IGV Options History — January 2016

In January 2016, IGV traded between $18.49 and $20.33. ATM implied volatility averaged 26.2%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.3% (HV 20d: 21.9%). Max pain ranged from $18.60 to $20.20. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2016-01-28: Highest Volume — 3,850 contracts
  • 2016-01-07: Largest IV spike — 30.4% change
  • 2016-01-11: Highest IV Rank — 82.3%
  • 2016-01-20: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.19$18.49$20.33$20.27$18.77
Max Pain$19.91$18.60$20.20$20.20$18.60
ATM IV26.2%22.0%34.8%23.6%23.2%
Expected Move7.2%6.0%8.1%6.4%6.7%
HV 20d21.9%19.2%25.0%21.3%25.0%
HV 60d19.0%17.5%20.2%17.5%20.2%
IV Rank51.2%35.9%82.3%41.8%40.3%
IV Percentile84.7%71.0%98.4%77.8%73.4%
Term Structure0.7%-6.8%10.8%-0.2%0.9%
VWIV23.7%21.8%27.0%22.7%23.1%
Skew 25d6.9%3.0%10.9%6.4%8.2%
Skew 10d16.9%5.0%24.8%20.8%18.8%
Call IV 25d21.7%16.9%24.7%19.7%19.5%
Put IV 25d28.6%24.1%33.2%26.1%27.7%
Bid-Ask Spread %82.7073.4893.0973.4893.09
Gamma HHI0.230.090.610.100.53
Net GEX53.5K-15.1K310.9K4.1K310.9K
Net DEX-155.1K-2.0M385.8K-42.5K-2.0M
Net VEX-2.6K-6.3K-1.3K-2.0K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.111.661.190.13
Total Volume1,463.9475753,8506353,850
Total OI1,409.4746953,9707253,970

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-01-04$20.27$20.2023.6%6.4%21.3%41.8%22.7%6.4%-0.2%4.1K-42.5K-2.0K1.1973.48290345350375
2016-01-05$20.33$20.2022.0%6.0%19.2%35.9%21.8%7.2%10.8%4.9K-90.3K-2.1K1.2174.21285345350390
2016-01-06$20.04$20.2023.4%6.5%19.4%41.1%22.3%6.9%6.5%2.7K12.9K-2.1K1.2177.17285345360390
2016-01-07$19.63$20.2030.6%7.2%20.2%67.0%24.9%5.8%0.4%-1.9K127.6K-2.0K1.2173.73285345360390
2016-01-08$19.31$20.2028.7%7.3%19.8%60.2%25.2%4.0%0.0%-5.0K176.9K-1.9K1.2177.35285345360390
2016-01-11$19.38$20.2034.8%7.6%20.0%82.3%27.0%8.1%-6.8%-4.5K122.1K-2.0K1.2188.40285345360390
2016-01-12$19.58$20.2024.5%6.4%19.9%44.9%22.4%7.4%-0.7%-5.1K166.2K-1.8K1.2181.41285345360390
2016-01-13$18.98$20.2026.7%7.7%22.2%53.1%22.6%4.7%0.5%-8.4K262.9K-1.6K1.2187.23285345360390
2016-01-14$19.31$20.2023.4%6.7%22.7%41.2%23.2%9.1%1.3%-10.1K224.4K-1.7K1.2182.39285345360390
2016-01-15$18.91$20.2026.6%7.6%22.2%52.6%25.3%10.7%2.9%-10.9K311.3K-1.5K1.2177.93285345360390
2016-01-19$18.80$20.2027.2%7.8%22.1%54.9%22.2%8.2%-0.1%-11.4K309.8K-1.4K1.4579.19235340310385
2016-01-20$18.69$20.2028.4%8.1%21.6%59.2%22.1%10.9%-0.6%-12.0K351.3K-1.3K1.6690.29235390310385
2016-01-21$18.74$20.2027.7%7.9%21.7%56.5%23.2%8.1%-0.7%-15.1K385.8K-1.5K0.3079.031,280390310435
2016-01-22$19.15$20.0024.1%6.9%23.1%43.4%22.2%6.6%0.5%87.1K-117.4K-3.2K0.3081.931,2803901,355435
2016-01-25$18.74$20.0025.3%7.2%23.4%47.9%24.8%3.0%-0.9%62.3K62.4K-2.6K0.3087.241,3203901,355435
2016-01-26$18.93$19.8024.5%7.0%24.0%45.1%25.0%8.0%-1.1%73.3K76.6K-2.6K0.1287.393,3803901,395435
2016-01-27$18.53$18.6026.6%7.6%24.5%52.5%26.1%3.4%1.3%268.9K-1.8M-6.3K0.1191.323,4003903,455435
2016-01-28$18.49$18.6026.5%7.6%23.8%52.2%24.5%4.9%-0.4%286.8K-1.5M-5.6K0.1388.633,4004503,475435
2016-01-29$18.77$18.6023.2%6.7%25.0%40.3%23.1%8.2%0.9%310.9K-2.0M-6.1K0.1393.093,4004503,475495