IGV Options History — April 2014 In April 2014, IGV traded between $15.52 and $16.93. ATM implied volatility averaged 33.6%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 10.4% (HV 20d: 23.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-04-02 : Highest Volume — 50 contracts2014-04-10 : Largest IV drop — 45.1% change2014-04-08 : Highest IV Rank — 84.3%2014-04-29 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.06 $15.52 $16.93 $16.93 $15.87 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 33.6% 25.1% 47.3% 33.2% 36.3% Expected Move 8.6% 6.5% 12.5% 9.5% 10.4% HV 20d 23.1% 18.1% 25.3% 18.1% 23.8% HV 60d 19.9% 18.2% 20.9% 18.2% 19.6% IV Rank 53.4% 34.4% 84.3% 52.6% 59.5% IV Percentile 94.3% 87.7% 99.6% 98.0% 96.0% Term Structure -10.0% -19.6% -0.0% -12.9% -13.5% VWIV 11.3% 11.3% 11.3% 11.3% 11.3% Skew 25d 1.7% -16.6% 16.2% -0.3% 8.9% Skew 10d 2.7% -18.8% 11.5% -6.6% 9.5% Call IV 25d 40.2% 31.3% 50.3% 45.8% 44.1% Put IV 25d 41.9% 27.6% 63.6% 45.5% 53.0% Bid-Ask Spread % 143.94 133.23 170.34 167.94 144.16 Gamma HHI 0.29 0.23 0.35 0.25 0.28 Net GEX 13.3K 9.6K 17.1K 13.9K 13.8K Net DEX -148.5K -193.7K -81.7K -184.9K -129.7K Net VEX -790 -959 -518 -518 -714 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 6.667 0 50 0 0 Total OI 285.714 210 310 210 290
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 2014-04-01 $16.93 $0.00 33.2% 9.5% 18.1% 52.6% 0.0% -0.3% -12.9% 13.9K -184.9K -518 0.00 167.94 0 0 195 15 2014-04-02 $16.85 $0.00 34.5% 9.9% 18.1% 55.5% 0.0% -1.7% -12.9% 12.9K -176.7K -518 0.00 170.34 50 0 195 15 2014-04-03 $16.45 $0.00 36.1% 10.3% 19.7% 59.0% 0.0% -9.2% -12.7% 14.7K -175.9K -774 0.00 159.81 50 0 245 15 2014-04-04 $16.13 $15.00 38.2% 6.5% 20.4% 63.8% 0.0% 1.9% -3.0% 15.4K -170.5K -959 0.00 140.65 0 0 295 15 2014-04-07 $15.92 $15.00 41.1% 6.8% 20.7% 70.3% 0.0% 4.1% -2.9% 14.3K -147.4K -901 0.00 140.99 0 0 295 15 2014-04-08 $16.08 $15.00 47.3% 6.8% 21.3% 84.3% 0.0% 2.5% -1.8% 13.8K -172.2K -955 0.00 141.07 0 0 295 15 2014-04-09 $16.38 $15.00 45.8% 7.1% 22.5% 80.7% 0.0% 1.9% -3.6% 17.1K -193.7K -959 0.00 140.71 0 0 295 15 2014-04-10 $15.82 $15.00 25.1% 7.2% 24.6% 34.4% 11.3% 4.3% -0.0% 13.6K -151.8K -906 0.00 136.85 40 0 295 15 2014-04-11 $15.52 $15.00 25.6% 7.3% 25.2% 35.5% 0.0% 2.7% -2.2% 10.3K -130.4K -834 0.00 139.60 0 0 275 15 2014-04-14 $15.69 $15.00 26.0% 7.5% 25.2% 36.4% 0.0% 3.0% -4.5% 11.3K -116.3K -778 0.00 139.80 0 0 275 15 2014-04-15 $15.86 $15.00 26.2% 7.5% 24.7% 36.9% 0.0% 4.3% -6.3% 11.4K -134.0K -825 0.00 139.31 0 0 275 15 2014-04-16 $16.05 $15.00 28.2% 8.1% 25.3% 41.3% 0.0% 6.0% -7.1% 14.3K -147.2K -844 0.00 139.83 0 0 275 15 2014-04-17 $16.14 $15.00 27.3% 7.8% 25.3% 39.2% 0.0% -6.3% -18.0% 12.1K -151.8K -832 0.00 142.31 0 0 275 15 2014-04-21 $16.16 $15.00 29.5% 8.5% 24.2% 44.4% 0.0% 2.7% -9.4% 13.8K -162.8K -836 0.00 142.56 0 0 275 15 2014-04-22 $16.28 $15.00 32.5% 9.3% 24.3% 51.0% 0.0% -4.2% -13.5% 14.7K -180.0K -843 0.00 133.23 0 0 275 15 2014-04-23 $16.08 $15.00 30.1% 8.6% 24.6% 45.6% 0.0% 10.7% -9.4% 14.1K -146.4K -786 0.00 143.45 0 0 275 15 2014-04-24 $16.02 $15.00 26.7% 7.7% 23.9% 38.0% 0.0% -16.6% -17.7% 14.3K -116.7K -719 0.00 143.05 0 0 275 15 2014-04-25 $15.75 $15.00 37.4% 10.7% 24.6% 61.9% 0.0% 7.1% -19.6% 12.7K -129.2K -747 0.00 137.04 0 0 275 15 2014-04-28 $15.55 $15.00 34.1% 9.8% 24.9% 54.6% 0.0% -2.1% -18.8% 9.6K -81.7K -619 0.00 141.74 0 0 275 15 2014-04-29 $15.70 $15.00 43.5% 12.5% 24.4% 75.5% 0.0% 16.2% -19.0% 11.9K -119.2K -714 0.00 138.30 0 0 275 15 2014-04-30 $15.87 $15.00 36.3% 10.4% 23.8% 59.5% 0.0% 8.9% -13.5% 13.8K -129.7K -714 0.00 144.16 0 0 275 15
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