IGV Options History — October 2013

In October 2013, IGV traded between $14.77 and $15.40. ATM implied volatility averaged 16.0%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 0.3% (HV 20d: 15.7%). Max pain ranged from $13.80 to $15.40. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-10-21: Highest Volume — 70 contracts
  • 2013-10-16: Largest IV drop — 16.1% change
  • 2013-10-08: Highest IV Rank — 40.9%
  • 2013-10-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.21$14.77$15.40$15.36$15.26
Max Pain$13.94$13.80$15.40$15.40$14.00
ATM IV16.0%12.7%21.1%15.9%13.4%
Expected Move4.6%3.6%6.1%4.6%3.8%
HV 20d15.7%11.4%17.6%11.4%15.8%
HV 60d13.7%12.1%14.4%12.3%14.0%
IV Rank23.1%11.7%40.9%22.8%14.3%
IV Percentile46.0%11.1%81.7%50.0%15.1%
Term Structure1.1%-0.5%3.4%0.5%2.5%
VWIV14.4%13.4%16.6%16.6%14.4%
Skew 25d3.4%-0.0%5.3%3.4%-0.0%
Skew 10d8.8%-0.5%17.4%3.5%2.7%
Call IV 25d14.7%11.9%18.7%14.5%13.3%
Put IV 25d18.1%13.3%24.0%17.9%13.3%
Bid-Ask Spread %61.1546.3176.5067.9766.05
Gamma HHI0.250.210.290.240.28
Net GEX28.6K19.8K38.0K26.6K37.6K
Net DEX-400.7K-505.0K-243.2K-406.6K-505.0K
Net VEX-998-1.2K-772-1.2K-822
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume7.82607000
Total OI718.696675755675755

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$15.36$0.0015.9%4.6%11.4%22.8%0.0%3.4%0.5%26.6K-406.6K-1.2K0.0067.9700560115
2013-10-02$15.40$0.0016.0%4.6%11.4%23.2%16.6%3.7%1.2%26.4K-407.3K-1.1K0.0062.48020560115
2013-10-03$15.19$15.4017.1%4.9%12.7%27.0%0.0%5.3%0.5%22.9K-343.2K-1.2K0.0062.0600560135
2013-10-04$15.37$13.8016.4%4.9%13.3%24.5%0.0%4.5%0.6%22.4K-388.5K-1.2K0.0070.40100560135
2013-10-07$15.18$13.8018.4%5.4%13.5%31.4%0.0%4.1%0.7%23.0K-347.3K-1.2K0.0071.0700570135
2013-10-08$14.84$13.8021.1%6.1%15.2%40.9%0.0%5.3%-0.5%23.5K-260.9K-1.2K0.0068.6900570135
2013-10-09$14.77$13.8019.1%5.8%15.1%34.0%0.0%4.8%-0.1%24.4K-243.2K-1.1K0.0069.3900570135
2013-10-10$15.03$13.8018.1%5.2%16.5%30.6%0.0%4.6%0.3%25.1K-309.6K-1.1K0.0069.9600570135
2013-10-11$15.16$13.8018.1%5.2%16.8%30.3%0.0%3.8%1.6%23.7K-340.6K-1.1K0.0076.5000570135
2013-10-14$15.22$13.8017.5%5.0%16.7%28.3%0.0%4.3%0.3%22.9K-358.8K-1.0K0.0064.8400570135
2013-10-15$14.98$13.8018.7%5.4%17.6%32.6%0.0%4.1%-0.2%25.1K-297.4K-9990.0063.5400570135
2013-10-16$15.13$13.8015.7%4.5%16.6%22.2%0.0%3.7%1.7%23.8K-335.2K-9360.0067.2100570135
2013-10-17$15.21$13.8014.2%4.1%16.7%16.8%14.0%3.5%2.6%22.1K-369.9K-8360.0064.85250570135
2013-10-18$15.34$13.8012.7%3.6%17.0%11.7%13.4%2.5%3.4%19.8K-446.3K-8330.0052.74100595135
2013-10-21$15.40$13.8013.0%3.7%16.9%12.8%13.5%2.4%1.6%31.6K-471.6K-7720.0048.73700590115
2013-10-22$15.40$13.8014.6%4.2%16.5%18.3%14.4%1.9%1.4%32.5K-483.3K-8830.0050.66450610115
2013-10-23$15.23$14.0016.4%4.7%16.9%24.7%0.0%4.2%0.8%37.8K-448.8K-1.0K0.0061.1600640115
2013-10-24$15.27$14.0014.5%4.1%16.8%17.9%0.0%1.8%1.7%37.2K-479.7K-9550.0054.9200640115
2013-10-25$15.31$14.0014.3%4.1%16.8%17.2%0.0%2.0%1.7%37.3K-493.5K-9230.0049.3300640115
2013-10-28$15.29$14.0014.6%4.2%16.7%18.3%0.0%2.8%0.8%38.0K-483.9K-9080.0048.3200640115
2013-10-29$15.33$14.0013.8%4.0%16.5%15.6%0.0%4.0%1.1%37.5K-501.6K-8070.0046.3100640115
2013-10-30$15.27$14.0013.7%3.9%16.6%15.1%0.0%1.6%2.3%36.9K-494.1K-8620.0049.3200640115
2013-10-31$15.26$14.0013.4%3.8%15.8%14.3%0.0%-0.0%2.5%37.6K-505.0K-8220.0066.0500640115