IGV Options History — February 2015

In February 2015, IGV traded between $18.10 and $19.75. ATM implied volatility averaged 21.8%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 2.5% (HV 20d: 19.3%). Max pain ranged from $17.80 to $17.80. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.75.

Notable Days

2015-02-03: Highest Volume — 1,360 contracts
2015-02-10: Largest IV spike — 62.4% change
2015-02-10: Highest IV Rank — 30.2%
2015-02-04: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.06	$18.10	$19.75	$18.10	$19.67
Max Pain	$17.80	$17.80	$17.80	$17.80	$17.80
ATM IV	21.8%	12.1%	30.7%	21.8%	23.1%
Expected Move	5.9%	3.5%	8.5%	6.3%	6.6%
HV 20d	19.3%	14.8%	22.2%	21.8%	14.8%
HV 60d	17.9%	17.1%	18.3%	17.1%	18.3%
IV Rank	16.6%	1.6%	30.2%	16.6%	18.5%
IV Percentile	53.4%	2.0%	85.3%	57.5%	57.5%
Term Structure	-4.1%	-10.2%	4.4%	-2.1%	-2.5%
VWIV	31.5%	31.2%	31.7%	31.7%	31.2%
Skew 25d	5.5%	-6.5%	14.7%	4.4%	5.1%
Skew 10d	10.3%	-0.6%	21.6%	-0.6%	4.1%
Call IV 25d	21.0%	11.3%	30.6%	19.9%	21.7%
Put IV 25d	26.5%	18.8%	38.9%	24.3%	26.9%
Bid-Ask Spread %	122.85	79.88	138.57	136.04	132.24
Gamma HHI	0.31	0.22	0.44	0.40	0.25
Net GEX	33.2K	13.8K	80.4K	68.0K	19.1K
Net DEX	-1.1M	-1.9M	-487.1K	-800.9K	-554.3K
Net VEX	-1.6K	-3.3K	-743	-2.6K	-873
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.38	0.93	0.90	0.38
Total Volume	879.737	0	1,360	0	380
Total OI	1,648.158	435	2,225	2,090	465

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
2015-02-02	$18.10	$17.80	21.8%	6.3%	21.8%	16.6%	0.0%	4.4%	-2.1%	68.0K	-800.9K	-2.6K	0.00	136.04	0	0	1,030	1,060
2015-02-03	$18.42	$17.80	29.2%	8.4%	22.2%	27.9%	31.7%	8.3%	-9.1%	17.6K	-801.8K	-3.3K	0.90	120.56	715	645	1,030	1,110
2015-02-04	$18.45	$17.80	29.6%	8.5%	21.1%	28.5%	31.2%	12.8%	-10.2%	21.4K	-905.9K	-3.2K	0.90	131.51	715	645	1,030	1,110
2015-02-05	$18.73	$0.00	27.9%	5.4%	21.6%	25.9%	0.0%	6.8%	0.3%	80.4K	-1.6M	-1.4K	0.90	130.66	715	645	1,030	1,110
2015-02-06	$18.59	$0.00	23.5%	5.4%	20.7%	19.1%	0.0%	14.7%	1.7%	36.7K	-1.2M	-2.6K	0.90	126.75	715	645	1,030	1,110
2015-02-09	$18.52	$0.00	18.9%	5.5%	20.5%	12.1%	0.0%	5.3%	0.7%	57.4K	-1.3M	-2.1K	0.90	79.88	715	645	1,030	1,110
2015-02-10	$18.71	$0.00	30.7%	6.2%	20.7%	30.2%	0.0%	7.6%	-7.9%	41.7K	-1.3M	-2.2K	0.90	112.38	715	645	1,030	1,110
2015-02-11	$18.75	$0.00	21.9%	6.3%	20.5%	16.7%	0.0%	-6.5%	-10.2%	55.4K	-1.3M	-1.9K	0.90	118.82	715	645	1,030	1,110
2015-02-12	$19.05	$0.00	20.7%	5.9%	21.0%	14.8%	0.0%	4.3%	-1.9%	43.7K	-1.9M	-1.4K	0.93	120.44	690	645	1,115	1,110
2015-02-13	$19.31	$0.00	23.1%	6.6%	20.1%	18.4%	0.0%	-0.3%	-5.1%	27.6K	-1.9M	-1.3K	0.93	110.61	690	645	1,110	1,110
2015-02-17	$19.26	$0.00	24.9%	7.1%	18.9%	21.3%	0.0%	3.4%	-9.3%	34.8K	-1.9M	-1.3K	0.91	121.62	705	645	1,110	1,110
2015-02-18	$19.34	$0.00	19.8%	5.7%	18.9%	13.5%	0.0%	1.2%	-8.7%	22.8K	-1.2M	-1.2K	0.91	119.27	705	645	710	1,110
2015-02-19	$19.42	$0.00	17.4%	5.0%	18.8%	9.8%	0.0%	7.5%	0.6%	18.7K	-1.2M	-976	0.00	138.57	0	0	710	1,060
2015-02-20	$19.62	$0.00	15.0%	4.3%	18.2%	6.1%	0.0%	8.3%	4.4%	15.1K	-1.3M	-1.0K	0.00	129.91	0	0	710	1,060
2015-02-23	$19.46	$0.00	18.6%	5.3%	18.5%	11.6%	0.0%	1.5%	-7.1%	15.0K	-487.1K	-1.0K	0.42	121.80	250	105	330	105
2015-02-24	$19.48	$0.00	21.6%	6.2%	18.5%	16.2%	0.0%	4.2%	-7.2%	22.7K	-515.9K	-821	0.42	132.75	250	105	330	110
2015-02-25	$19.57	$0.00	12.1%	3.5%	15.8%	1.6%	0.0%	8.7%	-2.1%	17.9K	-533.0K	-743	0.42	124.64	250	105	330	110
2015-02-26	$19.75	$0.00	15.2%	4.4%	14.9%	6.4%	0.0%	6.5%	-1.7%	13.8K	-521.6K	-917	0.38	125.73	275	105	330	110
2015-02-27	$19.67	$0.00	23.1%	6.6%	14.8%	18.5%	0.0%	5.1%	-2.5%	19.1K	-554.3K	-873	0.38	132.24	275	105	355	110