IGV Options History — June 2015

In June 2015, IGV traded between $19.86 and $20.68. ATM implied volatility averaged 16.0%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.0% (HV 20d: 13.0%). Max pain ranged from $20.00 to $20.40. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.74.

Notable Days

  • 2015-06-26: Highest Volume — 955 contracts
  • 2015-06-29: Largest IV spike — 36.3% change
  • 2015-06-29: Highest IV Rank — 33.7%
  • 2015-06-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.33$19.86$20.68$20.26$19.90
Max Pain$20.35$20.00$20.40$20.00$20.40
ATM IV16.0%12.3%20.6%14.8%18.6%
Expected Move4.6%3.5%5.9%4.2%5.3%
HV 20d13.0%11.6%15.1%11.7%15.1%
HV 60d13.8%13.0%14.6%14.6%13.8%
IV Rank16.4%4.6%33.7%11.3%26.7%
IV Percentile40.2%2.4%79.0%26.2%70.2%
Term Structure3.3%-5.8%18.2%3.0%0.0%
VWIV14.3%10.7%18.0%15.3%15.7%
Skew 25d4.5%1.7%7.4%6.2%6.0%
Skew 10d8.6%-1.6%18.4%6.9%8.6%
Call IV 25d13.8%11.0%18.7%13.1%16.4%
Put IV 25d18.3%14.1%22.4%19.2%22.4%
Bid-Ask Spread %90.2273.06102.1298.1387.82
Gamma HHI0.140.120.170.140.15
Net GEX10.5K-4.0K29.8K22.5K5.7K
Net DEX-176.1K-375.7K59.2K-223.8K6.7K
Net VEX-2.5K-3.5K-2.1K-2.2K-3.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.570.840.570.77
Total Volume767.0450955635955
Total OI774.0916101,0256351,025

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$20.26$20.0014.8%4.2%11.7%11.3%15.3%6.2%3.0%22.5K-223.8K-2.2K0.5798.13405230405230
2015-06-02$20.26$20.0016.6%4.8%11.7%16.8%0.0%5.6%-0.2%17.7K-212.3K-2.1K0.00100.0700380230
2015-06-03$20.43$20.0016.2%4.7%11.6%15.7%16.3%4.3%-0.9%17.9K-258.0K-2.2K0.5797.60405230380230
2015-06-04$20.15$20.4016.9%5.0%12.5%17.7%15.7%5.0%-5.8%16.5K-212.7K-2.1K0.8475.86405340380230
2015-06-05$20.34$20.4015.5%4.8%12.6%13.5%14.8%6.9%2.5%8.3K-113.5K-2.5K0.8477.81405340380340
2015-06-08$20.10$20.4019.0%5.1%12.6%24.0%15.8%4.5%2.2%7.3K-64.1K-2.5K0.8073.06405325380340
2015-06-09$20.05$20.4018.3%5.1%12.6%21.8%14.0%4.9%5.7%5.8K-17.1K-2.4K0.7377.23445325380345
2015-06-10$20.38$20.4016.1%4.6%13.9%15.2%13.2%7.4%5.9%15.7K-181.6K-2.4K0.7481.65445330420345
2015-06-11$20.37$20.4015.3%4.4%13.9%13.0%14.3%3.2%18.2%17.3K-205.6K-2.5K0.7489.76445330420350
2015-06-12$20.33$20.4015.8%4.5%12.7%17.0%13.3%4.3%4.9%14.2K-183.7K-2.5K0.7486.64445330420350
2015-06-15$20.19$20.4017.9%5.1%12.7%24.3%13.8%6.6%13.6%11.6K-110.5K-2.4K0.7487.74445330420350
2015-06-16$20.41$20.4017.7%5.1%13.1%23.7%14.8%7.2%2.9%15.9K-205.3K-2.3K0.6983.23475330420350
2015-06-17$20.48$20.4016.6%4.8%13.2%19.7%15.6%4.4%14.1%22.0K-317.3K-2.5K0.6990.20475330450350
2015-06-18$20.62$20.4014.1%4.0%13.4%10.7%13.8%3.7%0.9%29.8K-375.7K-2.2K0.7992.93475375450350
2015-06-19$20.54$20.4014.4%4.1%13.4%12.1%14.6%3.2%2.3%-4.0K-283.7K-2.5K0.7196.56530375450395
2015-06-22$20.64$20.4014.4%4.1%13.5%12.0%13.7%3.9%1.4%-1.4K-226.4K-2.5K0.7098.41450315405335
2015-06-23$20.68$20.4012.4%3.6%12.8%4.9%10.7%2.7%1.3%1.2K-279.2K-2.4K0.7099.57450315450335
2015-06-24$20.48$20.4012.9%3.7%12.8%6.8%11.0%1.7%1.5%3.9K-217.5K-2.5K0.80102.12455365455335
2015-06-25$20.51$20.4012.3%3.5%12.7%4.6%12.4%3.7%1.2%-2.5K-146.4K-2.7K0.8096.88520415455385
2015-06-26$20.31$20.4015.1%4.3%12.8%14.4%13.0%2.4%-0.1%1.6K-106.5K-3.3K0.7798.29540415520435
2015-06-29$19.86$20.4020.6%5.9%15.1%33.7%18.0%2.2%-2.3%4.3K59.2K-3.2K0.7793.27540415540435
2015-06-30$19.90$20.4018.6%5.3%15.1%26.7%15.7%6.0%0.0%5.7K6.7K-3.5K0.7787.82540415590435