IGV Options History — June 2016

In June 2016, IGV traded between $19.87 and $21.55. ATM implied volatility averaged 17.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 2.4% (HV 20d: 14.6%). Max pain ranged from $19.40 to $20.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 33.92.

Notable Days

  • 2016-06-29: Highest Volume — 18,405 contracts
  • 2016-06-24: Largest IV spike — 41.1% change
  • 2016-06-27: Highest IV Rank — 47.8%
  • 2016-06-27: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.07$19.87$21.55$21.31$21.00
Max Pain$19.97$19.40$20.00$20.00$20.00
ATM IV17.0%13.1%25.4%13.8%15.0%
Expected Move4.9%4.0%7.3%4.0%4.3%
HV 20d14.6%10.4%27.0%11.8%27.0%
HV 60d15.1%13.4%19.3%14.6%19.3%
IV Rank16.9%2.8%47.8%5.4%9.7%
IV Percentile33.2%3.6%80.2%5.2%13.9%
Term Structure1.3%-0.9%3.6%0.2%2.2%
VWIV17.7%13.4%25.6%13.8%16.2%
Skew 25d5.6%3.2%9.3%4.9%5.0%
Skew 10d13.5%7.4%18.5%8.8%11.9%
Call IV 25d15.1%12.5%20.4%14.3%13.0%
Put IV 25d20.7%16.8%28.9%19.2%18.0%
Bid-Ask Spread %83.7169.88101.41101.41101.02
Gamma HHI0.360.180.440.410.37
Net GEX-264.3K-661.3K16.9K-353.4K-230.4K
Net DEX1.0M-813.9K5.7M581.2K714.4K
Net VEX-18.0K-42.3K-3.3K-14.9K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio33.9228.2939.1839.1832.46
Total Volume18,214.09118,08018,40518,08018,405
Total OI33,320.90933,14533,60533,14533,605

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$21.31$20.0013.8%4.0%11.8%5.4%13.8%4.9%0.2%-353.4K581.2K-14.9K39.18101.4145017,63050032,645
2016-06-02$21.35$20.0013.1%4.1%11.0%2.8%16.6%5.7%2.0%-304.8K1.4M-23.1K39.1871.6845017,63054032,645
2016-06-03$21.26$20.0014.3%4.3%11.1%7.4%15.6%5.4%1.7%-199.6K418.5K-14.7K39.1884.6045017,63054032,645
2016-06-06$21.40$20.0013.3%4.1%11.1%3.6%14.2%4.9%2.6%-230.8K653.3K-17.4K39.1874.2345017,63054032,645
2016-06-07$21.43$20.0013.2%4.2%11.2%3.2%13.4%4.4%0.0%-165.6K169.0K-12.5K39.1869.8845017,63054032,645
2016-06-08$21.49$20.0013.9%4.0%10.5%5.7%13.5%3.9%1.5%-3.0K-736.5K-3.3K39.1878.1945017,63054032,645
2016-06-09$21.40$20.0014.0%4.0%10.9%6.2%14.4%3.2%1.9%-147.2K-7.8K-11.9K39.1874.8045017,63054032,645
2016-06-10$21.08$20.0016.3%4.7%12.5%14.5%16.6%4.4%0.8%-276.0K1.2M-20.7K39.1884.6845017,63053532,645
2016-06-13$20.97$20.0017.9%5.1%12.8%20.5%18.0%5.4%0.4%-324.7K1.4M-23.1K30.6677.9757517,63053532,645
2016-06-14$21.01$20.0019.6%5.6%12.0%26.7%20.8%7.1%2.3%-153.4K91.4K-12.4K30.7583.4357517,68068532,645
2016-06-15$21.05$20.0018.5%5.3%11.8%22.6%19.6%4.7%1.1%16.9K-813.9K-3.5K28.2988.0462517,68068532,695
2016-06-16$21.11$20.0018.7%5.4%11.6%23.2%20.7%8.8%1.6%-424.3K647.4K-16.0K28.3782.5162517,73073532,695
2016-06-17$21.00$20.0018.7%5.4%11.9%23.3%19.8%4.8%1.8%-201.3K219.4K-14.4K28.3777.9762517,73073532,745
2016-06-20$21.24$20.0016.6%4.7%12.1%15.5%16.2%5.7%1.3%-144.8K-24.1K-11.7K31.5677.8556017,67567532,690
2016-06-21$21.43$20.0017.2%4.9%12.3%17.7%18.1%5.5%2.0%-278.7K1.2M-22.9K31.5684.7256017,67567532,690
2016-06-22$21.15$20.0019.2%5.5%10.4%25.2%18.5%3.8%-0.9%-323.4K1.6M-24.3K31.5688.4456017,67567532,690
2016-06-23$21.55$20.0016.0%4.6%12.3%13.4%17.8%7.3%2.4%-165.3K231.4K-13.9K31.5692.5356017,67567532,690
2016-06-24$20.58$20.0022.6%6.5%20.8%37.5%23.4%5.3%0.1%-321.4K1.4M-20.3K30.7180.5257517,66067532,690
2016-06-27$19.87$20.0025.4%7.3%23.8%47.8%25.6%9.3%-0.5%-661.3K4.9M-39.4K32.2081.8655017,71069032,695
2016-06-28$20.25$19.4020.0%5.7%25.0%28.1%19.1%7.1%1.0%-622.7K5.7M-42.3K32.3688.8955017,80071532,745
2016-06-29$20.71$20.0015.6%4.5%26.5%11.8%17.3%5.9%3.6%-298.4K1.2M-18.4K32.4696.3255017,85571532,835
2016-06-30$21.00$20.0015.0%4.3%27.0%9.7%16.2%5.0%2.2%-230.4K714.4K-14.3K32.46101.0255017,85571532,890