IGV Options History — October 2014

In October 2014, IGV traded between $16.21 and $17.99. ATM implied volatility averaged 19.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 1.1% (HV 20d: 21.0%). Max pain ranged from $16.80 to $16.80. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 1.10.

Notable Days

  • 2014-10-29: Highest Volume — 1,660 contracts
  • 2014-10-09: Largest IV spike — 30.8% change
  • 2014-10-13: Highest IV Rank — 25.1%
  • 2014-10-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.01$16.21$17.99$17.03$17.99
Max Pain$16.80$16.80$16.80$16.80$16.80
ATM IV19.9%14.5%28.1%19.9%14.5%
Expected Move5.9%4.9%7.6%6.3%5.0%
HV 20d21.0%14.7%25.4%14.7%25.0%
HV 60d15.7%12.8%17.8%12.8%17.8%
IV Rank12.3%4.0%25.1%12.3%4.0%
IV Percentile56.5%21.0%78.2%64.3%21.0%
Term Structure0.4%-4.2%3.7%-0.7%2.0%
VWIV19.8%10.1%26.9%16.9%18.7%
Skew 25d6.0%2.5%9.5%3.3%2.5%
Skew 10d10.9%2.3%16.9%5.1%9.5%
Call IV 25d17.1%12.0%23.8%17.5%13.7%
Put IV 25d23.1%16.2%31.1%20.8%16.2%
Bid-Ask Spread %105.5575.52126.51106.14113.95
Gamma HHI0.200.140.290.230.29
Net GEX-2.4K-38.9K29.9K7.0K29.9K
Net DEX-24.0K-948.1K676.9K-7.5K-948.1K
Net VEX-6.8K-7.3K-5.7K-6.5K-5.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.003.600.001.34
Total Volume742.17401,660351,660
Total OI2,406.7391,7802,8201,7802,740

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$17.03$16.8019.9%6.3%14.7%12.3%0.0%3.3%-0.7%7.0K-7.5K-6.5K0.00106.14350895885
2014-10-02$17.12$16.8017.7%6.4%15.0%8.9%0.0%4.5%0.2%10.2K-21.6K-6.4K0.00111.88050920885
2014-10-03$17.36$16.8016.8%5.7%15.7%7.5%0.0%4.8%1.3%8.8K-136.5K-6.6K0.00111.12100920935
2014-10-06$17.33$16.8017.3%6.2%15.6%8.3%0.0%4.9%3.7%11.8K-158.5K-6.6K0.00106.9000920935
2014-10-07$16.99$16.8020.5%6.3%16.7%13.3%16.9%5.0%1.0%5.2K28.4K-6.6K0.00108.352250920935
2014-10-08$17.31$16.8017.4%6.0%18.1%8.4%21.5%6.3%2.1%22.9K-206.5K-7.2K1.2394.014605651,145965
2014-10-09$16.99$16.8022.7%6.3%18.9%16.7%0.0%6.2%-0.1%18.3K-79.9K-7.3K0.00103.99001,145990
2014-10-10$16.66$16.8024.3%6.4%19.5%19.1%24.0%6.7%-4.2%10.7K36.6K-7.1K1.0399.974604751,1451,020
2014-10-13$16.21$16.8028.1%6.7%21.0%25.1%23.8%7.3%-3.4%-3.3K496.0K-6.0K3.60109.09501801,145990
2014-10-14$16.37$16.8025.3%7.4%21.2%20.7%26.9%7.8%1.0%-14.6K516.1K-7.2K1.2291.325356501,1951,200
2014-10-15$16.31$16.8026.9%6.7%21.2%23.1%21.6%9.5%-3.4%-13.7K628.3K-7.0K1.50108.576359551,2451,200
2014-10-16$16.26$16.8024.8%7.6%20.7%19.9%20.8%8.3%0.6%-24.2K676.9K-7.3K0.60100.281751051,3451,475
2014-10-17$16.56$16.8020.8%6.0%22.2%13.7%0.0%7.3%-0.0%-35.3K560.9K-7.2K0.0075.52001,1701,580
2014-10-20$16.66$16.8021.0%5.3%22.2%13.9%0.0%8.1%-0.2%-38.9K490.4K-6.7K0.00121.05001,1051,525
2014-10-21$17.00$16.8017.7%5.3%23.5%8.9%20.9%5.7%2.1%-27.4K74.8K-7.0K1.37106.946559001,1051,555
2014-10-22$16.72$16.8020.4%5.1%23.8%13.1%16.9%4.3%1.3%-23.9K112.8K-7.3K1.45106.136559501,1351,555
2014-10-23$16.99$16.8019.1%5.5%23.6%11.1%18.3%7.1%0.3%-27.3K23.8K-7.2K1.35107.047059501,1351,605
2014-10-24$17.30$16.8017.3%5.2%24.4%8.3%19.0%6.6%0.9%-22.6K-321.3K-7.0K1.35103.647059501,1851,605
2014-10-27$17.27$16.8018.3%5.7%24.3%9.8%0.0%4.0%0.8%3.5K-336.6K-6.8K0.0096.42001,1851,575
2014-10-28$17.62$16.8015.4%5.0%25.4%5.3%10.1%8.8%2.3%23.9K-679.1K-6.4K0.00126.515501,1851,575
2014-10-29$17.54$16.8015.2%4.9%24.7%4.9%19.8%6.0%0.7%7.1K-541.9K-6.5K1.34101.287109501,1351,605
2014-10-30$17.70$16.8016.0%5.1%24.8%6.2%18.4%2.9%1.3%16.1K-759.1K-5.9K1.34117.467109501,1351,605
2014-10-31$17.99$16.8014.5%5.0%25.0%4.0%18.7%2.5%2.0%29.9K-948.1K-5.7K1.34113.957109501,1351,605