IGV Options History — November 2015 In November 2015, IGV traded between $20.40 and $21.22. ATM implied volatility averaged 17.5%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 2.0% (HV 20d: 15.5%). Max pain ranged from $19.00 to $21.20. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.34.
Notable Days 2015-11-04 : Highest Volume — 965 contracts2015-11-27 : Largest IV spike — 26.8% change2015-11-02 : Highest IV Rank — 39.2%2015-11-02 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $20.97 $20.40 $21.22 $20.88 $21.11 Max Pain $20.38 $19.00 $21.20 $19.00 $21.20 ATM IV 17.5% 12.9% 22.3% 22.3% 16.8% Expected Move 5.1% 4.4% 6.4% 6.4% 4.8% HV 20d 15.5% 12.5% 17.3% 15.9% 12.6% HV 60d 21.4% 17.6% 23.6% 23.6% 17.6% IV Rank 22.5% 6.7% 39.2% 39.2% 17.1% IV Percentile 45.6% 5.2% 71.4% 71.4% 40.1% Term Structure 2.7% -0.0% 9.2% 3.4% 0.5% VWIV 20.6% 16.2% 32.0% 21.1% 17.6% Skew 25d 5.6% 0.3% 12.6% 4.5% 5.4% Skew 10d 10.9% 2.7% 18.1% 14.5% 3.8% Call IV 25d 15.3% 8.6% 38.7% 14.2% 11.5% Put IV 25d 20.9% 16.9% 39.0% 18.6% 16.9% Bid-Ask Spread % 109.45 93.87 131.92 109.32 122.86 Gamma HHI 0.19 0.10 0.31 0.22 0.12 Net GEX 8.4K -31.8K 43.1K 11.6K 14.0K Net DEX -442.0K -696.8K -81.9K -524.2K -247.6K Net VEX -2.1K -2.6K -1.8K -2.6K -2.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.34 0.00 1.51 1.51 1.27 Total Volume 623 0 965 915 0 Total OI 922.75 560 1,045 1,045 665
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 2015-11-02 $20.88 $19.00 22.3% 6.4% 15.9% 39.2% 21.1% 4.5% 3.4% 11.6K -524.2K -2.6K 1.51 109.32 365 550 525 520 2015-11-03 $21.08 $19.00 17.8% 5.1% 15.8% 23.5% 32.0% 0.3% 5.6% -373 -572.3K -2.4K 1.51 131.92 365 550 525 520 2015-11-04 $21.17 $19.00 15.2% 4.4% 15.8% 14.7% 20.5% 9.2% 1.2% 8.0K -642.9K -2.3K 1.33 123.19 415 550 525 520 2015-11-05 $21.07 $0.00 17.1% 4.9% 16.0% 21.2% 0.0% 7.5% 9.2% 8.4K -614.7K -2.4K 1.49 93.87 370 550 525 520 2015-11-06 $21.22 $0.00 12.9% 4.5% 16.0% 6.7% 0.0% 7.9% 2.7% 28.9K -696.8K -2.0K 0.00 105.26 0 0 505 520 2015-11-09 $20.95 $0.00 15.7% 5.2% 17.0% 16.3% 0.0% 7.6% 3.4% 9.9K -496.1K -2.1K 0.00 110.05 0 0 475 520 2015-11-10 $20.89 $0.00 18.1% 5.3% 16.8% 24.9% 0.0% 3.0% 2.0% 11.6K -463.0K -2.3K 1.49 101.02 370 550 495 520 2015-11-11 $20.96 $0.00 16.9% 4.8% 16.4% 20.5% 0.0% 2.3% 1.7% 4.5K -482.9K -2.2K 1.49 99.82 370 550 495 520 2015-11-12 $20.80 $0.00 18.1% 5.2% 15.7% 24.7% 0.0% 5.5% 4.5% 10.8K -516.3K -2.2K 1.49 102.49 370 550 495 520 2015-11-13 $20.40 $0.00 20.3% 5.8% 17.1% 32.3% 0.0% 4.2% 7.8% -10.0K -274.4K -2.3K 1.49 95.76 370 550 495 520 2015-11-16 $20.57 $0.00 18.8% 5.4% 17.3% 27.1% 0.0% 7.4% 1.2% -31.8K -325.0K -2.0K 0.00 100.94 0 0 475 520 2015-11-17 $20.69 $0.00 18.9% 5.4% 17.1% 27.7% 0.0% 5.9% 1.4% 3.5K -397.6K -2.1K 1.49 100.28 370 550 495 520 2015-11-18 $20.89 $0.00 17.3% 5.0% 16.6% 22.1% 0.0% 5.9% 3.8% 30.1K -512.5K -1.9K 1.49 105.11 370 550 495 520 2015-11-19 $21.12 $0.00 17.0% 4.9% 15.0% 20.7% 0.0% 4.2% -0.0% 43.1K -685.8K -1.8K 1.49 106.43 370 550 495 520 2015-11-20 $21.11 $0.00 16.1% 4.6% 14.4% 17.5% 16.2% 3.6% 3.2% -2.4K -694.0K -1.8K 1.36 110.82 405 550 495 520 2015-11-23 $21.06 $21.20 16.7% 4.8% 14.5% 19.8% 0.0% 3.9% 0.9% 4.8K -101.3K -1.8K 0.00 118.19 0 0 215 345 2015-11-24 $21.07 $21.20 17.1% 4.9% 14.2% 21.2% 0.0% 12.6% 1.0% 3.5K -81.9K -1.9K 0.00 113.79 100 0 215 345 2015-11-25 $21.12 $21.20 16.4% 4.7% 13.0% 18.9% 16.2% 3.7% 0.8% 11.2K -232.6K -2.4K 1.27 117.41 275 350 330 345 2015-11-27 $21.16 $21.20 20.8% 6.0% 12.5% 34.3% 17.6% 7.0% 0.4% 8.3K -277.9K -2.2K 1.27 120.39 275 350 335 345 2015-11-30 $21.11 $21.20 16.8% 4.8% 12.6% 17.1% 0.0% 5.4% 0.5% 14.0K -247.6K -2.2K 0.00 122.86 0 0 320 345
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