IGV Options History — December 2014

In December 2014, IGV traded between $17.66 and $19.06. ATM implied volatility averaged 19.2%, placing in the 12.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 5.8% (HV 20d: 13.4%). Max pain ranged from $17.80 to $17.80. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-12-18: Highest Volume — 1,420 contracts
  • 2014-12-29: Largest IV spike — 70.1% change
  • 2014-12-22: Highest IV Rank — 24.8%
  • 2014-12-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.46$17.66$19.06$18.48$18.56
Max Pain$17.80$17.80$17.80$17.80$17.80
ATM IV19.2%12.4%27.2%14.2%20.3%
Expected Move5.4%3.8%6.8%4.6%5.5%
HV 20d13.4%7.1%19.1%7.9%19.1%
HV 60d17.9%17.2%19.0%17.5%18.4%
IV Rank12.5%2.1%24.8%4.9%14.2%
IV Percentile49.4%3.2%76.6%18.3%59.5%
Term Structure-1.2%-10.5%7.1%1.8%-4.2%
VWIV21.9%16.2%25.9%20.7%23.7%
Skew 25d3.5%-1.3%7.0%1.5%1.1%
Skew 10d4.2%-12.0%12.4%-0.6%4.6%
Call IV 25d18.2%10.8%27.9%14.9%22.7%
Put IV 25d21.8%14.3%33.2%16.5%23.8%
Bid-Ask Spread %107.4768.09132.55118.09121.64
Gamma HHI0.210.170.260.200.22
Net GEX12.6K54235.8K54214.5K
Net DEX-766.4K-1.2M-296.6K-806.1K-981.2K
Net VEX-4.9K-6.0K-4.0K-4.3K-4.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.001.100.860.00
Total Volume1,006.36401,4201,05025
Total OI2,029.0911,8102,1651,8502,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$18.48$17.8014.2%4.6%7.9%4.9%20.7%1.5%1.8%542-806.1K-4.3K0.86118.09565485900950
2014-12-02$18.46$17.8014.9%5.0%7.9%5.9%19.7%2.8%0.8%14.0K-677.3K-5.1K0.8694.66565485910950
2014-12-03$18.55$17.8012.7%4.2%8.1%2.5%16.2%4.7%2.3%17.7K-812.0K-4.6K0.8695.52565485910950
2014-12-04$18.56$17.8012.7%4.5%8.0%2.6%0.0%2.6%1.4%22.4K-873.9K-4.5K0.00108.5800910900
2014-12-05$18.56$17.8012.4%4.5%7.1%2.1%18.1%2.9%1.7%25.3K-807.7K-4.7K0.8697.51565485910950
2014-12-08$18.26$17.8015.7%5.2%9.3%7.1%19.2%2.5%4.4%14.8K-632.4K-5.0K0.8668.09565485910950
2014-12-09$18.29$17.8016.8%3.8%9.1%8.8%16.5%5.3%-1.4%9.7K-474.0K-5.1K0.81121.60660535910950
2014-12-10$17.94$17.8021.8%6.0%11.3%16.5%21.5%4.7%5.5%6.5K-494.1K-5.7K0.77114.936605101,0101,000
2014-12-11$17.94$17.8019.8%6.5%11.3%13.4%25.9%2.4%7.1%6.8K-431.6K-5.8K0.77102.436605101,010995
2014-12-12$17.92$17.8021.1%5.8%11.3%15.5%23.6%2.7%-5.1%701-448.5K-5.8K0.84114.716605551,010995
2014-12-15$17.92$17.8020.2%5.8%11.2%14.0%22.6%3.9%-3.9%9.9K-452.4K-5.7K0.85107.737156051,0101,040
2014-12-16$17.66$17.8021.9%6.8%12.0%16.7%25.4%2.8%0.8%9.7K-296.6K-6.0K0.8593.047156051,0651,090
2014-12-17$18.04$17.8020.1%6.2%14.4%13.9%22.3%6.1%-0.7%5.5K-464.4K-5.6K0.85131.167156051,0651,090
2014-12-18$18.62$17.8022.5%5.7%18.0%17.6%22.0%-1.3%-4.8%35.8K-1.1M-4.0K0.99105.077157051,0651,090
2014-12-19$18.81$17.8018.4%5.7%18.3%11.4%0.0%4.2%2.0%12.3K-1.2M-4.2K0.00131.95001,0251,140
2014-12-22$18.85$17.8027.2%5.4%18.1%24.8%25.0%5.3%-10.5%19.8K-1.0M-4.4K1.10110.436357009801,165
2014-12-23$19.00$17.8021.4%5.2%18.3%15.8%25.8%6.7%-5.0%4.1K-922.0K-5.0K1.10111.166357009851,165
2014-12-24$19.02$17.8026.1%5.0%18.3%23.0%25.1%3.2%-8.8%5.8K-907.8K-5.1K1.10101.676357009851,165
2014-12-26$19.06$17.8015.8%5.0%18.2%7.3%20.1%7.0%1.1%11.5K-1.1M-4.4K1.0979.186407009851,165
2014-12-29$18.90$17.8026.8%6.2%18.5%24.2%23.7%3.6%-7.1%17.5K-1.0M-4.5K1.01102.596907009901,165
2014-12-30$18.70$17.8019.2%5.8%18.8%12.5%0.0%3.2%-3.3%12.2K-950.7K-4.7K0.00132.55001,0001,115
2014-12-31$18.56$17.8020.3%5.5%19.1%14.2%0.0%1.1%-4.2%14.5K-981.2K-4.4K0.00121.642501,0001,115