IGV Options History — January 2017

In January 2017, IGV traded between $21.97 and $23.44. ATM implied volatility averaged 15.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.8% (HV 20d: 12.8%). Max pain ranged from $20.20 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2017-01-31: Highest Volume — 1,310 contracts
2017-01-25: Largest IV spike — 26.2% change
2017-01-03: Highest IV Rank — 21.6%
2017-01-05: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.88	$21.97	$23.44	$21.97	$23.44
Max Pain	$20.38	$20.20	$22.00	$22.00	$20.20
ATM IV	15.6%	13.3%	17.5%	17.5%	14.5%
Expected Move	4.5%	3.8%	5.1%	5.0%	4.2%
HV 20d	12.8%	10.3%	14.6%	14.6%	10.3%
HV 60d	16.1%	15.8%	16.6%	16.3%	15.8%
IV Rank	13.8%	4.3%	21.6%	21.6%	9.5%
IV Percentile	30.7%	2.4%	58.3%	56.7%	14.7%
Term Structure	1.3%	-1.6%	4.1%	1.0%	1.2%
VWIV	19.5%	16.7%	23.5%	17.3%	16.9%
Skew 25d	5.0%	0.8%	9.0%	6.5%	6.1%
Skew 10d	8.6%	-3.1%	13.5%	7.4%	9.5%
Call IV 25d	14.9%	11.4%	19.2%	15.3%	14.8%
Put IV 25d	19.9%	16.3%	22.7%	21.7%	21.0%
Bid-Ask Spread %	91.14	58.91	117.19	105.27	114.95
Gamma HHI	0.26	0.22	0.35	0.23	0.35
Net GEX	268.2K	162.1K	339.3K	162.1K	296.6K
Net DEX	-2.4M	-3.3M	-1.1M	-1.1M	-3.3M
Net VEX	-6.3K	-8.0K	-4.6K	-7.1K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.33	0.53	0.33	0.51
Total Volume	1,166	970	1,310	970	1,310
Total OI	3,644.75	3,470	3,755	3,470	3,715

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
2017-01-03	$21.97	$22.00	17.5%	5.0%	14.6%	21.6%	17.3%	6.5%	1.0%	162.1K	-1.1M	-7.1K	0.33	105.27	730	240	1,925	1,545
2017-01-04	$22.35	$22.00	16.1%	4.6%	14.2%	15.8%	16.8%	5.3%	1.6%	201.1K	-1.5M	-7.1K	0.40	115.96	780	310	1,930	1,550
2017-01-05	$22.39	$20.20	16.4%	5.1%	14.2%	17.0%	18.9%	4.6%	1.8%	197.7K	-1.7M	-8.0K	0.40	58.91	780	310	1,980	1,620
2017-01-06	$22.60	$20.20	14.7%	4.8%	13.6%	10.1%	19.0%	5.1%	1.6%	228.9K	-2.0M	-6.9K	0.40	59.32	780	310	1,980	1,620
2017-01-09	$22.62	$20.20	14.3%	4.6%	13.6%	8.7%	20.2%	7.0%	1.9%	270.1K	-2.0M	-6.4K	0.40	67.49	780	310	1,980	1,620
2017-01-10	$22.63	$20.20	14.7%	4.1%	13.5%	10.1%	19.9%	4.8%	4.1%	259.4K	-2.0M	-6.5K	0.39	80.53	785	310	1,980	1,620
2017-01-11	$22.87	$20.20	16.6%	4.8%	13.9%	17.9%	19.9%	3.8%	-1.6%	253.8K	-2.4M	-6.4K	0.39	76.78	785	310	1,990	1,620
2017-01-12	$22.84	$20.20	16.4%	4.7%	13.3%	17.2%	21.4%	3.1%	2.9%	284.8K	-2.4M	-6.2K	0.39	79.69	800	310	1,990	1,620
2017-01-13	$22.94	$20.20	15.8%	4.5%	13.0%	14.8%	22.1%	4.5%	0.5%	286.3K	-2.5M	-6.3K	0.46	89.87	775	360	2,005	1,620
2017-01-17	$22.69	$20.20	17.2%	4.9%	13.7%	20.6%	16.7%	5.8%	0.9%	278.7K	-2.4M	-6.5K	0.53	79.92	775	410	2,030	1,670
2017-01-18	$22.80	$20.20	16.7%	4.8%	12.6%	18.6%	18.6%	5.2%	0.7%	281.4K	-2.4M	-6.8K	0.53	83.28	775	410	2,030	1,720
2017-01-19	$22.80	$20.20	16.9%	4.8%	12.6%	19.1%	19.2%	5.1%	4.0%	313.9K	-2.3M	-6.3K	0.53	94.40	770	410	2,030	1,720
2017-01-20	$22.94	$20.20	15.4%	4.4%	12.7%	13.0%	20.1%	4.7%	2.8%	277.7K	-2.6M	-6.3K	0.53	84.45	770	410	2,035	1,720
2017-01-23	$22.96	$20.20	14.9%	4.3%	12.6%	11.1%	19.3%	4.4%	0.4%	297.6K	-2.5M	-5.9K	0.50	84.89	765	385	1,970	1,590
2017-01-24	$23.29	$20.20	13.3%	3.8%	11.9%	4.3%	23.5%	3.9%	2.0%	339.3K	-2.9M	-5.6K	0.51	104.90	760	385	2,020	1,640
2017-01-25	$23.44	$20.20	16.7%	4.8%	11.9%	18.5%	23.0%	0.8%	-1.3%	279.0K	-3.3M	-5.5K	0.50	106.93	870	435	2,025	1,640
2017-01-26	$23.37	$20.20	14.3%	4.1%	12.1%	8.7%	18.8%	6.5%	2.2%	288.3K	-3.1M	-5.6K	0.50	107.52	870	435	2,025	1,690
2017-01-27	$23.42	$20.20	14.1%	4.1%	11.0%	8.0%	21.8%	9.0%	0.9%	278.2K	-3.2M	-5.5K	0.50	110.61	870	435	2,025	1,690
2017-01-30	$23.34	$20.20	15.1%	4.3%	11.2%	11.9%	17.2%	3.5%	-1.5%	288.4K	-3.0M	-5.5K	0.50	117.19	870	435	2,025	1,690
2017-01-31	$23.44	$20.20	14.5%	4.2%	10.3%	9.5%	16.9%	6.1%	1.2%	296.6K	-3.3M	-4.6K	0.51	114.95	870	440	2,025	1,690