IGV Options History — July 2015

In July 2015, IGV traded between $19.81 and $20.57. ATM implied volatility averaged 16.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.0% (HV 20d: 12.9%). Max pain ranged from $20.20 to $20.40. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2015-07-01: Highest Volume — 955 contracts
  • 2015-07-08: Largest IV spike — 32.3% change
  • 2015-07-09: Highest IV Rank — 43.8%
  • 2015-07-09: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.26$19.81$20.57$19.95$20.47
Max Pain$20.22$20.20$20.40$20.40$20.20
ATM IV16.0%12.3%23.4%19.0%13.6%
Expected Move4.4%3.5%5.8%5.4%3.9%
HV 20d12.9%11.4%14.7%14.7%11.8%
HV 60d13.1%12.5%13.9%13.8%12.6%
IV Rank17.4%4.6%43.8%28.1%9.0%
IV Percentile38.7%2.0%88.1%71.8%12.7%
Term Structure0.3%-3.5%2.5%-2.7%1.4%
VWIV13.9%11.3%17.1%17.1%12.9%
Skew 25d4.3%1.4%7.7%1.4%4.3%
Skew 10d12.5%8.4%17.4%9.4%9.7%
Call IV 25d13.5%10.7%18.0%18.0%12.5%
Put IV 25d17.8%14.1%21.9%19.4%16.8%
Bid-Ask Spread %88.5370.56100.0192.68100.01
Gamma HHI0.190.140.240.140.20
Net GEX8.1K-4.4K31.5K5.8K679
Net DEX-156.5K-313.3K72.8K-28.2K-313.3K
Net VEX-3.2K-3.6K-2.7K-3.4K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.610.770.770.67
Total Volume847.955820955955825
Total OI1,057.7271,0151,1301,0251,030

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$19.95$20.4019.0%5.4%14.7%28.1%17.1%1.4%-2.7%5.8K-28.2K-3.4K0.7792.68540415590435
2015-07-02$19.95$20.4017.4%5.0%14.0%22.6%15.6%3.2%-0.1%6.6K3.6K-3.3K0.6197.55540330590435
2015-07-06$19.82$20.2018.3%5.0%13.6%25.8%15.5%6.2%0.6%6.4K72.8K-3.2K0.6776.95495330590445
2015-07-07$19.95$20.2016.9%4.8%13.3%20.7%15.0%6.6%0.2%11.0K49.6K-3.2K0.6877.62495335620445
2015-07-08$19.81$20.2022.3%5.5%13.5%40.0%15.8%6.0%-2.4%9.3K7.2K-3.3K0.6880.97495335620450
2015-07-09$20.05$20.2023.4%5.8%12.8%43.8%17.1%7.2%-0.9%10.7K-80.4K-3.3K0.7770.56495380620450
2015-07-10$20.19$20.2018.7%5.0%13.1%27.1%15.4%5.5%0.2%16.9K-52.7K-3.6K0.7774.90495380620495
2015-07-13$20.36$20.2016.6%4.2%13.5%19.7%14.6%5.3%2.2%20.8K-141.7K-3.5K0.7581.23505380620495
2015-07-14$20.47$20.2015.7%4.2%13.3%16.3%13.5%4.9%1.2%21.2K-210.4K-3.4K0.7492.17490365630495
2015-07-15$20.40$20.2015.5%4.4%12.8%15.8%13.1%4.0%-3.5%31.5K-205.5K-3.4K0.7480.59490365630495
2015-07-16$20.57$20.2013.0%3.7%13.1%6.8%11.3%3.0%-2.1%21.6K-290.1K-3.2K0.7594.46505380630495
2015-07-17$20.48$20.2013.0%3.7%13.0%7.0%12.4%1.5%2.5%4.5K-285.6K-3.3K0.7591.14505380655475
2015-07-20$20.50$20.2012.3%3.5%12.9%4.6%12.5%4.1%1.9%3.8K-279.5K-3.2K0.6789.96490330590425
2015-07-21$20.43$20.2013.7%3.9%12.8%9.3%13.1%3.1%1.8%4.3K-257.7K-3.2K0.6788.05490330590425
2015-07-22$20.36$20.2014.1%4.0%12.8%10.7%13.8%4.9%1.0%39-235.8K-3.2K0.6788.58490330590425
2015-07-23$20.35$20.2014.5%4.2%12.4%12.3%13.0%2.2%1.1%1.7K-253.8K-3.2K0.6793.63490330590435
2015-07-24$20.37$20.2015.6%4.5%12.4%16.3%13.4%2.8%-0.1%1.3K-210.6K-3.2K0.6793.23495330590435
2015-07-27$20.01$20.2016.9%4.8%13.5%20.7%14.5%2.3%0.7%2.4K-126.0K-3.1K0.6790.98495330595435
2015-07-28$20.24$20.2015.1%4.3%11.4%14.4%12.2%7.7%-0.0%-781-113.9K-2.9K0.6794.39495330595435
2015-07-29$20.37$20.2013.2%3.8%11.6%7.7%11.7%3.8%1.2%3.1K-198.6K-2.8K0.6798.28495330595435
2015-07-30$20.50$20.2012.4%3.6%11.7%5.0%11.7%4.2%1.5%-4.4K-291.6K-2.7K0.6799.78495330595435
2015-07-31$20.47$20.2013.6%3.9%11.8%9.0%12.9%4.3%1.4%679-313.3K-2.8K0.67100.01495330595435