IGV Options History — March 2016

In March 2016, IGV traded between $19.06 and $20.15. ATM implied volatility averaged 17.9%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 4.6% (HV 20d: 22.5%). Max pain ranged from $18.20 to $19.20. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 12.64.

Notable Days

  • 2016-03-16: Highest Volume — 19,390 contracts
  • 2016-03-29: Largest IV drop — 18.9% change
  • 2016-03-08: Highest IV Rank — 37.5%
  • 2016-03-08: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.56$19.06$20.15$19.24$20.15
Max Pain$18.79$18.20$19.20$18.60$19.20
ATM IV17.9%13.9%22.6%18.9%14.2%
Expected Move5.1%4.0%6.4%5.4%4.1%
HV 20d22.5%14.2%38.9%38.9%14.2%
HV 60d28.2%27.6%29.2%29.2%27.6%
IV Rank20.4%5.6%37.5%24.1%6.9%
IV Percentile43.4%5.6%69.0%55.2%7.9%
Term Structure2.9%-4.2%19.0%1.1%1.8%
VWIV18.9%16.0%24.0%24.0%16.0%
Skew 25d5.8%1.5%11.6%11.6%3.1%
Skew 10d13.8%4.6%22.2%18.4%5.6%
Call IV 25d15.0%10.0%18.5%11.6%14.6%
Put IV 25d20.8%17.1%25.2%23.2%17.7%
Bid-Ask Spread %91.6971.76106.3799.70106.37
Gamma HHI0.620.430.860.770.44
Net GEX-615.6K-875.9K-391.8K-408.6K-709.8K
Net DEX5.6M2.9M9.6M8.0M3.9M
Net VEX-69.1K-99.6K-48.4K-79.1K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.645.4820.926.3918.93
Total Volume12,839.3186,61019,3906,61018,830
Total OI27,162.27321,20534,26021,20533,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$19.24$18.6018.9%5.4%38.9%24.1%24.0%11.6%1.1%-408.6K8.0M-79.1K6.3999.708955,71571520,490
2016-03-02$19.24$18.6019.8%5.7%36.7%27.2%19.5%4.3%0.3%-477.4K3.8M-56.9K6.39100.928955,71586520,590
2016-03-03$19.25$18.2019.9%5.9%36.6%27.7%19.0%6.9%3.9%-744.7K4.0M-48.4K6.3982.548955,71586520,590
2016-03-04$19.25$18.2020.2%5.9%36.7%28.9%20.9%8.6%0.2%-474.1K5.5M-68.2K6.2174.439205,71586520,590
2016-03-07$19.20$18.2020.7%5.7%25.6%30.8%21.0%4.2%4.4%-526.0K5.4M-61.8K6.2179.179205,71589020,590
2016-03-08$19.06$18.2022.6%6.4%21.5%37.5%21.9%6.7%-0.5%-502.1K5.2M-61.5K6.0771.769505,77089020,590
2016-03-09$19.21$18.2021.8%6.3%21.4%34.8%22.6%7.8%3.1%-516.8K6.0M-66.6K6.0777.899505,77094520,645
2016-03-10$19.10$18.2021.1%6.0%21.5%32.0%21.6%7.2%3.0%-496.1K5.9M-67.7K5.4879.751,0605,81094520,645
2016-03-11$19.46$19.0017.8%5.1%21.8%20.2%19.4%7.6%0.6%-429.8K4.5M-61.7K5.4880.781,0605,8101,05520,685
2016-03-14$19.53$19.0018.3%5.2%21.8%21.6%19.1%5.6%-1.8%-416.3K5.0M-61.1K5.5085.901,0605,8301,05520,685
2016-03-15$19.43$19.0018.4%5.3%21.8%22.3%18.9%6.1%-4.2%-408.0K2.9M-49.6K5.5091.361,0605,8301,05520,705
2016-03-16$19.76$19.0016.5%4.7%19.8%15.4%17.9%9.2%19.0%-391.8K3.2M-50.2K17.2994.721,06018,3301,05520,705
2016-03-17$19.77$19.0015.2%4.4%18.8%10.6%16.9%3.4%3.3%-864.8K6.4M-81.7K17.2995.821,06018,3301,05533,205
2016-03-18$19.96$19.0015.8%4.5%18.6%12.7%16.9%3.6%15.7%-700.5K5.0M-73.4K18.0892.051,01518,3501,05533,205
2016-03-21$19.96$19.0016.1%4.6%18.1%13.6%17.1%4.2%1.8%-639.1K4.1M-59.4K20.9299.7385517,88586532,900
2016-03-22$19.97$19.0016.4%4.7%16.8%14.8%17.2%4.5%1.1%-682.9K6.2M-79.2K20.8096.5186017,88591532,900
2016-03-23$19.60$19.0016.7%4.8%18.7%15.9%16.5%1.5%1.8%-864.4K7.0M-80.3K20.80101.9786017,88594032,900
2016-03-24$19.65$19.2016.3%4.7%17.1%14.4%17.0%4.8%2.0%-843.1K9.6M-99.6K20.80102.1886017,88584032,900
2016-03-28$19.61$19.2017.1%4.9%17.1%17.5%18.6%4.6%1.8%-875.9K8.6M-92.8K19.65101.7891017,88584032,900
2016-03-29$19.93$19.2013.9%4.0%17.6%5.6%17.5%9.0%3.6%-843.9K6.9M-81.1K18.93103.2294517,88589032,900
2016-03-30$20.08$19.2016.5%4.7%14.2%15.1%16.7%2.6%1.5%-726.5K6.7M-84.3K18.9398.7594517,88592532,900
2016-03-31$20.15$19.2014.2%4.1%14.2%6.9%16.0%3.1%1.8%-709.8K3.9M-54.8K18.93106.3794517,88592532,900