IGV Options History — January 2015

In January 2015, IGV traded between $17.72 and $18.65. ATM implied volatility averaged 25.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.2% (HV 20d: 19.8%). Max pain ranged from $17.80 to $17.80. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2015-01-13: Highest Volume — 1,425 contracts
  • 2015-01-27: Largest IV spike — 54.3% change
  • 2015-01-12: Highest IV Rank — 43.4%
  • 2015-01-30: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.20$17.72$18.65$18.50$17.93
Max Pain$17.80$17.80$17.80$17.80$17.80
ATM IV25.0%15.4%39.4%24.5%26.5%
Expected Move6.1%4.4%7.6%5.5%7.6%
HV 20d19.8%17.0%21.5%19.0%21.5%
HV 60d16.8%15.9%17.9%17.9%17.0%
IV Rank21.4%6.7%43.4%20.7%23.7%
IV Percentile66.3%27.4%93.3%67.1%73.4%
Term Structure-0.3%-5.1%7.5%-0.2%-3.4%
VWIV26.1%23.7%30.2%26.3%30.2%
Skew 25d5.5%1.4%12.0%7.6%11.4%
Skew 10d10.3%-5.6%27.3%8.6%11.0%
Call IV 25d22.8%12.9%30.2%30.2%27.4%
Put IV 25d28.4%20.4%38.8%37.8%38.8%
Bid-Ask Spread %118.9388.65144.0498.74125.44
Gamma HHI0.240.200.370.210.23
Net GEX17.4K1.5K45.3K10.3K13.4K
Net DEX-729.1K-1.2M-372.2K-753.0K-505.5K
Net VEX-4.2K-5.3K-2.9K-5.3K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.900.980.980.90
Total Volume836.7501,4251,4151,360
Total OI2,150.752,0902,2052,1952,140

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$18.50$17.8024.5%5.5%19.0%20.7%26.3%7.6%-0.2%10.3K-753.0K-5.3K0.9898.747157001,0301,165
2015-01-05$18.23$17.8025.8%6.0%19.7%22.6%0.0%3.2%0.1%14.0K-788.5K-4.6K0.00137.25001,0251,115
2015-01-06$17.92$17.8026.4%6.8%20.5%23.5%0.0%7.5%-3.4%3.7K-531.7K-5.0K0.00123.43001,0251,115
2015-01-07$18.03$17.8027.3%5.8%19.9%24.9%0.0%2.9%0.5%9.3K-573.7K-4.8K0.00144.04001,0251,115
2015-01-08$18.41$17.8029.9%5.3%21.3%29.0%25.5%11.8%1.4%4.8K-665.1K-5.0K0.98111.087157001,0301,165
2015-01-09$18.27$17.8025.9%5.5%20.3%22.8%23.7%3.5%0.8%19.4K-829.1K-4.5K0.98114.207157001,0301,165
2015-01-12$18.17$17.8039.4%5.7%20.4%43.4%25.1%3.7%1.2%16.9K-727.1K-4.4K0.98106.497157001,0301,165
2015-01-13$18.07$17.8035.5%5.6%20.5%37.6%27.1%4.0%2.5%7.7K-510.5K-5.1K0.97106.587257001,0301,165
2015-01-14$18.00$17.8020.9%6.0%20.5%15.1%26.7%4.6%4.4%1.5K-398.0K-4.9K0.97104.187257001,0401,165
2015-01-15$17.72$17.8025.4%7.3%20.7%22.0%26.6%1.5%0.0%4.7K-372.2K-4.9K0.9788.657257001,0401,165
2015-01-16$18.14$17.8022.2%6.4%21.0%17.2%0.0%6.9%-5.1%9.2K-720.9K-3.9K0.0096.09001,0351,115
2015-01-20$18.19$17.8020.6%5.9%17.5%14.7%0.0%2.5%-0.1%31.8K-855.3K-3.4K0.00136.68001,0301,060
2015-01-21$18.14$17.8021.4%6.1%17.0%16.0%0.0%3.1%-1.9%29.1K-772.7K-3.8K0.00130.67001,0301,060
2015-01-22$18.47$17.8018.0%5.2%18.4%10.7%23.8%8.9%1.3%28.9K-949.8K-3.9K0.90109.827156451,0301,110
2015-01-23$18.64$17.8023.1%6.6%18.4%18.6%25.8%3.7%-2.2%45.3K-1.2M-2.9K0.90126.027156451,0301,110
2015-01-26$18.65$17.8015.4%4.4%18.4%6.7%0.0%4.3%7.5%38.0K-1.2M-3.0K0.00143.33001,0301,060
2015-01-27$18.22$17.8023.8%6.8%20.0%19.5%0.0%1.4%-2.7%20.6K-754.1K-3.5K0.00134.61001,0301,060
2015-01-28$18.01$17.8024.9%7.1%20.2%21.3%27.1%6.5%-1.2%16.3K-640.9K-4.0K0.90123.457156451,0301,110
2015-01-29$18.26$17.8023.1%6.6%20.7%18.5%24.9%12.0%-5.1%22.2K-811.8K-3.2K0.90117.867156451,0301,110
2015-01-30$17.93$17.8026.5%7.6%21.5%23.7%30.2%11.4%-3.4%13.4K-505.5K-4.0K0.90125.447156451,0301,110