IGV Options History — September 2015

In September 2015, IGV traded between $18.46 and $19.58. ATM implied volatility averaged 27.1%, placing in the 56.7% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded below realized volatility by 1.1% (HV 20d: 28.2%). Max pain ranged from $17.60 to $20.40. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2015-09-24: Highest Volume — 860 contracts
2015-09-28: Largest IV spike — 25.0% change
2015-09-01: Highest IV Rank — 93.7%
2015-09-01: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.14	$18.46	$19.58	$18.46	$18.95
Max Pain	$19.71	$17.60	$20.40	$17.60	$19.60
ATM IV	27.1%	22.2%	37.6%	37.6%	28.2%
Expected Move	7.7%	6.4%	10.8%	10.8%	8.1%
HV 20d	28.2%	22.0%	32.0%	29.0%	22.0%
HV 60d	21.1%	19.7%	22.2%	19.7%	22.2%
IV Rank	56.7%	39.4%	93.7%	93.7%	60.8%
IV Percentile	89.4%	77.0%	99.6%	99.6%	93.7%
Term Structure	-1.3%	-7.4%	2.7%	-7.4%	-0.8%
VWIV	21.7%	17.2%	38.9%	38.9%	20.7%
Skew 25d	8.9%	5.2%	13.7%	10.2%	11.1%
Skew 10d	15.8%	0.5%	24.5%	2.4%	13.7%
Call IV 25d	22.5%	18.3%	28.2%	28.1%	22.8%
Put IV 25d	31.4%	24.2%	38.3%	38.3%	33.9%
Bid-Ask Spread %	78.92	60.22	94.45	94.45	84.27
Gamma HHI	0.13	0.11	0.15	0.12	0.11
Net GEX	15.6K	3.4K	22.9K	3.4K	16.5K
Net DEX	-13.8K	-142.9K	147.7K	85.0K	103.7K
Net VEX	-3.1K	-3.2K	-2.7K	-3.0K	-2.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.00	1.06	1.06	0.73
Total Volume	750.714	35	860	700	850
Total OI	950	810	1,025	810	1,025

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
2015-09-01	$18.46	$17.60	37.6%	10.8%	29.0%	93.7%	38.9%	10.2%	-7.4%	3.4K	85.0K	-3.0K	1.06	94.45	340	360	445	365
2015-09-02	$18.76	$17.60	29.5%	8.5%	29.3%	65.3%	22.5%	13.7%	-1.1%	4.5K	91.1K	-2.9K	1.06	82.50	340	360	445	365
2015-09-03	$18.94	$20.40	28.0%	7.7%	29.2%	59.8%	21.7%	9.7%	-4.5%	3.8K	54.8K	-3.0K	0.78	67.59	460	360	445	365
2015-09-04	$18.74	$20.40	28.2%	8.2%	29.2%	60.6%	22.3%	9.3%	1.3%	11.5K	89.0K	-3.0K	0.77	60.22	465	360	565	365
2015-09-08	$19.31	$20.40	28.7%	7.8%	31.2%	62.4%	0.0%	9.9%	-3.9%	12.9K	-18.6K	-3.2K	0.00	72.00	50	0	560	365
2015-09-09	$18.96	$20.40	27.6%	7.9%	31.5%	58.6%	23.2%	7.2%	-6.8%	13.0K	-64.6K	-3.2K	0.77	70.28	465	360	570	365
2015-09-10	$19.14	$20.40	26.6%	7.6%	31.8%	55.0%	22.3%	10.6%	-1.5%	14.8K	157	-3.1K	0.77	67.22	465	360	570	365
2015-09-11	$19.27	$20.40	26.1%	7.5%	32.0%	53.3%	19.7%	10.7%	0.7%	15.7K	-42.9K	-3.1K	0.75	72.95	480	360	570	365
2015-09-14	$19.20	$20.40	27.1%	7.8%	31.6%	56.8%	21.5%	8.6%	-0.6%	15.5K	-50.6K	-3.1K	0.74	73.26	485	360	585	365
2015-09-15	$19.47	$20.40	25.1%	7.2%	31.9%	49.6%	20.4%	11.2%	-1.5%	16.8K	-52.9K	-3.0K	0.00	81.04	35	0	580	365
2015-09-16	$19.58	$19.60	24.2%	6.9%	32.0%	46.7%	19.7%	9.3%	-1.4%	22.9K	-136.1K	-3.2K	0.77	75.15	470	360	615	365
2015-09-17	$19.49	$19.60	22.7%	6.5%	32.0%	41.2%	17.9%	5.2%	1.9%	22.4K	-142.9K	-3.2K	0.75	90.14	480	360	615	365
2015-09-18	$19.37	$19.60	23.5%	6.7%	29.8%	44.1%	19.3%	5.7%	0.5%	18.7K	-112.6K	-3.2K	0.75	80.33	480	360	625	365
2015-09-21	$19.55	$19.60	22.2%	6.4%	27.4%	39.4%	18.7%	8.7%	2.7%	21.7K	-98.7K	-3.2K	0.77	83.55	465	360	605	365
2015-09-22	$19.24	$19.60	25.7%	7.4%	24.3%	51.7%	20.8%	9.7%	0.9%	18.3K	3.1K	-3.0K	0.76	81.57	475	360	610	365
2015-09-23	$19.47	$19.60	24.0%	6.9%	24.3%	45.8%	20.1%	8.3%	0.6%	21.3K	-48.4K	-3.1K	0.73	83.60	490	360	620	365
2015-09-24	$19.35	$19.60	24.8%	7.1%	23.2%	48.7%	17.2%	10.5%	-0.6%	20.6K	-31.7K	-3.1K	0.72	86.32	500	360	640	365
2015-09-25	$19.31	$19.60	25.7%	7.4%	22.5%	51.6%	22.9%	6.2%	0.5%	21.3K	-83.1K	-3.2K	0.72	84.58	500	360	650	365
2015-09-28	$18.81	$19.60	32.1%	9.2%	24.4%	74.3%	23.0%	6.9%	-3.1%	16.9K	19.2K	-2.9K	0.73	83.36	495	360	650	365
2015-09-29	$18.65	$19.60	31.2%	9.0%	24.4%	71.3%	21.8%	5.2%	-2.0%	14.5K	147.7K	-2.7K	0.73	83.03	495	360	655	370
2015-09-30	$18.95	$19.60	28.2%	8.1%	22.0%	60.8%	20.7%	11.1%	-0.8%	16.5K	103.7K	-2.7K	0.73	84.27	490	360	655	370