IGV Options History — July 2014 In July 2014, IGV traded between $16.83 and $17.41. ATM implied volatility averaged 15.2%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.1% (HV 20d: 12.1%). Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-28 : Highest Volume — 140 contracts2014-07-31 : Largest IV spike — 36.8% change2014-07-31 : Highest IV Rank — 14.6%2014-07-31 : Largest Expected Move — 6.0%Monthly Statistics Metric Avg Min Max Open Close Price $17.07 $16.83 $17.41 $17.40 $16.97 ATM IV 15.2% 12.0% 19.5% 15.2% 19.5% Expected Move 5.6% 5.1% 6.0% 5.2% 6.0% HV 20d 12.1% 10.0% 14.5% 10.2% 14.5% HV 60d 14.2% 13.0% 16.6% 16.6% 13.6% IV Rank 8.2% 3.4% 14.6% 8.2% 14.6% IV Percentile 33.1% 0.8% 62.7% 35.3% 62.7% Term Structure 2.2% -0.7% 8.9% 8.9% -0.7% Skew 25d 5.0% 1.4% 23.5% 23.5% 5.5% Skew 10d 10.7% -0.1% 28.9% 28.9% 8.8% Call IV 25d 13.9% 11.9% 16.5% 15.2% 16.5% Put IV 25d 18.9% 13.6% 38.7% 38.7% 22.0% Bid-Ask Spread % 24.36 17.81 87.89 87.89 20.64 Gamma HHI 0.44 0.29 0.60 0.60 0.33 Net GEX -6.8K -38.9K 7.5K 6.4K -20.1K Net DEX -62.4K -189.1K 110.1K -188.8K 110.1K Net VEX -854 -1.3K -657 -693 -1.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 24.091 0 140 0 35 Total OI 361.591 220 515 275 455
Daily Data (22 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 2014-07-01 $17.40 $0.00 15.2% 5.2% 10.2% 8.2% 0.0% 23.5% 8.9% 6.4K -188.8K -693 0.00 87.89 0 0 185 90 2014-07-02 $17.34 $0.00 12.0% 5.7% 10.5% 3.4% 0.0% 1.4% 2.5% 6.7K -182.9K -675 0.00 20.47 0 0 185 90 2014-07-03 $17.41 $0.00 12.4% 5.6% 10.0% 3.9% 0.0% 2.4% 2.1% 7.1K -189.1K -657 0.00 20.17 0 0 185 90 2014-07-07 $17.20 $0.00 12.8% 5.1% 10.7% 4.6% 0.0% 3.1% 2.9% 6.4K -166.2K -660 0.00 32.66 0 0 185 90 2014-07-08 $16.87 $0.00 16.6% 5.8% 13.1% 10.2% 0.0% 4.4% 2.8% 5.6K -113.6K -688 0.00 21.46 0 80 185 90 2014-07-09 $16.87 $0.00 15.3% 5.7% 13.1% 8.3% 0.0% 5.1% 3.0% -16.3K -48.7K -768 0.00 23.13 0 0 185 170 2014-07-10 $16.85 $0.00 16.1% 5.5% 13.1% 9.5% 0.0% 4.3% 2.3% -16.2K -43.4K -754 0.00 21.16 0 50 185 170 2014-07-11 $16.84 $0.00 16.0% 5.6% 12.8% 9.3% 0.0% 4.5% 2.5% -24.0K -8.3K -926 0.00 22.19 0 25 185 220 2014-07-14 $16.97 $0.00 15.4% 5.5% 12.6% 8.5% 0.0% 4.8% 2.4% -38.9K -37.8K -886 0.00 20.23 100 0 185 245 2014-07-15 $16.89 $0.00 16.2% 5.6% 12.5% 9.7% 0.0% 4.9% 2.0% -3.2K -58.3K -926 0.00 19.32 0 0 270 245 2014-07-16 $16.96 $0.00 14.9% 5.4% 11.8% 7.7% 0.0% 3.5% 2.7% -595 -126.9K -871 0.00 21.95 0 0 270 245 2014-07-17 $16.83 $0.00 18.3% 5.8% 11.3% 12.8% 0.0% 4.1% 0.3% -8.6K -28.1K -864 0.00 20.99 0 0 270 245 2014-07-18 $17.01 $0.00 15.0% 5.5% 12.1% 7.9% 0.0% 5.9% 2.8% 7.5K -161.5K -804 0.00 22.55 0 0 270 245 2014-07-21 $16.98 $0.00 16.0% 5.6% 12.0% 9.4% 0.0% 4.5% 0.6% 3.3K -57.1K -733 0.00 19.27 0 5 135 90 2014-07-22 $17.10 $0.00 15.6% 5.6% 12.2% 8.7% 0.0% 4.0% 1.4% 4.6K -69.3K -712 0.00 21.19 0 0 135 85 2014-07-23 $17.03 $0.00 14.6% 5.5% 12.0% 7.3% 0.0% 3.1% 1.7% 4.2K -64.7K -711 0.00 21.65 0 95 135 85 2014-07-24 $17.20 $0.00 14.5% 5.4% 12.5% 7.1% 0.0% 5.0% 1.9% -10.7K -12.7K -860 0.00 18.68 0 0 135 180 2014-07-25 $17.17 $0.00 14.4% 5.6% 12.5% 6.9% 0.0% 3.9% 2.4% -11.5K -10.6K -857 0.00 17.81 0 0 135 180 2014-07-28 $17.15 $0.00 14.5% 5.5% 12.4% 7.1% 0.0% 3.3% 1.8% -13.1K -9.1K -836 0.00 18.20 0 140 135 180 2014-07-29 $17.17 $0.00 15.1% 5.3% 12.4% 8.0% 0.0% 3.4% 1.1% -20.9K 63.5K -1.3K 0.00 22.84 0 0 135 320 2014-07-30 $17.35 $0.00 14.3% 5.5% 12.3% 6.7% 0.0% 5.0% 1.6% -17.2K 31.7K -1.3K 0.00 21.44 0 0 135 320 2014-07-31 $16.97 $0.00 19.5% 6.0% 14.5% 14.6% 0.0% 5.5% -0.7% -20.1K 110.1K -1.3K 0.00 20.64 0 35 135 320
« Jun 2014 | All History | Aug 2014 » Home IGV History July 2014