IGV Options History — December 2015

In December 2015, IGV traded between $20.37 and $21.34. ATM implied volatility averaged 18.2%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 0.1% (HV 20d: 18.1%). Max pain ranged from $20.00 to $21.20. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.07.

Notable Days

  • 2015-12-17: Highest Volume — 805 contracts
  • 2015-12-04: Largest IV drop — 32.0% change
  • 2015-12-14: Highest IV Rank — 41.4%
  • 2015-12-14: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.87$20.37$21.34$21.34$20.80
Max Pain$20.43$20.00$21.20$21.20$20.00
ATM IV18.2%14.4%23.5%14.7%16.9%
Expected Move5.2%4.2%6.7%4.2%4.8%
HV 20d18.1%12.7%20.5%12.8%20.4%
HV 60d17.5%16.4%18.5%17.5%16.6%
IV Rank22.3%8.5%41.4%9.4%17.4%
IV Percentile46.8%11.9%76.2%16.7%40.5%
Term Structure1.0%-4.8%10.3%0.3%2.2%
VWIV18.0%14.3%26.5%16.0%16.3%
Skew 25d5.4%2.1%7.8%5.3%3.8%
Skew 10d11.1%1.3%18.6%1.3%4.6%
Call IV 25d15.8%12.3%20.1%12.3%16.6%
Put IV 25d21.2%17.5%26.6%17.5%20.3%
Bid-Ask Spread %103.2785.39136.11119.72101.95
Gamma HHI0.130.100.160.130.12
Net GEX18.8K4.0K46.1K15.9K11.8K
Net DEX-225.3K-377.7K-92.7K-311.5K-222.3K
Net VEX-2.2K-2.4K-2.0K-2.0K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.001.390.001.14
Total Volume616.81808055620
Total OI738.636665850665725

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$21.34$21.2014.7%4.2%12.8%9.4%0.0%5.3%0.3%15.9K-311.5K-2.0K0.00119.7250320345
2015-12-02$21.22$21.2016.1%4.6%12.7%14.5%16.0%4.0%1.5%12.2K-293.1K-2.3K1.25118.03280350340345
2015-12-03$20.81$21.0021.2%5.8%14.4%33.1%19.0%6.0%-2.0%9.6K-232.5K-2.3K1.2598.88280350340345
2015-12-04$21.31$21.0014.4%4.6%16.7%8.5%17.7%4.7%3.7%15.9K-325.8K-2.2K1.06102.31330350340345
2015-12-07$21.05$21.0018.4%4.9%17.1%23.1%0.0%5.9%-4.8%27.0K-251.2K-2.3K0.00104.7400375345
2015-12-08$21.16$21.0019.9%5.0%16.5%28.2%19.3%7.4%-1.3%26.9K-301.5K-2.2K1.0998.08320350390345
2015-12-09$20.74$21.0020.0%5.7%18.1%28.8%19.1%6.5%0.2%28.3K-213.7K-2.4K1.0994.52320350415345
2015-12-10$20.71$21.0019.2%5.5%18.0%25.8%18.1%4.4%2.0%32.8K-221.2K-2.3K1.0996.85320350415345
2015-12-11$20.37$21.0023.1%6.6%18.7%39.8%26.5%6.5%0.6%18.2K-123.0K-2.4K1.1285.39335375415345
2015-12-14$20.50$20.0023.5%6.7%17.6%41.4%25.6%7.8%-1.7%15.0K-99.0K-2.3K1.0996.49345375430370
2015-12-15$20.76$20.0021.1%6.0%17.9%32.5%19.1%7.1%10.3%19.5K-180.7K-2.3K0.9598.09395375395370
2015-12-16$21.10$20.0018.3%5.2%18.7%22.4%17.3%6.9%-4.7%45.6K-377.7K-2.1K1.01105.72395400445370
2015-12-17$20.85$20.0018.5%5.3%18.9%23.3%17.9%4.3%0.6%46.1K-267.6K-2.3K0.99112.80405400445395
2015-12-18$20.48$20.0020.0%5.7%19.4%28.5%18.0%4.1%2.4%7.2K-111.0K-2.2K0.9996.29405400455395
2015-12-21$20.46$20.0019.0%5.4%19.4%25.0%17.2%3.5%1.2%4.0K-92.7K-2.2K1.39110.15270375330370
2015-12-22$20.67$20.0017.6%5.0%19.8%19.9%17.3%5.8%1.5%6.5K-133.3K-2.1K1.2993.42290375330370
2015-12-23$20.87$20.0016.0%4.6%20.2%14.1%14.4%2.1%1.9%12.5K-223.8K-2.1K1.12101.17290325350370
2015-12-24$20.87$20.0016.1%4.6%20.2%14.4%14.3%5.0%1.6%14.1K-213.4K-2.2K1.12100.90290325350370
2015-12-28$20.90$20.0017.3%5.0%20.2%18.8%15.2%4.2%1.7%14.5K-189.7K-2.1K1.1299.69290325350370
2015-12-29$21.11$20.0014.9%4.3%20.5%10.0%15.7%7.5%1.7%13.9K-286.3K-2.1K1.12100.66290325350370
2015-12-30$21.04$20.0015.4%4.4%20.1%11.9%15.4%6.3%2.4%15.2K-286.5K-2.0K1.14136.11290330350370
2015-12-31$20.80$20.0016.9%4.8%20.4%17.4%16.3%3.8%2.2%11.8K-222.3K-2.0K1.14101.95290330350375