IGV Options History — July 2013

In July 2013, IGV traded between $13.62 and $14.66. ATM implied volatility averaged 14.9%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 0.1% (HV 20d: 15.0%). Max pain ranged from $13.60 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-07-15: Highest Volume — 55 contracts
  • 2013-07-05: Largest IV drop — 18.2% change
  • 2013-07-03: Highest IV Rank — 30.7%
  • 2013-07-03: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.26$13.62$14.66$13.67$14.66
Max Pain$13.85$13.60$14.00$13.60$14.00
ATM IV14.9%12.9%17.0%17.0%14.9%
Expected Move4.4%3.7%4.9%4.9%4.3%
HV 20d15.0%11.1%17.8%17.7%11.1%
HV 60d14.9%14.2%15.9%15.9%14.3%
IV Rank23.6%16.9%30.7%30.4%26.3%
IV Percentile24.9%9.1%38.9%37.7%28.6%
Term Structure1.7%-0.4%3.8%1.3%0.7%
VWIV14.1%13.8%14.3%14.3%13.8%
Skew 25d1.6%-27.3%4.2%3.0%2.4%
Skew 10d7.0%-0.6%14.0%7.8%2.3%
Call IV 25d15.1%12.0%43.0%15.3%13.4%
Put IV 25d16.7%14.7%18.6%18.3%15.8%
Bid-Ask Spread %71.2853.86101.9660.9974.13
Gamma HHI0.200.190.220.190.21
Net GEX26.5K22.8K30.2K25.2K22.8K
Net DEX-341.7K-461.1K-161.0K-186.5K-461.1K
Net VEX-1.6K-1.7K-1.4K-1.6K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume7.955055025
Total OI611.818580640605640

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$13.67$13.6017.0%4.9%17.7%30.4%0.0%3.0%1.3%25.2K-186.5K-1.6K0.0060.990051095
2013-07-02$13.62$13.6016.6%4.7%17.3%28.7%0.0%3.6%1.4%23.4K-161.0K-1.5K0.0085.890048595
2013-07-03$13.70$13.6017.0%4.9%17.1%30.7%0.0%4.1%1.4%25.7K-194.7K-1.6K0.0053.860051095
2013-07-05$13.91$13.8013.9%4.6%17.8%18.4%0.0%4.0%2.3%28.3K-244.1K-1.6K0.0060.7640051095
2013-07-08$13.90$13.8015.7%4.7%16.9%25.5%0.0%3.5%2.1%29.5K-247.9K-1.6K0.0060.490052095
2013-07-09$13.99$13.8014.1%4.4%16.9%19.2%0.0%3.7%3.0%30.2K-272.8K-1.6K0.0069.240052095
2013-07-10$14.10$13.8014.5%4.6%16.2%20.7%0.0%4.2%1.7%29.8K-305.2K-1.7K0.0070.840052095
2013-07-11$14.41$13.8014.6%4.2%17.4%20.9%0.0%3.8%2.6%27.5K-401.0K-1.7K0.0068.640052095
2013-07-12$14.46$13.8015.4%4.4%17.2%24.3%0.0%2.4%2.4%26.0K-420.3K-1.6K0.0068.770052095
2013-07-15$14.49$13.8015.4%4.4%16.8%24.4%0.0%3.0%2.9%27.7K-429.8K-1.6K0.0068.7355052095
2013-07-16$14.45$13.8016.5%4.7%16.5%28.6%0.0%2.3%1.3%26.5K-420.7K-1.6K0.0072.880052095
2013-07-17$14.49$13.8015.5%4.4%16.5%24.5%0.0%2.3%2.0%26.6K-401.6K-1.6K0.0072.550050095
2013-07-18$14.50$13.8015.0%4.3%16.4%22.6%0.0%2.0%1.9%26.9K-406.1K-1.6K0.0074.950050095
2013-07-19$14.34$13.8016.4%4.7%14.5%28.2%14.3%3.0%-0.4%28.3K-359.2K-1.6K0.0074.7302550095
2013-07-22$14.33$14.0014.0%4.0%13.7%21.9%0.0%2.1%1.3%27.5K-331.9K-1.6K0.0074.5650500120
2013-07-23$14.37$14.0014.4%4.1%12.4%23.9%0.0%2.2%0.8%26.9K-341.7K-1.5K0.0070.0900495120
2013-07-24$14.47$14.0013.8%3.9%12.4%20.8%0.0%2.1%1.3%24.6K-382.8K-1.5K0.0071.3600495120
2013-07-25$14.51$14.0013.4%3.8%12.1%19.2%0.0%2.6%1.4%24.3K-390.0K-1.5K0.0083.1400495120
2013-07-26$14.47$14.0012.9%3.7%11.3%16.9%0.0%-27.3%3.8%23.2K-367.6K-1.5K0.00101.9600495120
2013-07-29$14.44$14.0013.7%3.9%11.2%20.4%0.0%2.4%1.0%26.2K-372.5K-1.4K0.0067.36250495120
2013-07-30$14.54$14.0014.0%4.0%11.2%21.8%0.0%2.9%1.1%25.9K-419.7K-1.5K0.0062.2200520120
2013-07-31$14.66$14.0014.9%4.3%11.1%26.3%13.8%2.4%0.7%22.8K-461.1K-1.4K0.0074.13025520120