IGV Options History — July 2016

In July 2016, IGV traded between $20.91 and $22.12. ATM implied volatility averaged 16.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 8.4% (HV 20d: 24.4%). Max pain ranged from $19.80 to $20.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 47.45.

Notable Days

  • 2016-07-14: Highest Volume — 69,075 contracts
  • 2016-07-11: Largest IV spike — 30.1% change
  • 2016-07-12: Highest IV Rank — 20.5%
  • 2016-07-05: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.72$20.91$22.12$21.07$22.06
Max Pain$19.81$19.80$20.00$20.00$19.80
ATM IV16.0%13.2%17.9%15.7%14.8%
Expected Move4.7%4.0%5.5%4.5%4.2%
HV 20d24.4%12.3%27.9%27.0%12.3%
HV 60d18.9%18.2%19.2%19.0%18.2%
IV Rank13.1%3.2%20.5%12.3%8.7%
IV Percentile25.0%3.2%47.2%21.4%10.7%
Term Structure1.7%-0.9%4.0%1.2%0.7%
VWIV17.7%14.4%24.8%16.9%14.4%
Skew 25d4.4%0.5%10.0%5.3%0.5%
Skew 10d12.2%6.2%17.7%12.7%8.8%
Call IV 25d14.4%12.9%16.8%13.2%15.6%
Put IV 25d18.8%15.8%23.4%18.5%16.1%
Bid-Ask Spread %93.4786.76102.28102.2899.03
Gamma HHI0.560.360.870.360.53
Net GEX-807.4K-2.1M2.1M-99.2K-2.1M
Net DEX2.5M-23.1M15.2M-258.5K10.2M
Net VEX-354.8K-497.4K-7.9K-7.9K-432.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio47.450.70101.280.7058.97
Total Volume61,34619,05069,07543,44068,965
Total OI127,840.533,605159,38533,605159,240

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$21.07$20.0015.7%4.5%27.0%12.3%16.9%5.3%1.2%-99.2K-258.5K-7.9K0.70102.2825,58517,85571532,890
2016-07-05$20.91$19.8017.7%5.5%27.0%19.8%24.1%6.8%3.3%1.7M-17.7M-126.3K0.7092.3725,66517,85525,86032,890
2016-07-06$21.02$19.8017.0%5.3%27.1%17.0%24.8%4.7%2.1%1.7M-18.5M-125.1K0.7093.8325,66517,85525,91532,890
2016-07-07$21.08$19.8015.0%5.1%27.1%9.8%21.0%10.0%4.0%1.7M-18.5M-125.0K0.7086.7625,66517,85525,91532,890
2016-07-08$21.47$19.8013.2%4.8%27.9%3.2%21.6%4.1%3.3%2.1M-23.1M-130.5K101.2888.6167067,85525,91532,890
2016-07-11$21.66$19.8017.2%4.9%27.5%17.8%21.4%6.6%2.4%97.5K-1.2M-315.9K15.2888.381,17017,88025,92082,890
2016-07-12$21.90$19.8017.9%4.9%27.5%20.5%20.2%5.7%2.9%67.0K-2.9M-328.1K58.0094.231,17067,85526,42082,915
2016-07-13$21.80$19.8016.7%4.8%27.6%15.8%16.8%6.0%1.9%-1.8M14.1M-497.4K58.0088.731,17067,85526,420132,915
2016-07-14$21.88$19.8016.8%4.8%27.6%16.2%16.7%1.9%2.8%-2.0M8.7M-469.6K58.0488.471,17067,90526,420132,915
2016-07-15$21.82$19.8015.7%4.5%27.7%12.2%16.7%3.5%3.6%-1.9M15.2M-495.4K58.0497.131,17067,90526,420132,965
2016-07-18$21.85$19.8015.8%4.5%27.5%12.6%15.4%3.2%1.2%-1.8M14.4M-488.9K62.1794.301,09067,76526,275132,825
2016-07-19$21.73$19.8016.4%4.7%27.4%14.9%16.3%3.7%0.4%-1.6M13.4M-472.4K61.3392.791,10567,76526,275132,825
2016-07-20$22.04$19.8016.0%4.6%27.7%13.2%15.0%5.2%-0.7%-1.7M7.3M-457.4K60.2491.191,12567,76526,325132,825
2016-07-21$21.76$19.8016.4%4.7%27.7%14.6%15.9%1.8%0.5%-1.7M9.2M-441.7K60.2496.191,12567,76526,385132,825
2016-07-22$22.03$19.8015.5%4.5%27.2%11.3%15.1%5.0%1.2%-2.1M10.4M-438.7K58.9393.781,15067,76526,385132,825
2016-07-25$22.06$19.8016.2%4.7%20.8%13.9%15.4%3.7%-0.3%-1.6M7.7M-448.3K58.9392.751,15067,76526,385132,825
2016-07-26$22.06$19.8016.5%4.7%15.2%14.8%15.6%2.3%-0.9%-1.6M6.1M-421.4K58.9393.991,15067,76526,365132,825
2016-07-27$21.99$19.8014.1%4.0%14.5%5.9%14.6%2.2%3.1%-1.4M8.9M-446.2K58.9798.231,15067,81526,365132,825
2016-07-28$22.12$19.8014.4%4.1%12.8%7.4%15.2%6.3%1.0%-2.0M6.2M-426.9K58.9796.431,15067,81526,365132,875
2016-07-29$22.06$19.8014.8%4.2%12.3%8.7%14.4%0.5%0.7%-2.1M10.2M-432.9K58.9799.031,15067,81526,365132,875