IGV Options History — May 2014 In May 2014, IGV traded between $15.62 and $16.54. ATM implied volatility averaged 39.8%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 22.0% (HV 20d: 17.8%). 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 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-05-30 : Highest Volume — 50 contracts2014-05-07 : Largest IV spike — 84.0% change2014-05-09 : Highest IV Rank — 100.0%2014-05-02 : Largest Expected Move — 12.4%Monthly Statistics Metric Avg Min Max Open Close Price $16.03 $15.62 $16.54 $15.90 $16.33 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 39.8% 23.5% 76.3% 41.5% 31.2% Expected Move 8.1% 6.3% 12.4% 11.9% 8.9% HV 20d 17.8% 14.7% 23.9% 23.9% 15.8% HV 60d 19.7% 19.3% 20.0% 19.6% 19.5% IV Rank 53.9% 20.6% 100.0% 71.2% 32.2% IV Percentile 90.3% 77.4% 100.0% 97.6% 88.9% Term Structure -9.2% -33.9% 1.0% -33.9% -10.7% Skew 25d 3.4% -4.7% 11.0% -4.5% 9.2% Skew 10d 4.3% -6.8% 18.3% -0.0% 13.7% Call IV 25d 35.0% 27.6% 61.1% 61.1% 35.0% Put IV 25d 38.4% 28.0% 56.5% 56.5% 44.2% Bid-Ask Spread % 159.24 122.84 178.22 142.91 178.22 Gamma HHI 0.39 0.24 0.60 0.31 0.55 Net GEX 10.2K 6.0K 14.9K 11.3K 6.3K Net DEX -110.6K -151.8K -81.3K -136.2K -97.5K Net VEX -604 -742 -532 -732 -532 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 2.381 0 50 0 50 Total OI 232.143 155 290 290 155
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 2014-05-01 $15.90 $15.00 41.5% 11.9% 23.9% 71.2% 0.0% -4.5% -33.9% 11.3K -136.2K -732 0.00 142.91 0 0 275 15 2014-05-02 $15.89 $15.00 43.1% 12.4% 22.6% 74.9% 0.0% 3.2% -32.2% 12.2K -136.5K -742 0.00 142.78 0 0 275 15 2014-05-05 $15.89 $0.00 43.6% 6.3% 21.5% 75.9% 0.0% 1.0% 0.6% 13.9K -132.4K -701 0.00 165.20 0 0 275 15 2014-05-06 $15.65 $0.00 28.8% 6.4% 21.7% 42.8% 0.0% 1.0% 1.0% 12.2K -88.0K -615 0.00 122.84 0 0 275 15 2014-05-07 $15.67 $0.00 53.1% 7.5% 21.3% 97.1% 0.0% 2.1% -6.7% 11.9K -112.0K -636 0.00 132.47 0 0 275 15 2014-05-08 $15.62 $0.00 51.2% 6.5% 20.0% 92.8% 0.0% -3.8% -1.2% 12.1K -106.4K -634 0.00 164.62 0 0 275 15 2014-05-09 $15.69 $0.00 58.5% 6.9% 16.0% 100.0% 0.0% -3.8% -0.6% 11.9K -111.7K -631 0.00 156.91 0 0 275 15 2014-05-12 $16.09 $0.00 70.8% 8.7% 16.8% 100.0% 0.0% 6.4% -9.9% 14.7K -151.8K -649 0.00 137.67 0 0 275 15 2014-05-13 $15.96 $0.00 76.3% 8.8% 16.9% 100.0% 0.0% 8.1% -12.0% 14.4K -139.6K -652 0.00 137.18 0 0 275 15 2014-05-14 $15.86 $0.00 61.0% 6.9% 16.6% 77.0% 0.0% 0.8% -7.6% 14.9K -110.6K -561 0.00 166.08 0 0 275 15 2014-05-15 $15.80 $0.00 24.7% 7.1% 16.0% 22.4% 0.0% -0.7% -6.2% 13.6K -123.6K -590 0.00 173.14 0 0 275 15 2014-05-16 $15.97 $0.00 23.5% 6.7% 16.4% 20.6% 0.0% -4.7% -12.7% 14.7K -131.9K -586 0.00 170.34 0 0 275 15 2014-05-19 $16.16 $0.00 28.8% 8.3% 17.0% 28.6% 0.0% 9.3% -11.6% 6.2K -86.6K -550 0.00 155.18 0 0 145 10 2014-05-20 $16.04 $0.00 25.8% 7.4% 17.0% 24.1% 0.0% -2.2% -12.1% 6.0K -81.3K -552 0.00 175.60 0 0 145 10 2014-05-21 $16.08 $0.00 28.6% 8.2% 16.4% 28.3% 0.0% 8.9% -5.8% 6.3K -84.6K -548 0.00 169.76 0 0 145 10 2014-05-22 $16.23 $0.00 26.4% 7.6% 16.6% 25.0% 0.0% 2.9% -3.0% 6.0K -89.6K -550 0.00 174.95 0 0 145 10 2014-05-23 $16.38 $0.00 29.7% 8.5% 15.4% 30.0% 0.0% 8.0% -9.6% 6.7K -96.4K -568 0.00 162.59 0 0 145 10 2014-05-27 $16.54 $0.00 28.9% 8.3% 14.7% 28.7% 0.0% 11.0% 0.5% 6.8K -97.9K -572 0.00 170.45 0 0 145 10 2014-05-28 $16.37 $0.00 29.8% 8.6% 15.2% 30.2% 0.0% 9.3% -9.6% 6.2K -100.8K -535 0.00 172.67 0 0 145 10 2014-05-29 $16.52 $0.00 30.1% 8.6% 15.1% 30.6% 0.0% 9.3% -10.5% 6.4K -107.3K -543 0.00 172.58 0 0 145 10 2014-05-30 $16.33 $0.00 31.2% 8.9% 15.8% 32.2% 0.0% 9.2% -10.7% 6.3K -97.5K -532 0.00 178.22 50 0 145 10
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