IGV Options History — April 2016

In April 2016, IGV traded between $19.79 and $20.66. ATM implied volatility averaged 16.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 1.2% (HV 20d: 15.5%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 21.96.

Notable Days

  • 2016-04-14: Highest Volume — 18,985 contracts
  • 2016-04-07: Largest IV spike — 25.2% change
  • 2016-04-29: Highest IV Rank — 26.4%
  • 2016-04-07: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.24$19.79$20.66$20.28$20.10
Max Pain$18.25$17.00$20.00$19.20$20.00
ATM IV16.6%14.3%19.5%14.3%19.5%
Expected Move4.9%4.1%5.7%4.1%5.6%
HV 20d15.5%14.2%16.9%14.2%15.5%
HV 60d26.1%24.1%27.7%27.7%24.1%
IV Rank15.7%7.2%26.4%7.2%26.4%
IV Percentile35.4%9.1%57.9%9.1%57.9%
Term Structure0.8%-7.3%5.5%1.2%-0.5%
VWIV17.0%14.8%19.8%14.8%19.8%
Skew 25d4.8%1.7%8.2%8.2%5.3%
Skew 10d10.8%1.2%14.7%8.3%9.3%
Call IV 25d14.4%10.6%18.1%10.6%17.2%
Put IV 25d19.2%15.7%22.5%18.8%22.5%
Bid-Ask Spread %96.2487.91106.63106.6398.76
Gamma HHI0.390.340.450.430.34
Net GEX-673.5K-845.0K-275.5K-709.2K-549.2K
Net DEX4.9M690.7K8.2M7.0M2.1M
Net VEX-61.6K-88.8K-19.6K-84.5K-31.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio21.9618.7525.8419.0524.29
Total Volume18,922.14318,44518,98518,94518,970
Total OI33,957.14333,53534,07033,82534,070

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$20.28$19.2014.3%4.1%14.2%7.2%14.8%8.2%1.2%-709.2K7.0M-84.5K19.05106.6394518,00092532,900
2016-04-04$20.26$17.0015.6%4.8%14.2%12.0%15.9%4.3%1.9%-686.8K5.2M-68.6K20.0092.7290018,00092533,015
2016-04-05$20.02$17.0017.7%5.3%15.0%19.8%17.7%5.5%-0.9%-662.8K5.0M-68.4K20.0087.9190018,00093033,015
2016-04-06$20.26$17.0014.9%4.8%15.0%9.5%16.2%6.0%-0.1%-672.2K5.3M-70.4K20.0095.5090018,00093033,015
2016-04-07$19.94$17.0018.7%5.7%16.4%23.3%17.8%1.7%-7.3%-743.7K6.1M-74.3K19.6793.3591518,00093033,015
2016-04-08$20.00$17.0015.5%5.2%16.1%11.7%17.4%4.5%2.4%-765.6K6.4M-76.4K18.8588.7795518,00094533,015
2016-04-11$19.86$17.0016.7%5.3%15.2%15.9%17.7%4.5%5.5%-800.1K8.2M-88.8K18.8592.3295518,00099033,015
2016-04-12$19.79$17.0017.1%5.2%15.2%17.4%18.2%5.3%3.2%-786.3K6.3M-74.8K18.7591.6896018,00099033,015
2016-04-13$20.24$17.0017.3%5.0%16.9%18.1%17.0%7.2%3.9%-647.1K4.3M-60.5K18.7593.8896018,00099533,005
2016-04-14$20.20$17.0016.7%4.8%16.0%15.9%16.7%5.4%1.5%-845.0K6.7M-76.3K18.7898.2596018,02599533,005
2016-04-15$20.26$17.0016.7%4.8%16.0%16.1%15.8%5.0%-0.5%-765.5K4.3M-57.9K18.7893.5396018,02599533,030
2016-04-18$20.49$17.0017.1%4.9%16.1%17.6%15.9%6.4%-1.4%-625.0K5.0M-62.9K25.1696.4070517,74079032,750
2016-04-19$20.39$17.0015.8%4.5%16.3%12.8%16.1%4.9%1.5%-614.7K4.4M-58.2K25.8497.7370518,22079032,745
2016-04-20$20.48$20.0015.7%4.5%16.3%12.1%15.9%4.1%0.0%-668.9K4.4M-55.9K25.8496.8970518,22079033,245
2016-04-21$20.66$20.0016.6%4.8%14.8%15.6%16.3%5.6%0.4%-586.7K3.9M-54.1K25.6699.5671018,22079033,245
2016-04-22$20.42$20.0016.6%4.8%15.6%15.6%17.5%2.0%1.3%-639.7K4.2M-54.7K25.6697.9471018,22079533,245
2016-04-25$20.42$20.0017.0%4.9%15.5%17.0%17.8%6.2%1.5%-703.4K5.1M-61.8K24.2996.6175018,22079533,245
2016-04-26$20.44$20.0016.6%4.8%14.6%15.6%17.3%2.8%-0.3%-711.5K5.4M-61.6K24.2998.9675018,22082533,245
2016-04-27$20.44$20.0015.8%4.5%14.4%12.7%18.0%3.6%1.2%-275.5K690.7K-19.6K24.29101.8575018,22082533,245
2016-04-28$20.10$20.0017.4%5.0%15.7%18.6%17.4%2.3%1.4%-684.8K2.4M-33.1K24.29101.8675018,22082533,245
2016-04-29$20.10$20.0019.5%5.6%15.5%26.4%19.8%5.3%-0.5%-549.2K2.1M-31.7K24.2998.7675018,22082533,245