IGV Options History — October 2015

In October 2015, IGV traded between $18.90 and $20.91. ATM implied volatility averaged 24.1%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 4.4% (HV 20d: 19.7%). Max pain ranged from $19.00 to $19.60. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-10-13: Highest Volume — 1,080 contracts
  • 2015-10-29: Largest IV spike — 127.0% change
  • 2015-10-29: Highest IV Rank — 100.0%
  • 2015-10-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.08$18.90$20.91$18.90$20.71
Max Pain$19.05$19.00$19.60$19.60$19.00
ATM IV24.1%17.5%39.6%27.9%28.0%
Expected Move6.9%5.0%11.4%8.0%8.0%
HV 20d19.7%16.8%23.1%21.3%16.8%
HV 60d23.2%22.2%23.9%22.2%23.5%
IV Rank46.0%22.8%100.0%59.6%59.4%
IV Percentile77.2%50.4%100.0%91.3%92.1%
Term Structure-1.2%-16.1%9.1%-0.6%0.4%
VWIV24.6%18.6%33.9%21.9%33.9%
Skew 25d9.5%-0.2%25.1%5.7%10.8%
Skew 10d11.7%-6.8%31.9%19.2%10.4%
Call IV 25d26.6%16.0%62.8%25.7%35.1%
Put IV 25d36.1%22.8%70.5%31.4%45.9%
Bid-Ask Spread %110.6359.58141.8489.60140.11
Gamma HHI0.130.110.160.110.16
Net GEX15.1K4.0K33.6K17.4K7.5K
Net DEX-199.8K-438.3K80.5K80.5K-416.1K
Net VEX-3.2K-3.7K-2.8K-2.8K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.801.510.801.51
Total Volume912.95501,080925915
Total OI1,0901,0251,2351,0251,045

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$18.90$19.6027.9%8.0%21.3%59.6%21.9%5.7%-0.6%17.4K80.5K-2.8K0.8089.60515410655370
2015-10-02$19.35$19.6024.1%6.9%22.7%46.1%18.6%7.8%-0.3%19.7K14.2K-3.3K0.8093.45515410665420
2015-10-05$19.73$19.0021.2%6.5%23.1%35.9%0.0%7.0%-0.0%25.9K-103.5K-3.3K0.0064.1400655420
2015-10-06$19.65$19.0023.1%6.5%20.8%42.5%21.6%6.8%1.5%26.4K-106.6K-3.3K0.8061.56515410665420
2015-10-07$19.65$19.0019.7%6.3%19.6%30.7%21.0%9.3%5.8%27.1K-79.5K-3.2K0.8059.58515410665420
2015-10-08$19.74$19.0018.7%6.1%19.5%27.0%21.2%8.1%1.4%27.8K-103.9K-3.1K0.8069.44515410665420
2015-10-09$19.89$19.0019.0%6.1%19.5%28.2%20.1%6.3%2.2%30.8K-164.2K-3.2K0.9071.50515465665420
2015-10-12$19.99$19.0019.4%5.8%19.4%29.6%20.0%6.8%2.2%33.6K-215.8K-3.3K0.9075.51515465665475
2015-10-13$19.86$19.0025.6%5.3%19.1%51.5%20.6%7.7%9.1%30.9K-220.8K-3.2K1.1094.54515565665475
2015-10-14$19.73$19.0023.2%6.7%19.2%43.0%22.3%11.1%0.4%14.3K-151.7K-3.7K1.10131.96515565665570
2015-10-15$20.10$19.0018.8%5.4%20.2%27.3%19.6%-0.2%3.6%17.4K-177.5K-3.3K1.10128.32515565665570
2015-10-16$20.29$19.0019.9%5.7%20.1%31.2%22.1%21.8%-1.3%4.7K-158.8K-3.4K1.10133.91515565665570
2015-10-19$20.27$19.0025.6%7.3%20.0%51.4%23.3%6.5%-7.6%4.4K-201.7K-3.3K1.47136.05375550525540
2015-10-20$20.10$19.0029.1%8.3%19.2%63.8%28.2%25.1%-16.1%4.0K-153.8K-3.4K1.47125.23375550525520
2015-10-21$19.88$19.0025.5%7.3%19.4%51.0%28.6%22.7%-5.4%4.5K-147.9K-3.3K1.47135.35375550525520
2015-10-22$20.37$19.0026.6%7.6%20.8%54.9%24.8%12.9%-2.8%4.0K-201.6K-3.3K1.51135.38365550525520
2015-10-23$20.63$19.0025.0%7.2%21.0%49.4%29.1%4.8%-6.5%4.6K-351.5K-3.1K1.51130.94365550525520
2015-10-26$20.69$19.0026.3%7.5%17.9%54.0%28.6%10.1%-6.4%7.0K-350.5K-3.1K1.51139.71365550525520
2015-10-27$20.56$19.0025.6%7.4%17.7%51.6%29.2%7.3%-1.5%8.9K-378.2K-2.9K1.51137.73365550525520
2015-10-28$20.91$19.0017.5%5.0%17.8%22.8%30.0%3.1%3.5%4.8K-438.3K-2.8K1.51138.10365550525520
2015-10-29$20.73$19.0039.6%11.4%18.2%100.0%32.6%7.8%-8.8%5.9K-368.7K-2.9K1.51141.84365550525520
2015-10-30$20.71$19.0028.0%8.0%16.8%59.4%33.9%10.8%0.4%7.5K-416.1K-2.8K1.51140.11365550525520