IGV Options History — September 2014

In September 2014, IGV traded between $17.11 and $18.00. ATM implied volatility averaged 16.2%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 11.4%). Max pain ranged from $16.80 to $16.80. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2014-09-25: Highest Volume — 555 contracts
  • 2014-09-18: Largest IV spike — 94.1% change
  • 2014-09-18: Highest IV Rank — 26.4%
  • 2014-09-30: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.60$17.11$18.00$17.81$17.30
Max Pain$16.80$16.80$16.80$16.80$16.80
ATM IV16.2%12.7%29.0%13.0%18.5%
Expected Move5.4%5.1%6.3%5.1%6.3%
HV 20d11.4%9.2%14.6%9.4%13.8%
HV 60d12.3%11.6%13.2%11.9%13.0%
IV Rank6.6%1.0%26.4%1.5%10.1%
IV Percentile37.3%2.0%81.3%4.0%58.7%
Term Structure0.3%-18.1%2.2%2.2%0.8%
VWIV19.8%18.7%20.9%20.4%20.0%
Skew 25d4.6%2.4%6.7%3.0%5.3%
Skew 10d6.9%-0.4%11.9%3.9%11.1%
Call IV 25d14.0%12.1%17.0%12.1%16.1%
Put IV 25d18.7%15.2%21.3%15.2%21.3%
Bid-Ask Spread %25.0617.67111.9718.44111.97
Gamma HHI0.200.140.290.180.23
Net GEX-52.4K-149.5K6.1K-46.9K1.6K
Net DEX159.6K-123.4K383.5K171.0K-96.8K
Net VEX-3.7K-6.7K-2.8K-2.8K-6.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.003.330.000.50
Total Volume57.14305551015
Total OI1,197.1439201,7709201,770

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$17.81$16.8013.0%5.1%9.4%1.5%0.0%3.0%2.2%-46.9K171.0K-2.8K0.0018.44100155765
2014-09-03$17.80$16.8013.9%5.3%9.3%2.9%0.0%2.4%1.8%-45.7K152.6K-2.8K0.0021.88300165765
2014-09-04$17.75$16.8013.7%5.2%9.5%2.7%0.0%4.0%1.5%-44.4K144.9K-2.9K0.0021.1950195765
2014-09-05$17.88$16.8013.7%5.2%9.4%2.6%20.4%3.9%1.3%-39.6K100.0K-2.8K0.0021.99250200765
2014-09-08$17.94$16.8012.7%5.2%9.3%1.0%0.0%3.0%1.3%-37.1K40.4K-2.8K0.0021.1800225765
2014-09-09$17.80$16.8014.8%5.2%9.9%4.3%19.4%4.2%1.1%-42.7K74.8K-2.8K0.0022.350125225765
2014-09-10$17.91$16.8013.3%5.1%9.6%2.1%0.0%4.5%0.8%-44.1K121.2K-3.3K0.0021.3100225890
2014-09-11$18.00$16.8014.8%5.1%9.2%4.4%0.0%4.0%1.6%-39.5K76.6K-3.2K0.0021.72100225890
2014-09-12$17.77$16.8015.6%5.3%10.6%5.6%0.0%4.8%1.2%-49.4K160.4K-3.3K0.0022.230155235890
2014-09-15$17.51$16.8016.4%5.3%12.0%6.9%0.0%5.2%1.0%-110.9K383.5K-3.5K0.0020.49002351,045
2014-09-16$17.63$16.8015.5%5.4%11.5%5.4%0.0%5.4%2.0%-110.3K290.9K-3.4K0.0019.58002351,045
2014-09-17$17.52$16.8014.9%5.2%11.4%4.6%0.0%4.6%0.8%-149.5K334.4K-3.4K0.0021.23002351,045
2014-09-18$17.66$16.8029.0%5.1%11.7%26.4%0.0%5.3%-18.1%-106.9K237.4K-3.3K0.0025.31002351,045
2014-09-19$17.58$16.8014.4%5.4%11.8%3.8%0.0%5.7%2.0%-141.2K296.7K-3.3K0.0019.89002351,045
2014-09-22$17.40$16.8016.6%5.6%12.0%7.1%20.9%5.3%1.1%-26.4K205.5K-3.3K3.3318.8930100225725
2014-09-23$17.28$16.8018.0%5.8%12.2%9.3%0.0%4.7%0.8%-26.6K276.8K-3.8K0.0020.7305255825
2014-09-24$17.45$16.8017.3%5.6%12.6%8.3%18.7%6.7%0.9%-26.0K224.4K-3.7K0.6317.678050255830
2014-09-25$17.11$16.8019.4%5.8%14.4%11.6%19.3%4.3%0.7%-26.6K350.0K-4.3K0.0020.015550330880
2014-09-26$17.23$16.8017.3%5.4%14.6%8.3%0.0%5.1%0.4%5.3K-69.5K-6.7K0.0018.8205885880
2014-09-29$17.31$16.8017.7%5.6%14.2%8.8%0.0%6.2%0.1%6.1K-123.4K-6.5K0.0019.4600885885
2014-09-30$17.30$16.8018.5%6.3%13.8%10.1%20.0%5.3%0.8%1.6K-96.8K-6.5K0.50111.97105885885