28
Net GEX	7.6K	2.6K	11.0K	8.4K	10.4K
Net DEX	-133.9K	-167.6K	-109.3K	-137.4K	-128.7K
Net VEX	-469	-503	-406	-482	-459
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.00	0.00	6.00	6.00	0.00
Total Volume	5.714	0	35	0	30
Total OI	178.571	155	195	155	180

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
2014-03-03	$17.14	$0.00	18.4%	5.3%	17.1%	20.3%	0.0%	2.5%	-1.0%	8.4K	-137.4K	-482	0.00	45.94	0	0	140	15
2014-03-04	$17.55	$0.00	15.3%	4.4%	14.2%	13.3%	17.9%	3.5%	0.7%	8.3K	-164.0K	-456	6.00	45.48	5	30	140	15
2014-03-05	$17.56	$17.00	33.0%	9.5%	14.2%	52.7%	0.0%	-21.3%	-18.3%	5.3K	-158.6K	-456	0.00	105.07	0	0	140	45
2014-03-06	$17.52	$17.00	34.1%	9.8%	14.4%	55.0%	0.0%	7.0%	-14.0%	5.3K	-147.2K	-476	0.00	140.12	0	0	140	45
2014-03-07	$17.31	$0.00	13.4%	4.6%	15.5%	9.1%	0.0%	4.4%	1.1%	3.6K	-136.8K	-487	0.00	49.43	0	0	140	45
2014-03-10	$17.21	$0.00	28.1%	4.4%	14.8%	41.7%	0.0%	4.9%	1.3%	5.2K	-121.5K	-490	0.00	72.23	0	30	140	45
2014-03-11	$17.17	$0.00	17.6%	4.7%	14.9%	17.6%	0.0%	4.2%	1.9%	2.6K	-121.1K	-483	0.00	67.83	0	0	140	45
2014-03-12	$17.24	$0.00	44.0%	6.5%	14.7%	76.7%	0.0%	1.8%	-5.4%	7.2K	-138.4K	-455	0.00	169.26	0	0	140	30
2014-03-13	$16.91	$0.00	17.8%	5.1%	16.5%	18.0%	0.0%	2.7%	1.5%	5.2K	-114.6K	-457	0.00	131.95	0	0	140	30
2014-03-14	$16.87	$0.00	19.2%	5.5%	15.5%	21.1%	0.0%	1.8%	-2.2%	5.3K	-110.3K	-458	0.00	126.81	0	0	140	30
2014-03-17	$17.06	$0.00	24.5%	7.0%	16.0%	33.0%	0.0%	0.9%	-7.1%	7.1K	-125.3K	-439	0.00	167.95	0	0	140	30
2014-03-18	$17.33	$0.00	24.4%	7.0%	16.8%	32.7%	0.0%	2.0%	-6.7%	8.2K	-143.5K	-406	0.00	171.36	25	0	140	30
2014-03-19	$17.15	$0.00	25.0%	7.2%	17.1%	34.2%	0.0%	2.1%	-7.8%	9.2K	-158.6K	-498	0.00	168.25	0	0	165	30
2014-03-20	$17.25	$0.00	25.4%	7.3%	16.9%	35.0%	0.0%	2.1%	-7.0%	9.3K	-167.6K	-485	0.00	171.25	0	0	165	30
2014-03-21	$16.85	$0.00	26.4%	7.6%	18.8%	37.4%	0.0%	-15.7%	1.9%	8.0K	-130.6K	-503	0.00	162.47	0	0	165	30
2014-03-24	$16.71	$0.00	28.1%	8.0%	18.9%	41.0%	0.0%	-3.7%	-10.2%	11.0K	-135.8K	-478	0.00	161.42	0	0	165	15
2014-03-25	$16.67	$0.00	27.0%	7.8%	18.9%	38.7%	0.0%	-3.7%	-7.0%	10.7K	-132.2K	-484	0.00	160.10	0	0	165	15
2014-03-26	$16.38	$0.00	30.1%	8.6%	19.5%	45.6%	0.0%	-8.7%	-8.2%	8.8K	-113.5K	-471	0.00	160.72	0	0	165	15
2014-03-27	$16.39	$0.00	30.5%	8.7%	18.6%	46.4%	0.0%	-7.3%	-10.1%	10.8K	-109.3K	-458	0.00	156.77	0	0	165	15
2014-03-28	$16.40	$0.00	30.7%	8.8%	18.4%	46.9%	0.0%	-9.7%	-12.2%	10.2K	-116.2K	-460	0.00	158.13	0	0	165	15
2014-03-31	$16.65	$0.00	33.0%	9.5%	19.1%	52.2%	0.0%	-5.1%	-11.6%	10.4K	-128.7K	-459	0.00	161.19	30	0	165	15