IGV Options History — April 2015

In April 2015, IGV traded between $19.13 and $20.26. ATM implied volatility averaged 15.8%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.8% (HV 20d: 15.0%). Max pain ranged from $17.20 to $18.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.37.

Notable Days

2015-04-13: Highest Volume — 700 contracts
2015-04-30: Largest IV spike — 20.6% change
2015-04-01: Highest IV Rank — 10.5%
2015-04-02: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.65	$19.13	$20.26	$19.13	$19.92
Max Pain	$17.28	$17.20	$18.80	$18.80	$17.20
ATM IV	15.8%	14.0%	17.9%	17.9%	17.4%
Expected Move	4.6%	4.0%	5.3%	5.1%	5.0%
HV 20d	15.0%	13.5%	17.2%	17.2%	15.0%
HV 60d	16.4%	15.0%	17.8%	17.8%	15.2%
IV Rank	7.3%	4.6%	10.5%	10.5%	9.7%
IV Percentile	29.6%	13.9%	45.6%	42.9%	45.6%
Term Structure	0.5%	-6.0%	4.3%	0.5%	-0.7%
VWIV	16.9%	13.8%	21.8%	18.3%	18.1%
Skew 25d	3.7%	1.6%	8.2%	4.6%	1.6%
Skew 10d	6.1%	-2.1%	15.9%	7.6%	1.8%
Call IV 25d	14.7%	13.1%	17.2%	17.2%	15.3%
Put IV 25d	18.4%	16.9%	22.0%	21.8%	16.9%
Bid-Ask Spread %	88.87	71.63	98.69	97.10	98.69
Gamma HHI	0.36	0.17	0.72	0.30	0.17
Net GEX	56.5K	4.9K	149.6K	60.0K	15.0K
Net DEX	-783.6K	-960.8K	-622.5K	-622.5K	-789.0K
Net VEX	-835	-1.3K	-545	-1.3K	-806
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.26	1.00	0.26	0.38
Total Volume	584.048	50	700	645	580
Total OI	729.286	550	895	755	660

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
2015-04-01	$19.13	$18.80	17.9%	5.1%	17.2%	10.5%	18.3%	4.6%	0.5%	60.0K	-622.5K	-1.3K	0.26	97.10	510	135	615	140
2015-04-02	$19.20	$17.20	17.2%	5.3%	17.0%	9.4%	20.6%	4.8%	1.6%	62.3K	-661.5K	-1.3K	0.31	71.63	510	160	615	140
2015-04-06	$19.40	$17.20	17.6%	4.9%	16.4%	10.0%	21.8%	8.2%	1.1%	67.6K	-735.1K	-1.2K	0.31	76.08	510	160	615	165
2015-04-07	$19.44	$17.20	16.5%	5.1%	16.3%	8.3%	17.9%	3.3%	1.3%	77.5K	-777.1K	-1.1K	0.31	79.48	510	160	615	190
2015-04-08	$19.54	$17.20	16.3%	4.7%	14.2%	8.1%	17.0%	1.7%	-2.7%	79.3K	-851.6K	-886	1.00	87.87	25	25	615	140
2015-04-09	$19.57	$17.20	15.9%	4.6%	14.1%	7.5%	15.9%	2.5%	-5.8%	85.7K	-849.7K	-819	0.31	79.97	515	160	610	215
2015-04-10	$19.70	$17.20	15.5%	4.4%	13.9%	6.8%	15.5%	4.0%	-6.0%	117.0K	-946.3K	-897	0.31	81.76	515	160	630	240
2015-04-13	$19.49	$17.20	15.7%	4.5%	14.5%	7.2%	15.8%	2.6%	1.9%	91.5K	-853.7K	-881	0.30	87.42	540	160	630	240
2015-04-14	$19.43	$17.20	16.3%	4.7%	13.8%	8.1%	17.1%	6.0%	3.1%	95.1K	-814.5K	-908	0.30	85.95	540	160	655	240
2015-04-15	$19.64	$17.20	15.3%	4.4%	14.3%	6.5%	13.8%	3.1%	4.3%	135.6K	-953.3K	-810	0.30	86.70	540	160	655	240
2015-04-16	$19.64	$17.20	15.7%	4.5%	13.7%	7.1%	14.4%	3.8%	1.4%	149.6K	-960.8K	-816	0.30	89.57	540	160	655	240
2015-04-17	$19.21	$17.20	16.5%	4.7%	15.9%	8.4%	17.3%	3.4%	1.7%	30.6K	-682.3K	-830	0.30	83.49	540	160	655	240
2015-04-20	$19.47	$17.20	15.4%	4.4%	16.5%	6.7%	16.0%	4.8%	1.4%	28.9K	-683.9K	-662	0.31	90.03	360	110	435	115
2015-04-21	$19.63	$17.20	14.5%	4.2%	16.8%	5.4%	16.2%	2.9%	1.0%	23.8K	-709.5K	-656	0.30	91.30	370	110	435	115
2015-04-22	$19.79	$17.20	14.5%	4.2%	16.9%	5.3%	15.0%	4.3%	2.2%	21.2K	-751.0K	-622	0.30	92.83	370	110	445	115
2015-04-23	$19.97	$17.20	14.0%	4.0%	13.6%	4.6%	17.1%	3.2%	1.2%	17.7K	-771.0K	-592	0.43	97.08	370	160	445	115
2015-04-24	$20.08	$17.20	14.2%	4.1%	13.6%	4.9%	17.2%	3.7%	1.3%	8.9K	-752.3K	-626	0.43	96.62	370	160	445	165
2015-04-27	$20.00	$17.20	15.7%	4.5%	13.8%	7.2%	16.5%	2.1%	-0.2%	7.2K	-751.6K	-647	0.43	97.93	370	160	445	165
2015-04-28	$20.05	$17.20	15.3%	4.4%	13.5%	6.5%	17.8%	4.9%	0.2%	6.6K	-754.2K	-635	0.43	96.06	370	160	445	165
2015-04-29	$20.26	$17.20	14.4%	4.1%	13.5%	5.2%	15.8%	2.3%	1.0%	4.9K	-784.0K	-545	0.38	98.65	420	160	445	165
2015-04-30	$19.92	$17.20	17.4%	5.0%	15.0%	9.7%	18.1%	1.6%	-0.7%	15.0K	-789.0K	-806	0.38	98.69	420	160	495	165