IGV Options History — May 2016

In May 2016, IGV traded between $19.72 and $21.24. ATM implied volatility averaged 16.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 1.4% (HV 20d: 14.8%). Max pain ranged from $20.00 to $20.40. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 29.05.

Notable Days

  • 2016-05-19: Highest Volume — 19,235 contracts
  • 2016-05-10: Largest IV drop — 17.2% change
  • 2016-05-04: Highest IV Rank — 25.6%
  • 2016-05-04: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.43$19.72$21.24$20.31$21.24
Max Pain$20.08$20.00$20.40$20.00$20.00
ATM IV16.1%12.7%19.3%15.8%14.7%
Expected Move4.7%3.6%5.5%4.5%4.2%
HV 20d14.8%13.5%16.8%16.0%14.1%
HV 60d16.9%14.6%24.1%24.1%14.6%
IV Rank13.9%1.3%25.6%12.8%8.7%
IV Percentile27.9%1.6%57.1%25.0%11.5%
Term Structure1.3%-2.5%3.9%0.9%0.2%
VWIV16.6%10.9%19.5%19.2%13.3%
Skew 25d3.1%1.3%6.4%5.2%1.4%
Skew 10d9.7%-1.4%16.0%15.0%3.6%
Call IV 25d15.0%12.6%17.0%15.6%15.3%
Put IV 25d18.2%15.3%21.1%20.7%16.7%
Bid-Ask Spread %90.1978.61102.0399.63102.03
Gamma HHI0.360.270.480.480.27
Net GEX-658.0K-1.3M-37.5K-338.7K-37.5K
Net DEX4.0M-481.6K7.4M1.3M-481.6K
Net VEX-42.4K-70.7K-4.6K-19.6K-4.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio29.0520.1446.3924.2943.00
Total Volume18,795.71418,01019,23518,97018,040
Total OI33,793.33333,11534,19534,07033,115

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$20.31$20.0015.8%4.5%16.0%12.8%19.2%5.2%0.9%-338.7K1.3M-19.6K24.2999.6375018,22082533,245
2016-05-03$19.94$20.0018.1%5.2%16.8%21.0%18.2%2.0%0.5%-854.9K7.1M-70.7K24.29101.2775018,22082533,245
2016-05-04$19.78$20.0019.3%5.5%16.3%25.6%18.1%2.9%0.0%-899.8K6.6M-65.8K24.13100.5775518,22082533,245
2016-05-05$19.72$20.4018.3%5.3%15.4%21.6%15.4%3.8%-2.5%-1.3M7.4M-63.1K24.1382.0775518,22087533,245
2016-05-06$19.84$20.4016.2%5.0%15.5%14.0%13.7%6.4%3.5%-1.2M4.5M-42.6K22.6378.6180518,22087533,245
2016-05-09$19.91$20.4016.8%4.9%15.4%16.3%15.6%2.9%2.7%-838.8K5.6M-56.6K22.7081.0580518,27092533,245
2016-05-10$20.19$20.4013.9%4.4%16.0%5.7%16.5%4.3%3.9%-789.9K4.6M-51.2K22.7681.4380518,32590033,295
2016-05-11$20.25$20.0016.1%4.6%13.9%13.6%16.3%1.3%2.4%-798.0K7.0M-65.5K22.7681.8980518,32562533,350
2016-05-12$20.29$20.0018.1%5.2%13.9%20.9%18.0%4.7%0.6%-779.7K6.5M-60.1K21.4379.8185518,32562533,350
2016-05-13$20.29$20.0017.5%5.0%13.9%19.0%18.0%2.2%-2.1%-893.8K4.6M-46.2K21.4388.1885518,32567533,350
2016-05-16$20.56$20.0015.2%4.4%14.1%10.6%19.5%5.0%3.4%-664.5K3.1M-37.1K21.4389.2585518,32567533,350
2016-05-17$20.46$20.0017.7%5.1%14.1%19.5%16.7%1.9%1.2%-699.0K5.1M-52.0K21.4380.7685518,32567533,350
2016-05-18$20.37$20.0016.8%4.8%14.0%16.3%17.2%3.4%1.6%-992.3K5.0M-48.7K21.4389.0285518,32567533,350
2016-05-19$20.34$20.0017.9%5.1%13.7%20.4%18.0%2.5%3.5%-748.1K4.9M-48.4K20.1487.4891018,32567533,350
2016-05-20$20.53$20.0015.3%4.4%13.5%11.0%15.8%2.7%2.3%-576.1K4.2M-48.2K20.1490.2891018,32573033,350
2016-05-23$20.57$20.0015.0%4.3%13.5%9.6%16.0%2.7%0.3%-567.4K4.2M-47.6K46.3992.1238017,63047032,645
2016-05-24$21.08$20.0014.3%4.1%15.9%7.1%17.8%3.9%2.0%-44.9K-404.3K-4.7K46.3995.0438017,63047032,645
2016-05-25$21.07$20.0015.1%4.3%15.9%10.2%16.7%2.9%0.1%-374.7K1.9M-28.3K46.3993.4938017,63047032,645
2016-05-26$21.08$20.0014.0%4.0%14.3%6.2%17.7%1.8%0.7%-271.0K942.5K-18.8K46.3998.4038017,63047032,645
2016-05-27$21.20$20.0012.7%3.6%14.4%1.3%10.9%2.1%1.2%-145.5K44.5K-10.5K46.39101.5438017,63047032,645
2016-05-31$21.24$20.0014.7%4.2%14.1%8.7%13.3%1.4%0.2%-37.5K-481.6K-4.6K43.00102.0341017,63047032,645