IGV Options History — March 2015

In March 2015, IGV traded between $18.77 and $19.74. ATM implied volatility averaged 18.4%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.9% (HV 20d: 15.5%). Max pain ranged from $18.80 to $19.60. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.23.

Notable Days

2015-03-30: Highest Volume — 645 contracts
2015-03-04: Largest IV spike — 47.7% change
2015-03-04: Highest IV Rank — 24.9%
2015-03-04: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.26	$18.77	$19.74	$19.74	$19.23
Max Pain	$19.12	$18.80	$19.60	$19.60	$18.80
ATM IV	18.4%	13.9%	27.3%	19.4%	17.4%
Expected Move	5.2%	4.0%	7.8%	5.6%	5.0%
HV 20d	15.5%	12.3%	18.0%	12.3%	17.6%
HV 60d	18.2%	17.2%	18.9%	18.3%	18.0%
IV Rank	11.3%	4.4%	24.9%	12.8%	9.8%
IV Percentile	39.4%	13.1%	74.6%	46.0%	40.1%
Term Structure	-0.1%	-12.5%	5.9%	-2.7%	0.8%
VWIV	17.0%	13.4%	21.4%	21.4%	15.3%
Skew 25d	5.6%	-8.7%	13.6%	8.4%	5.6%
Skew 10d	5.9%	-13.3%	19.1%	6.9%	7.6%
Call IV 25d	15.5%	8.9%	26.2%	22.5%	14.8%
Put IV 25d	21.1%	15.4%	30.8%	30.8%	20.4%
Bid-Ask Spread %	107.61	82.95	138.19	138.19	98.78
Gamma HHI	0.24	0.16	0.39	0.29	0.37
Net GEX	32.6K	15.7K	67.6K	27.1K	67.6K
Net DEX	-555.1K	-703.1K	-410.9K	-554.6K	-677.4K
Net VEX	-1.1K	-1.5K	-544	-885	-1.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.23	0.00	0.40	0.40	0.26
Total Volume	188.182	0	645	385	645
Total OI	517.955	420	755	465	755

Daily Data (22 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
2015-03-02	$19.74	$0.00	19.4%	5.6%	12.3%	12.8%	0.0%	8.4%	-2.7%	27.1K	-554.6K	-885	0.40	138.19	275	110	355	110
2015-03-03	$19.50	$0.00	18.5%	5.3%	13.6%	11.4%	0.0%	-8.7%	-1.2%	16.9K	-492.6K	-1.2K	0.40	122.71	275	110	355	115
2015-03-04	$19.27	$0.00	27.3%	7.8%	13.6%	24.9%	0.0%	4.9%	-12.5%	15.7K	-451.1K	-1.3K	0.40	135.66	275	110	355	115
2015-03-05	$19.42	$19.60	20.5%	6.7%	13.7%	14.5%	21.4%	8.0%	-3.6%	17.0K	-502.0K	-977	0.40	119.96	275	110	355	115
2015-03-06	$19.11	$19.60	24.1%	6.1%	14.4%	20.0%	20.9%	6.9%	-1.9%	16.6K	-435.8K	-1.3K	0.40	135.19	275	110	355	115
2015-03-09	$19.21	$19.60	21.9%	5.0%	14.1%	16.6%	0.0%	9.8%	2.7%	22.1K	-485.0K	-991	0.00	128.23	0	0	355	65
2015-03-10	$18.81	$19.60	19.1%	4.4%	16.2%	12.4%	0.0%	10.8%	2.0%	23.4K	-435.6K	-1.1K	0.00	133.65	0	0	355	65
2015-03-11	$18.77	$19.60	23.7%	6.8%	15.8%	19.5%	17.6%	13.6%	-8.0%	20.0K	-410.9K	-1.1K	0.00	105.16	30	0	355	65
2015-03-12	$18.98	$19.00	17.6%	5.1%	16.3%	10.1%	0.0%	4.7%	1.5%	27.5K	-456.3K	-1.1K	0.00	88.17	0	0	385	65
2015-03-13	$19.01	$19.00	17.4%	5.0%	15.2%	9.8%	0.0%	3.2%	-0.5%	24.7K	-459.0K	-1.2K	0.00	82.95	0	0	385	65
2015-03-16	$19.28	$19.00	17.5%	5.0%	15.3%	9.9%	0.0%	5.0%	3.6%	27.3K	-531.4K	-950	0.00	95.76	0	0	385	65
2015-03-17	$19.30	$19.00	17.7%	5.1%	15.3%	10.2%	0.0%	5.0%	0.3%	25.9K	-535.9K	-983	0.00	93.34	0	0	385	65
2015-03-18	$19.51	$19.00	15.8%	4.5%	15.7%	7.3%	0.0%	6.2%	5.9%	37.1K	-619.7K	-544	0.00	98.58	0	0	385	65
2015-03-19	$19.54	$19.00	15.2%	4.4%	15.7%	6.4%	0.0%	7.1%	2.8%	25.6K	-592.8K	-831	0.00	93.81	50	0	385	65
2015-03-20	$19.63	$19.00	14.1%	4.0%	15.3%	4.6%	14.1%	6.5%	2.5%	28.9K	-687.9K	-908	0.00	105.86	25	0	435	65
2015-03-23	$19.56	$19.00	13.9%	4.0%	15.1%	4.4%	0.0%	6.3%	1.9%	30.1K	-676.2K	-886	0.00	107.20	0	0	435	65
2015-03-24	$19.46	$19.00	14.4%	4.1%	15.2%	5.2%	13.4%	4.8%	1.7%	31.2K	-661.0K	-925	0.00	100.17	165	0	435	65
2015-03-25	$18.94	$19.00	17.9%	5.1%	17.7%	10.6%	18.8%	1.8%	-0.2%	55.6K	-619.3K	-1.4K	0.00	95.80	0	25	600	65
2015-03-26	$19.05	$18.80	18.6%	5.3%	17.5%	11.6%	16.1%	5.0%	0.3%	53.8K	-588.5K	-1.5K	0.27	92.32	495	135	600	140
2015-03-27	$19.16	$18.80	16.2%	4.6%	17.7%	7.9%	0.0%	5.0%	1.8%	58.8K	-636.7K	-1.3K	0.00	97.25	0	0	600	90
2015-03-30	$19.34	$18.80	16.1%	4.6%	18.0%	7.8%	15.9%	3.0%	0.8%	65.4K	-703.1K	-1.3K	0.26	98.58	510	135	600	140
2015-03-31	$19.23	$18.80	17.4%	5.0%	17.6%	9.8%	15.3%	5.6%	0.8%	67.6K	-677.4K	-1.3K	0.26	98.78	510	135	615	140