IGV Options History — August 2014

In August 2014, IGV traded between $16.79 and $17.67. ATM implied volatility averaged 15.3%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.2% (HV 20d: 13.1%). Max pain ranged from $16.80 to $16.80. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2014-08-29: Highest Volume — 260 contracts
  • 2014-08-14: Largest IV spike — 25.6% change
  • 2014-08-07: Highest IV Rank — 16.1%
  • 2014-08-07: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.26$16.79$17.67$16.79$17.67
Max Pain$16.80$16.80$16.80$16.80$16.80
ATM IV15.3%12.6%20.5%19.1%12.9%
Expected Move5.6%5.0%6.5%6.1%5.2%
HV 20d13.1%9.6%14.9%14.8%9.6%
HV 60d12.7%12.0%13.9%13.8%12.1%
IV Rank6.7%1.1%16.1%14.0%1.4%
IV Percentile28.6%2.4%64.3%60.7%3.2%
Term Structure1.5%0.7%2.3%1.0%1.8%
VWIV20.6%19.0%21.6%21.3%19.0%
Skew 25d3.1%2.4%4.6%4.6%2.6%
Skew 10d4.5%1.8%14.2%14.2%4.8%
Call IV 25d14.9%11.0%19.1%17.8%11.7%
Put IV 25d18.0%14.2%22.3%22.3%14.2%
Bid-Ask Spread %21.1518.0823.8818.4220.03
Gamma HHI0.330.210.520.280.21
Net GEX-28.2K-48.9K-8.4K-24.8K-38.1K
Net DEX84.4K-6.2K187.5K182.0K71.4K
Net VEX-1.8K-2.0K-1.4K-1.4K-1.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.601.600.00
Total Volume39.5240260130260
Total OI569.524480660490660

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$16.79$0.0019.1%6.1%14.8%14.0%21.3%4.6%1.0%-24.8K182.0K-1.4K1.6018.425080135355
2014-08-04$16.96$16.8016.8%6.0%14.9%10.6%0.0%3.1%1.5%-27.2K123.1K-1.8K0.0020.9000185375
2014-08-05$16.93$16.8018.7%6.1%13.1%13.4%0.0%2.7%0.7%-26.8K134.7K-1.8K0.0018.8700185375
2014-08-06$16.92$16.8018.7%6.2%13.1%13.4%21.6%2.5%1.0%-26.5K128.9K-1.7K0.0018.08050185375
2014-08-07$16.86$16.8020.5%6.5%13.2%16.1%0.0%2.8%1.0%-29.2K187.5K-2.0K0.0020.3050185425
2014-08-08$16.96$16.8017.0%5.9%13.3%10.9%0.0%3.1%1.3%-36.1K167.4K-2.0K0.0019.3000190425
2014-08-11$17.08$16.8017.4%5.9%13.3%11.4%0.0%2.6%1.1%-39.4K122.2K-1.9K0.0021.2200190425
2014-08-12$16.99$16.8016.5%5.8%13.3%10.1%0.0%3.5%1.5%-46.9K153.8K-1.9K0.0021.79450190425
2014-08-13$17.17$16.8012.6%5.6%13.7%4.3%0.0%3.2%1.6%-48.8K81.3K-1.8K0.0021.5000180425
2014-08-14$17.21$16.8015.9%5.5%13.3%9.2%0.0%3.1%2.3%-39.7K45.4K-1.8K0.0022.6400180425
2014-08-15$17.15$16.8015.6%5.5%12.9%5.6%0.0%3.6%2.2%-48.9K92.0K-1.8K0.0021.38055180425
2014-08-18$17.36$16.8014.2%5.2%13.5%3.4%0.0%2.4%1.4%-9.6K20.1K-1.7K0.0021.5600155325
2014-08-19$17.50$16.8014.1%5.1%13.6%3.2%0.0%3.8%1.4%-8.4K-6.2K-1.6K0.0020.64550155325
2014-08-20$17.45$16.8013.8%5.2%13.5%2.8%0.0%3.7%1.2%-8.9K-1.2K-1.6K0.0022.27050155325
2014-08-21$17.53$16.8013.1%5.0%13.2%1.7%0.0%2.8%1.5%-14.2K20.7K-1.7K0.0023.8800155375
2014-08-22$17.65$16.8013.2%5.1%13.3%1.8%0.0%2.8%1.7%-13.1K-2.2K-1.7K0.0022.31050155375
2014-08-25$17.57$16.8013.0%5.1%13.4%1.6%0.0%3.3%1.7%-14.3K8.8K-1.7K0.0021.63080155375
2014-08-26$17.64$16.8013.3%5.1%13.5%2.0%0.0%3.7%1.6%-29.8K63.0K-1.8K0.0022.4000155455
2014-08-27$17.57$16.8012.7%5.2%13.2%1.1%0.0%2.7%1.9%-31.1K78.5K-1.8K0.0022.3900155455
2014-08-28$17.49$16.8013.4%5.3%10.3%2.2%0.0%3.0%1.4%-31.4K102.0K-1.8K0.0022.57050155455
2014-08-29$17.67$16.8012.9%5.2%9.6%1.4%19.0%2.6%1.8%-38.1K71.4K-1.8K0.0020.030260155505