IGV Options History — February 2016

In February 2016, IGV traded between $16.75 and $19.09. ATM implied volatility averaged 27.0%, placing in the 53.9% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 8.1% (HV 20d: 35.1%). Max pain ranged from $18.60 to $18.60. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 5.53.

Notable Days

  • 2016-02-29: Highest Volume — 16,360 contracts
  • 2016-02-05: Largest IV spike — 39.6% change
  • 2016-02-09: Highest IV Rank — 89.2%
  • 2016-02-11: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.95$16.75$19.09$19.09$18.64
Max Pain$18.60$18.60$18.60$18.60$18.60
ATM IV27.0%20.5%36.7%23.6%21.5%
Expected Move7.5%5.9%10.0%6.8%6.2%
HV 20d35.1%26.2%38.6%26.2%37.6%
HV 60d25.9%20.4%28.5%20.4%28.3%
IV Rank53.9%30.0%89.2%41.6%33.4%
IV Percentile81.5%62.7%99.2%76.2%64.7%
Term Structure-1.2%-9.0%3.1%0.2%-0.1%
VWIV24.0%21.8%26.0%21.8%26.0%
Skew 25d7.8%1.7%14.0%9.4%7.1%
Skew 10d16.0%-5.5%31.2%20.1%7.3%
Call IV 25d22.5%17.3%29.3%18.7%19.3%
Put IV 25d30.2%22.7%42.8%28.2%26.4%
Bid-Ask Spread %89.3063.3697.8495.5796.90
Gamma HHI0.370.120.790.350.79
Net GEX-41.1K-530.3K195.5K195.5K-530.3K
Net DEX1.3M-1.2M7.4M-1.2M4.3M
Net VEX-14.0K-66.8K-1.5K-4.0K-49.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.530.1323.930.1420.96
Total Volume7,194.751,25516,3603,87016,360
Total OI5,733.251,29016,3902,89016,355

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$19.09$18.6023.6%6.8%26.2%41.6%21.8%9.4%0.2%195.5K-1.2M-4.0K0.1495.573,4004702,375515
2016-02-02$18.44$18.6025.3%7.3%27.2%48.0%25.5%4.2%1.0%149.6K-313.3K-3.1K0.1596.563,5155202,375515
2016-02-03$18.58$18.6025.5%7.3%27.4%48.8%24.8%10.2%-0.2%162.4K-527.8K-3.8K0.1595.503,5155202,490565
2016-02-04$18.58$18.6026.1%7.4%27.2%50.8%25.6%7.8%-0.2%168.7K-514.6K-3.7K0.1563.363,5155202,490565
2016-02-05$17.34$18.6036.4%8.1%35.3%88.2%23.7%13.5%-1.3%36.3K577.7K-1.6K0.1487.583,6755202,490565
2016-02-08$16.75$18.6035.9%9.6%36.6%86.5%24.5%5.7%-2.9%20.0K625.2K-1.5K0.1489.563,7655202,650565
2016-02-09$16.76$18.6036.7%9.4%36.5%89.2%23.7%6.2%-1.8%28.4K555.0K-1.8K0.1482.443,7655202,740565
2016-02-10$17.03$18.6032.5%9.3%36.9%73.9%23.7%6.5%-6.5%39.1K495.6K-1.9K0.1482.403,8005202,740565
2016-02-11$16.99$18.6035.0%10.0%35.8%83.1%24.4%14.0%-3.6%29.4K569.4K-1.6K0.1375.123,8105102,790565
2016-02-12$17.17$18.6029.2%8.4%35.3%62.2%22.9%8.4%3.1%28.3K550.4K-1.8K0.1384.493,9705102,805570
2016-02-16$17.47$18.6026.2%7.5%35.7%51.2%23.9%10.5%-7.0%42.9K279.2K-2.0K0.2189.253,9708352,975570
2016-02-17$18.05$18.6026.3%7.5%38.0%51.4%25.9%9.1%1.2%60.6K230.8K-2.9K0.2288.563,9608552,975895
2016-02-18$17.82$18.6025.4%7.3%38.2%48.1%24.0%6.7%-9.0%27.1K319.6K-2.8K0.2290.593,9608552,975915
2016-02-19$18.07$18.6023.0%6.6%38.6%39.5%23.3%8.8%1.2%-19.0K292.2K-2.6K0.2290.313,9808752,975915
2016-02-22$18.38$18.6022.5%6.4%38.2%37.6%23.4%6.9%-0.4%-14.9K-176.7K-2.5K0.9393.54650605670620
2016-02-23$18.11$18.6022.5%6.5%37.8%37.8%23.6%4.7%0.5%-16.6K-124.5K-2.7K23.9394.2965015,555670620
2016-02-24$18.23$18.6022.9%6.6%37.6%39.2%23.5%9.7%1.7%-383.2K7.4M-66.8K20.7495.4875015,55567015,620
2016-02-25$18.67$18.6022.3%6.4%38.0%37.0%23.0%4.5%-0.0%-468.3K5.9M-58.9K20.8997.8474515,56577015,620
2016-02-26$18.72$18.6020.5%5.9%38.0%30.0%22.8%1.7%0.5%-377.9K6.4M-64.2K20.8996.7074515,56571515,640
2016-02-29$18.64$18.6021.5%6.2%37.6%33.4%26.0%7.1%-0.1%-530.3K4.3M-49.4K20.9696.9074515,61571515,640