IGV Options History — May 2015

In May 2015, IGV traded between $19.76 and $20.51. ATM implied volatility averaged 15.3%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.3% (HV 20d: 14.0%). Max pain ranged from $17.20 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2015-05-15: Highest Volume — 870 contracts
2015-05-05: Largest IV spike — 31.9% change
2015-05-26: Highest IV Rank — 16.0%
2015-05-06: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.24	$19.76	$20.51	$20.05	$20.20
Max Pain	$19.86	$17.20	$20.00	$17.20	$20.00
ATM IV	15.3%	13.2%	19.7%	15.9%	15.1%
Expected Move	4.5%	3.8%	5.3%	4.6%	4.3%
HV 20d	14.0%	11.9%	15.9%	15.0%	11.9%
HV 60d	14.9%	14.6%	15.2%	15.2%	14.7%
IV Rank	9.3%	3.7%	16.0%	7.5%	12.4%
IV Percentile	29.0%	8.3%	60.3%	36.1%	30.2%
Term Structure	0.8%	-6.6%	3.8%	0.8%	0.4%
VWIV	16.0%	12.6%	19.1%	17.2%	15.4%
Skew 25d	4.5%	1.2%	7.8%	4.8%	2.3%
Skew 10d	9.2%	3.3%	15.8%	6.6%	3.3%
Call IV 25d	13.2%	9.6%	15.8%	15.0%	14.0%
Put IV 25d	17.7%	15.6%	20.5%	19.8%	16.2%
Bid-Ask Spread %	88.31	74.62	96.30	96.30	96.05
Gamma HHI	0.23	0.15	0.45	0.18	0.15
Net GEX	15.9K	2.5K	31.5K	16.6K	20.1K
Net DEX	-578.7K	-923.4K	-207.7K	-801.1K	-207.7K
Net VEX	-1.5K	-2.3K	-669	-776	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	0.57	0.38	0.57
Total Volume	499.75	0	870	580	635
Total OI	648	460	895	660	635

Daily Data (20 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
2015-05-01	$20.05	$17.20	15.9%	4.6%	15.0%	7.5%	17.2%	4.8%	0.8%	16.6K	-801.1K	-776	0.38	96.30	420	160	495	165
2015-05-04	$20.04	$20.00	13.5%	4.6%	14.7%	3.7%	19.1%	2.4%	1.7%	8.2K	-803.7K	-690	0.40	80.99	25	10	485	115
2015-05-05	$19.89	$20.00	17.8%	5.0%	15.1%	10.3%	16.8%	4.4%	1.6%	17.5K	-805.5K	-763	0.38	74.81	445	170	520	175
2015-05-06	$19.76	$20.00	19.7%	5.3%	15.2%	13.3%	18.1%	5.0%	-1.5%	16.2K	-788.2K	-754	0.38	74.62	445	170	520	175
2015-05-07	$19.92	$20.00	17.8%	5.0%	15.5%	10.4%	17.8%	4.1%	1.5%	24.4K	-790.4K	-766	0.38	74.92	445	170	520	175
2015-05-08	$20.18	$20.00	14.7%	4.6%	15.9%	5.7%	0.0%	5.4%	-6.6%	17.1K	-846.5K	-686	0.00	91.41	0	0	510	125
2015-05-11	$20.13	$20.00	15.2%	4.8%	15.4%	6.4%	0.0%	6.4%	3.7%	16.2K	-841.1K	-669	0.00	77.35	0	100	510	125
2015-05-12	$20.12	$20.00	15.2%	4.7%	15.3%	6.4%	17.1%	7.8%	0.3%	10.5K	-749.2K	-1.2K	0.55	83.88	525	290	520	275
2015-05-13	$20.20	$20.00	16.1%	4.6%	15.0%	7.7%	16.9%	4.2%	1.1%	16.8K	-841.7K	-1.8K	0.55	85.24	525	290	600	295
2015-05-14	$20.51	$20.00	14.6%	4.2%	15.7%	7.1%	16.9%	3.2%	2.4%	10.7K	-923.4K	-1.7K	0.55	89.00	525	290	600	295
2015-05-15	$20.35	$20.00	14.6%	4.2%	13.5%	10.8%	15.3%	4.2%	3.8%	2.5K	-913.6K	-1.7K	0.50	90.41	580	290	600	295
2015-05-18	$20.45	$20.00	14.3%	4.1%	12.9%	9.9%	0.0%	6.7%	1.1%	5.5K	-240.2K	-1.9K	0.00	95.41	0	0	280	180
2015-05-19	$20.43	$20.00	14.8%	4.2%	12.8%	11.5%	12.6%	6.7%	0.9%	5.9K	-252.7K	-1.9K	0.00	91.55	25	0	280	180
2015-05-20	$20.42	$20.00	14.2%	4.1%	12.6%	9.5%	14.7%	3.2%	0.9%	11.1K	-265.6K	-2.0K	0.51	91.84	355	180	305	180
2015-05-21	$20.50	$20.00	14.6%	4.2%	12.3%	10.7%	14.8%	3.4%	0.8%	22.5K	-294.5K	-2.1K	0.51	93.53	355	180	355	180
2015-05-22	$20.51	$20.00	13.2%	3.8%	12.2%	6.6%	14.4%	5.5%	1.1%	22.9K	-325.1K	-2.0K	0.51	92.80	355	180	355	180
2015-05-26	$20.28	$20.00	16.3%	4.7%	12.9%	16.0%	15.8%	4.7%	0.4%	19.4K	-253.5K	-2.0K	0.44	96.17	405	180	355	180
2015-05-27	$20.49	$20.00	14.5%	4.2%	13.3%	10.5%	15.0%	5.5%	0.8%	31.5K	-351.2K	-2.1K	0.57	95.04	405	230	405	180
2015-05-28	$20.39	$20.00	14.5%	4.2%	13.0%	10.5%	14.5%	1.2%	1.6%	22.9K	-279.3K	-2.2K	0.57	94.82	405	230	405	230
2015-05-29	$20.20	$20.00	15.1%	4.3%	11.9%	12.4%	15.4%	2.3%	0.4%	20.1K	-207.7K	-2.3K	0.57	96.05	405	230	405	230