IGV Options History — August 2013

In August 2013, IGV traded between $14.51 and $15.00. ATM implied volatility averaged 16.2%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 4.3% (HV 20d: 11.8%). Max pain ranged from $14.00 to $14.80. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.05.

Notable Days

  • 2013-08-26: Highest Volume — 270 contracts
  • 2013-08-22: Largest IV spike — 86.0% change
  • 2013-08-22: Highest IV Rank — 94.9%
  • 2013-08-22: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.76$14.51$15.00$14.89$14.68
Max Pain$14.57$14.00$14.80$14.00$14.60
ATM IV16.2%9.8%29.6%13.9%18.5%
Expected Move4.9%4.0%8.5%4.0%5.3%
HV 20d11.8%9.4%15.1%11.8%14.0%
HV 60d14.4%14.1%14.9%14.6%14.6%
IV Rank32.1%2.2%94.9%21.3%43.1%
IV Percentile36.9%0.4%99.6%16.3%61.9%
Term Structure-0.2%-8.5%1.5%0.9%1.0%
VWIV16.7%15.1%20.1%16.2%16.6%
Skew 25d1.6%-30.4%4.7%1.7%4.2%
Skew 10d7.3%0.9%12.0%2.4%9.0%
Call IV 25d17.6%11.6%42.6%13.2%16.1%
Put IV 25d19.2%12.1%43.5%14.9%20.4%
Bid-Ask Spread %79.4655.93170.3663.5470.02
Gamma HHI0.190.140.340.210.14
Net GEX11.6K-8.6K19.3K14.2K17.7K
Net DEX-318.8K-510.1K-175.1K-510.1K-215.6K
Net VEX-1.4K-1.8K-1.3K-1.3K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.370.000.00
Total Volume45.2270270150
Total OI675.682605890665605

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$14.89$14.0013.9%4.0%11.8%21.3%16.2%1.7%0.9%14.2K-510.1K-1.3K0.0063.54150520145
2013-08-02$14.87$14.0014.4%4.1%11.2%23.9%20.1%4.7%-1.9%14.0K-491.7K-1.3K0.0081.681200505145
2013-08-05$14.89$14.8012.3%4.1%11.1%14.3%0.0%2.4%1.1%13.7K-480.2K-1.4K0.0062.2100520145
2013-08-06$14.80$14.8012.6%4.1%11.5%15.7%0.0%2.4%1.5%13.8K-447.7K-1.4K0.0055.9300520145
2013-08-07$14.76$14.8013.4%4.2%11.6%19.4%15.1%3.0%1.4%13.8K-431.6K-1.4K0.0060.33050520145
2013-08-08$14.89$14.6012.2%4.3%9.4%13.4%15.6%3.0%1.4%6.9K-456.2K-1.5K0.3758.4113550520195
2013-08-09$14.88$14.6012.2%4.4%9.4%13.5%0.0%3.0%1.2%2.6K-441.1K-1.8K0.0056.1450645245
2013-08-12$14.96$14.6014.4%4.2%9.5%23.9%0.0%3.3%1.2%5.5K-468.8K-1.7K0.0061.591250640245
2013-08-13$15.00$14.6011.1%4.1%9.4%8.4%0.0%2.9%0.5%1.6K-379.8K-1.4K0.0068.36250545245
2013-08-14$14.97$14.609.8%4.2%9.5%2.2%0.0%3.5%0.9%-1.5K-341.4K-1.4K0.0064.9900520245
2013-08-15$14.67$14.6016.5%4.7%12.3%33.5%16.6%3.4%0.2%-8.6K-208.6K-1.4K0.0065.020100520245
2013-08-16$14.64$14.6015.6%4.5%11.5%29.6%0.0%3.1%1.1%5.6K-244.2K-1.3K0.0065.110100520175
2013-08-19$14.52$14.6016.1%4.6%12.0%31.7%0.0%3.4%0.2%18.2K-175.7K-1.4K0.0062.3400460145
2013-08-20$14.60$14.6029.0%8.3%12.1%92.2%0.0%1.5%-5.7%15.6K-216.0K-1.4K0.00170.3600460145
2013-08-21$14.55$14.6015.9%4.6%11.9%30.9%0.0%3.8%0.6%18.0K-180.4K-1.3K0.0069.8600460145
2013-08-22$14.74$14.6029.6%8.5%12.8%94.9%0.0%3.5%-8.5%14.6K-215.9K-1.5K0.00167.4600460145
2013-08-23$14.84$14.6014.9%4.3%12.9%26.4%0.0%2.8%0.7%19.0K-245.7K-1.4K0.0076.4200460145
2013-08-26$14.83$14.6015.8%4.5%12.8%30.3%0.0%3.0%0.8%19.3K-250.7K-1.4K0.0078.092700460145
2013-08-27$14.51$14.6017.0%4.9%15.1%36.1%0.0%4.2%0.8%16.9K-175.1K-1.4K0.0074.1600460145
2013-08-28$14.52$14.6017.0%4.9%14.7%35.8%0.0%3.3%0.5%17.6K-178.4K-1.4K0.0070.8700460145
2013-08-29$14.65$14.6023.6%6.8%14.0%66.8%0.0%-30.4%-3.8%17.1K-257.7K-1.3K0.00145.1300460145
2013-08-30$14.68$14.6018.5%5.3%14.0%43.1%0.0%4.2%1.0%17.7K-215.6K-1.4K0.0070.0200460145