IGV Options History — June 2014 In June 2014, IGV traded between $16.15 and $17.20. ATM implied volatility averaged 30.9%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 17.5% (HV 20d: 13.4%). Max pain ranged from $16.60 to $16.60. 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 2014-06-09 : Highest Volume — 50 contracts2014-06-12 : Largest IV drop — 46.8% change2014-06-11 : Highest IV Rank — 51.7%2014-06-05 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $16.79 $16.15 $17.20 $16.26 $17.20 Max Pain $16.60 $16.60 $16.60 $16.60 $16.60 ATM IV 30.9% 23.5% 44.2% 33.8% 32.0% Expected Move 7.1% 5.3% 10.5% 9.7% 5.4% HV 20d 13.4% 10.4% 16.2% 16.0% 10.4% HV 60d 18.7% 17.0% 19.7% 19.5% 17.0% IV Rank 31.8% 20.7% 51.7% 36.2% 33.4% IV Percentile 81.8% 70.6% 96.4% 90.5% 85.7% Term Structure -8.2% -14.7% -4.0% -11.8% -11.6% VWIV 22.6% 22.6% 22.6% 22.6% 22.6% Skew 25d 8.4% -3.6% 14.1% 14.1% 10.1% Skew 10d 16.7% 9.7% 22.3% 17.9% 22.3% Call IV 25d 30.0% 22.4% 42.8% 33.5% 34.8% Put IV 25d 38.4% 31.3% 51.0% 47.6% 44.9% Bid-Ask Spread % 147.83 90.00 184.51 179.17 94.58 Gamma HHI 0.55 0.36 0.74 0.36 0.53 Net GEX 7.5K 5.7K 10.3K 10.3K 6.8K Net DEX -113.0K -137.7K -72.7K -125.7K -137.7K Net VEX -718 -842 -586 -644 -770 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 5.476 0 50 0 0 Total OI 240 185 275 205 275
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 2014-06-02 $16.26 $0.00 33.8% 9.7% 16.0% 36.2% 0.0% 14.1% -11.8% 10.3K -125.7K -644 0.00 179.17 0 0 195 10 2014-06-03 $16.15 $0.00 34.9% 10.0% 16.2% 37.7% 0.0% 7.9% -13.2% 10.3K -117.1K -614 0.00 184.10 0 0 195 10 2014-06-04 $16.16 $0.00 35.9% 10.3% 15.1% 39.3% 0.0% 8.2% -13.9% 10.1K -116.3K -614 0.00 184.51 25 0 195 10 2014-06-05 $16.35 $0.00 36.5% 10.5% 15.5% 40.3% 0.0% -3.6% -14.7% 9.7K -101.5K -586 0.00 180.85 0 0 175 10 2014-06-06 $16.56 $16.60 35.8% 6.3% 15.8% 39.1% 0.0% 8.7% -4.0% 10.3K -120.3K -617 0.00 164.51 0 0 175 10 2014-06-09 $16.59 $16.60 41.7% 6.5% 15.8% 48.0% 22.6% 7.3% -5.4% 10.3K -121.1K -608 0.00 168.72 0 50 175 10 2014-06-10 $16.61 $16.60 43.5% 6.6% 13.4% 50.7% 0.0% 7.5% -4.5% 5.7K -81.4K -715 0.00 169.75 0 0 175 60 2014-06-11 $16.64 $16.60 44.2% 6.4% 12.9% 51.7% 0.0% 10.5% -6.9% 6.7K -75.4K -692 0.00 169.27 0 0 175 60 2014-06-12 $16.51 $16.60 23.5% 6.7% 13.1% 20.7% 0.0% 7.7% -6.5% 5.7K -72.7K -698 0.00 170.73 0 0 175 60 2014-06-13 $16.67 $16.60 24.0% 6.9% 13.1% 21.4% 0.0% 8.3% -5.8% 6.9K -78.2K -693 0.00 168.40 0 0 175 60 2014-06-16 $16.80 $16.60 24.8% 7.1% 12.9% 22.6% 0.0% 10.0% -6.6% 7.1K -92.2K -686 0.00 164.05 0 0 175 60 2014-06-17 $17.00 $16.60 24.9% 7.1% 12.9% 22.8% 0.0% 10.1% -6.8% 7.1K -114.4K -691 0.00 159.20 0 30 175 60 2014-06-18 $17.19 $16.60 25.0% 7.2% 12.7% 22.9% 0.0% 10.0% -7.0% 6.1K -120.5K -794 0.00 159.06 5 0 175 90 2014-06-19 $17.18 $16.60 25.4% 7.3% 12.8% 23.6% 0.0% 9.9% -8.0% 5.8K -129.5K -814 0.00 159.26 5 0 180 90 2014-06-20 $17.10 $16.60 26.1% 7.5% 12.8% 24.5% 0.0% 7.1% -7.2% 6.2K -124.4K -842 0.00 165.75 0 0 185 90 2014-06-23 $17.18 $0.00 27.3% 5.5% 12.6% 26.4% 0.0% 8.3% -8.5% 6.7K -131.5K -811 0.00 90.00 0 0 185 90 2014-06-24 $17.06 $0.00 28.1% 5.5% 12.8% 27.6% 0.0% 7.2% -8.6% 6.1K -124.3K -810 0.00 90.97 0 0 185 90 2014-06-25 $17.13 $0.00 28.5% 5.4% 12.0% 28.1% 0.0% 8.3% -9.4% 6.8K -127.9K -798 0.00 93.49 0 0 185 90 2014-06-26 $17.10 $0.00 25.3% 5.4% 11.8% 23.3% 0.0% 7.0% -6.5% 6.6K -126.9K -790 0.00 93.28 0 0 185 90 2014-06-27 $17.17 $0.00 27.6% 5.3% 10.7% 26.8% 0.0% 11.0% -6.0% 6.7K -134.2K -787 0.00 94.82 0 0 185 90 2014-06-30 $17.20 $0.00 32.0% 5.4% 10.4% 33.4% 0.0% 10.1% -11.6% 6.8K -137.7K -770 0.00 94.58 0 0 185 90
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