IGV Options History — February 2017

In February 2017, IGV traded between $23.29 and $24.86. ATM implied volatility averaged 13.6%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.8% (HV 20d: 9.7%). Max pain ranged from $20.20 to $23.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 3.19.

Notable Days

2017-02-15: Highest Volume — 3,450 contracts
2017-02-06: Largest IV spike — 36.4% change
2017-02-22: Highest IV Rank — 28.4%
2017-02-01: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.24	$23.29	$24.86	$23.29	$24.57
Max Pain	$22.85	$20.20	$23.00	$20.20	$23.00
ATM IV	13.6%	10.8%	16.6%	16.6%	13.6%
Expected Move	4.0%	3.4%	4.8%	4.8%	3.9%
HV 20d	9.7%	8.8%	10.7%	10.6%	9.8%
HV 60d	14.9%	14.2%	15.9%	15.9%	14.2%
IV Rank	13.2%	0.0%	28.4%	18.1%	16.0%
IV Percentile	10.5%	0.0%	51.2%	51.2%	6.7%
Term Structure	1.7%	-5.9%	5.9%	-0.5%	1.5%
VWIV	18.6%	11.7%	29.8%	19.8%	23.7%
Skew 25d	3.9%	-0.4%	7.8%	7.8%	4.4%
Skew 10d	7.2%	-0.6%	13.7%	1.0%	8.0%
Call IV 25d	14.0%	10.7%	18.4%	15.0%	18.4%
Put IV 25d	17.8%	13.3%	22.8%	22.8%	22.8%
Bid-Ask Spread %	100.21	78.46	119.92	119.92	113.10
Gamma HHI	0.47	0.15	0.69	0.28	0.52
Net GEX	6.3K	-232.1K	353.1K	288.1K	-136.5K
Net DEX	-2.4M	-4.6M	652.3K	-3.0M	534.0K
Net VEX	-7.3K	-12.0K	-3.7K	-5.4K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.19	0.51	9.00	0.51	5.61
Total Volume	2,316.842	1,310	3,450	1,310	2,710
Total OI	4,084.737	2,975	6,080	3,770	3,175

Daily Data (19 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
2017-02-01	$23.29	$20.20	16.6%	4.8%	10.6%	18.1%	19.8%	7.8%	-0.5%	288.1K	-3.0M	-5.4K	0.51	119.92	870	440	2,025	1,745
2017-02-02	$23.47	$23.00	13.7%	4.3%	9.4%	6.1%	16.0%	3.7%	1.9%	353.1K	-3.5M	-4.2K	0.51	79.22	870	440	2,025	1,745
2017-02-03	$23.73	$23.00	10.8%	4.2%	9.9%	0.0%	15.4%	4.3%	1.7%	194.6K	-3.9M	-3.8K	0.51	90.10	870	440	2,025	1,745
2017-02-06	$23.65	$23.00	14.7%	4.2%	9.9%	15.2%	16.5%	3.7%	1.3%	197.5K	-3.8M	-3.8K	0.55	80.04	875	480	2,025	1,745
2017-02-07	$23.70	$23.00	12.5%	4.0%	9.8%	6.5%	16.5%	3.4%	2.9%	196.2K	-3.9M	-4.1K	0.55	78.46	875	480	2,030	1,785
2017-02-08	$23.68	$23.00	13.7%	3.9%	9.9%	11.2%	16.8%	5.0%	5.9%	213.7K	-3.8M	-4.0K	0.52	95.00	955	500	2,030	1,785
2017-02-09	$23.94	$23.00	12.5%	3.6%	9.9%	7.1%	16.2%	4.4%	2.4%	163.7K	-4.2M	-4.2K	0.65	88.29	955	625	2,130	1,805
2017-02-10	$24.29	$23.00	14.8%	4.2%	10.7%	16.4%	16.6%	4.0%	1.5%	15.9K	-4.6M	-3.7K	0.84	85.38	910	765	2,130	1,930
2017-02-13	$24.36	$23.00	13.5%	3.9%	10.7%	14.7%	18.1%	3.1%	2.7%	45.9K	-4.4M	-4.4K	2.73	95.86	910	2,485	2,130	2,070
2017-02-14	$24.33	$23.00	12.9%	3.7%	9.6%	12.2%	17.8%	2.9%	3.5%	-147.6K	-3.2M	-12.0K	2.77	89.06	910	2,525	2,125	3,930
2017-02-15	$24.53	$23.00	13.8%	4.0%	9.7%	17.2%	23.4%	5.5%	-0.3%	-149.2K	-3.4M	-11.1K	2.73	115.98	925	2,525	2,110	3,970
2017-02-16	$24.52	$23.00	12.8%	3.7%	9.7%	11.2%	12.6%	2.5%	3.8%	-140.8K	-3.3M	-11.3K	2.73	102.03	925	2,525	2,040	3,970
2017-02-17	$24.64	$23.00	13.0%	3.7%	9.7%	12.8%	11.7%	4.6%	5.7%	-153.7K	-3.4M	-10.6K	4.81	100.50	525	2,525	2,040	3,970
2017-02-21	$24.79	$23.00	11.9%	3.4%	9.7%	6.2%	0.0%	-0.4%	0.2%	-133.6K	652.3K	-10.4K	9.00	115.39	255	2,295	385	2,590
2017-02-22	$24.73	$23.00	15.7%	4.5%	9.1%	28.4%	21.6%	5.0%	-5.9%	-232.1K	22.0K	-7.2K	7.65	114.62	300	2,295	435	2,590
2017-02-23	$24.74	$23.00	14.4%	4.1%	9.1%	20.6%	0.0%	1.5%	1.1%	-133.8K	621.1K	-10.7K	6.56	110.70	350	2,295	485	2,590
2017-02-24	$24.86	$23.00	12.9%	3.7%	8.8%	12.2%	29.8%	4.3%	1.2%	-216.1K	-166.2K	-6.8K	5.74	113.57	400	2,295	535	2,590
2017-02-27	$24.80	$23.00	14.0%	4.0%	9.0%	18.5%	23.2%	3.7%	2.2%	-106.5K	408.8K	-10.8K	5.74	116.67	400	2,295	585	2,590
2017-02-28	$24.57	$23.00	13.6%	3.9%	9.8%	16.0%	23.7%	4.4%	1.5%	-136.5K	534.0K	-11.1K	5.61	113.10	410	2,300	585	2,590