IGV Options History — November 2014

In November 2014, IGV traded between $18.02 and $18.59. ATM implied volatility averaged 13.5%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.1% (HV 20d: 15.7%). Max pain ranged from $16.80 to $17.80. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.19.

Notable Days

2014-11-20: Highest Volume — 1,885 contracts
2014-11-13: Largest IV spike — 23.2% change
2014-11-04: Highest IV Rank — 5.8%
2014-11-20: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.33	$18.02	$18.59	$18.02	$18.59
Max Pain	$17.15	$16.80	$17.80	$16.80	$17.80
ATM IV	13.5%	11.0%	15.7%	15.5%	13.0%
Expected Move	4.7%	4.0%	5.6%	5.1%	5.0%
HV 20d	15.7%	9.0%	24.9%	24.9%	9.0%
HV 60d	17.6%	17.5%	17.8%	17.8%	17.5%
IV Rank	3.2%	0.0%	5.8%	5.5%	3.0%
IV Percentile	13.6%	0.0%	39.7%	37.3%	6.0%
Term Structure	2.0%	-0.2%	6.7%	-0.0%	0.5%
VWIV	19.0%	13.5%	21.7%	20.7%	14.6%
Skew 25d	2.2%	0.5%	3.8%	2.3%	1.0%
Skew 10d	4.3%	-0.4%	10.7%	5.5%	0.4%
Call IV 25d	13.5%	11.7%	15.3%	15.2%	13.4%
Put IV 25d	15.7%	14.2%	18.2%	17.5%	14.4%
Bid-Ask Spread %	101.80	76.09	138.11	109.25	77.87
Gamma HHI	0.28	0.21	0.41	0.28	0.22
Net GEX	20.8K	-229	39.6K	20.1K	15.4K
Net DEX	-1.2M	-1.7M	-446.0K	-1.1M	-763.9K
Net VEX	-4.5K	-5.3K	-3.7K	-4.9K	-4.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	0.00	1.45	1.34	0.20
Total Volume	1,236.579	5	1,885	1,660	30
Total OI	2,556.316	1,675	2,995	2,740	1,770

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
2014-11-03	$18.02	$16.80	15.5%	5.1%	24.9%	5.5%	20.7%	2.3%	-0.0%	20.1K	-1.1M	-4.9K	1.34	109.25	710	950	1,135	1,605
2014-11-04	$18.04	$16.80	15.7%	5.2%	23.6%	5.8%	20.8%	2.9%	1.1%	22.4K	-1.0M	-5.3K	1.34	99.86	710	950	1,135	1,605
2014-11-05	$18.03	$16.80	14.6%	4.9%	22.8%	4.1%	19.6%	1.1%	1.6%	38.5K	-1.1M	-5.3K	1.34	87.79	710	950	1,135	1,605
2014-11-06	$18.24	$16.80	14.2%	4.3%	21.7%	3.4%	19.0%	1.3%	2.3%	39.6K	-1.2M	-4.9K	1.35	96.45	710	955	1,135	1,605
2014-11-07	$18.32	$16.80	12.4%	5.1%	19.9%	0.6%	19.5%	2.4%	2.4%	20.2K	-1.4M	-4.0K	1.43	91.04	670	955	1,135	1,610
2014-11-10	$18.41	$16.80	11.9%	4.8%	15.8%	0.0%	19.1%	2.9%	2.7%	32.5K	-1.4M	-4.2K	1.43	92.47	670	955	1,125	1,610
2014-11-11	$18.43	$16.80	11.4%	4.7%	15.9%	0.0%	21.3%	1.4%	3.0%	26.8K	-1.7M	-3.8K	1.36	107.03	705	960	1,310	1,150
2014-11-12	$18.40	$16.80	11.2%	4.8%	15.7%	0.0%	21.2%	2.0%	2.2%	20.4K	-1.3M	-4.5K	1.36	101.56	705	960	1,160	1,615
2014-11-13	$18.42	$16.80	13.8%	4.4%	15.5%	4.0%	19.8%	1.8%	-0.2%	10.8K	-1.4M	-4.2K	1.27	112.62	755	960	1,160	1,615
2014-11-14	$18.48	$16.80	13.8%	4.8%	14.8%	4.0%	16.3%	2.2%	2.2%	24.5K	-1.6M	-3.8K	0.00	134.97	0	55	1,200	1,535
2014-11-17	$18.34	$17.00	14.1%	5.0%	15.5%	4.5%	18.8%	2.5%	2.7%	32.8K	-1.4M	-4.7K	1.33	98.91	770	1,025	1,210	1,670
2014-11-18	$18.41	$17.00	13.6%	4.0%	14.4%	3.6%	18.0%	2.8%	1.7%	23.7K	-1.4M	-4.8K	1.33	112.93	770	1,025	1,210	1,680
2014-11-19	$18.23	$17.00	14.5%	4.4%	13.4%	5.1%	13.5%	3.8%	3.7%	34.0K	-1.3M	-4.4K	0.00	138.11	0	100	1,200	1,600
2014-11-20	$18.21	$17.80	15.0%	5.6%	12.8%	5.8%	19.6%	3.4%	6.7%	6.3K	-1.2M	-4.7K	1.45	106.03	770	1,115	1,200	1,750
2014-11-21	$18.35	$17.80	13.8%	4.7%	11.6%	4.0%	19.8%	0.5%	2.6%	4.0K	-1.4M	-3.7K	1.44	111.79	770	1,105	1,200	1,795
2014-11-24	$18.40	$17.80	13.9%	4.5%	11.5%	4.2%	0.0%	2.2%	0.5%	12.2K	-638.0K	-4.4K	0.00	78.28	0	5	790	885
2014-11-25	$18.44	$17.80	13.9%	4.3%	9.6%	4.1%	21.7%	2.1%	1.3%	-229	-446.0K	-5.0K	1.07	101.23	455	485	790	940
2014-11-26	$18.54	$17.80	11.0%	4.7%	9.3%	0.0%	0.0%	3.5%	1.3%	11.1K	-680.4K	-4.5K	0.00	76.09	75	0	800	895
2014-11-28	$18.59	$17.80	13.0%	5.0%	9.0%	3.0%	14.6%	1.0%	0.5%	15.4K	-763.9K	-4.8K	0.20	77.87	25	5	875	895