IGV Options History — August 2015

In August 2015, IGV traded between $18.42 and $20.89. ATM implied volatility averaged 19.9%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.1% (HV 20d: 17.8%). Max pain ranged from $17.60 to $20.60. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2015-08-20: Highest Volume — 1,005 contracts
2015-08-21: Largest IV spike — 36.6% change
2015-08-26: Highest IV Rank — 76.9%
2015-08-26: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.00	$18.42	$20.89	$20.41	$19.07
Max Pain	$20.20	$17.60	$20.60	$20.20	$17.60
ATM IV	19.9%	13.3%	32.8%	13.9%	28.4%
Expected Move	5.8%	3.8%	9.4%	4.0%	8.1%
HV 20d	17.8%	11.4%	27.2%	11.6%	27.2%
HV 60d	14.9%	12.3%	19.0%	12.6%	18.8%
IV Rank	31.5%	7.9%	76.9%	10.2%	61.3%
IV Percentile	59.1%	10.7%	99.2%	17.1%	96.0%
Term Structure	-1.0%	-9.7%	9.8%	1.3%	-1.5%
VWIV	20.4%	12.0%	43.1%	12.4%	32.3%
Skew 25d	5.4%	-4.9%	11.8%	6.6%	7.0%
Skew 10d	10.5%	-1.4%	24.5%	3.4%	12.3%
Call IV 25d	19.4%	9.0%	52.3%	9.0%	25.6%
Put IV 25d	24.8%	15.3%	53.2%	15.6%	32.5%
Bid-Ask Spread %	90.29	70.05	126.93	103.66	81.74
Gamma HHI	0.17	0.10	0.34	0.26	0.13
Net GEX	-1.7K	-21.6K	17.6K	-5.5K	4.1K
Net DEX	-159.1K	-470.0K	224.0K	-229.3K	14.5K
Net VEX	-2.9K	-3.3K	-2.7K	-2.8K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.67	1.11	0.67	1.06
Total Volume	727.619	0	1,005	0	700
Total OI	1,011.429	755	1,185	1,020	805

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
2015-08-03	$20.41	$20.20	13.9%	4.0%	11.6%	10.2%	0.0%	6.6%	1.3%	-5.5K	-229.3K	-2.8K	0.00	103.66	0	0	585	435
2015-08-04	$20.46	$20.20	14.7%	4.2%	11.4%	12.8%	12.4%	5.4%	0.8%	-3.0K	-272.1K	-2.8K	0.67	98.49	495	330	595	435
2015-08-05	$20.74	$20.20	13.3%	3.8%	11.8%	7.9%	12.0%	3.7%	0.7%	1.9K	-445.3K	-2.7K	0.67	100.52	495	330	595	435
2015-08-06	$20.35	$0.00	14.9%	4.6%	13.5%	13.7%	0.0%	2.2%	1.8%	-2.6K	-278.9K	-2.8K	0.76	82.48	495	375	595	435
2015-08-07	$20.43	$0.00	15.3%	4.6%	13.3%	15.2%	0.0%	6.3%	1.5%	-7.3K	-174.8K	-3.0K	0.84	80.32	495	415	595	480
2015-08-10	$20.67	$0.00	14.4%	4.4%	13.6%	11.8%	15.1%	4.0%	9.8%	-10.5K	-322.6K	-3.0K	0.83	81.35	500	415	595	520
2015-08-11	$20.45	$20.60	16.7%	4.8%	14.1%	20.0%	0.0%	3.6%	1.9%	-12.1K	-214.0K	-3.0K	0.00	86.12	0	0	590	520
2015-08-12	$20.49	$20.60	16.2%	4.6%	14.0%	18.3%	15.5%	4.5%	1.6%	-8.5K	-167.6K	-3.0K	0.75	81.82	555	415	600	520
2015-08-13	$20.48	$20.60	16.8%	4.8%	13.7%	20.5%	15.4%	6.1%	-0.6%	-5.6K	-217.6K	-3.3K	0.74	80.30	560	415	625	510
2015-08-14	$20.69	$20.60	16.8%	4.8%	14.1%	20.3%	16.6%	5.9%	-1.0%	17.6K	-381.1K	-2.9K	0.77	85.33	540	415	625	510
2015-08-17	$20.89	$20.60	15.4%	4.4%	14.4%	15.5%	16.6%	5.7%	1.9%	-1.2K	-470.0K	-2.8K	0.77	84.97	540	415	625	510
2015-08-18	$20.78	$20.60	15.4%	4.4%	14.5%	15.6%	16.1%	4.0%	-4.8%	-3.8K	-450.2K	-3.0K	0.77	83.94	540	415	625	510
2015-08-19	$20.62	$20.60	16.4%	4.7%	14.7%	19.1%	0.0%	5.5%	0.6%	-2.6K	-323.5K	-2.9K	0.00	87.51	0	0	615	510
2015-08-20	$19.92	$20.60	20.5%	5.9%	19.3%	33.4%	19.4%	3.2%	-4.0%	-21.6K	-69.1K	-3.0K	0.70	83.73	590	415	625	510
2015-08-21	$19.25	$20.60	28.0%	8.0%	22.6%	60.0%	23.7%	9.1%	-9.7%	4.7K	224.0K	-3.1K	0.77	70.05	565	435	675	510
2015-08-24	$18.54	$20.60	28.4%	8.1%	25.2%	61.4%	43.1%	-4.9%	-3.5%	4.5K	144.1K	-2.7K	1.11	123.86	320	355	425	330
2015-08-25	$18.42	$20.60	28.3%	8.1%	24.6%	61.2%	27.0%	3.6%	-5.9%	2.6K	33.8K	-3.0K	1.11	126.93	320	355	425	360
2015-08-26	$18.86	$20.60	32.8%	9.4%	26.4%	76.9%	15.9%	11.8%	-3.3%	5.9K	159.3K	-2.8K	1.09	84.64	325	355	425	360
2015-08-27	$19.16	$20.60	23.0%	6.6%	27.0%	42.3%	17.7%	11.1%	-6.3%	3.9K	78.0K	-3.0K	1.04	107.52	340	355	430	360
2015-08-28	$19.23	$17.60	29.0%	8.3%	27.2%	63.6%	27.9%	9.9%	-3.3%	4.0K	20.3K	-3.1K	1.04	80.75	340	355	445	360
2015-08-31	$19.07	$17.60	28.4%	8.1%	27.2%	61.3%	32.3%	7.0%	-1.5%	4.1K	14.5K	-3.1K	1.06	81.74	340	360	445	360