IGV Options History — August 2016

In August 2016, IGV traded between $21.76 and $22.62. ATM implied volatility averaged 14.7%, placing in the 7.3% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.8% (HV 20d: 10.8%). Max pain ranged from $19.80 to $22.40. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 29.75.

Notable Days

  • 2016-08-15: Highest Volume — 69,240 contracts
  • 2016-08-02: Largest IV spike — 15.0% change
  • 2016-08-02: Highest IV Rank — 14.4%
  • 2016-08-02: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.29$21.76$22.62$22.02$22.53
Max Pain$21.25$19.80$22.40$19.80$22.40
ATM IV14.7%13.0%16.6%14.4%13.9%
Expected Move4.3%4.0%4.8%4.1%4.0%
HV 20d10.8%8.6%13.0%12.4%8.6%
HV 60d18.1%17.7%18.4%18.2%17.8%
IV Rank7.3%1.0%14.4%6.4%4.4%
IV Percentile11.2%0.8%30.6%8.3%3.6%
Term Structure2.5%0.5%4.8%2.4%2.5%
VWIV16.6%13.9%18.7%15.4%13.9%
Skew 25d4.1%0.3%7.2%2.6%6.6%
Skew 10d9.8%2.2%14.8%4.9%4.6%
Call IV 25d13.2%8.9%17.7%15.6%12.7%
Put IV 25d17.3%15.3%19.3%18.2%19.2%
Bid-Ask Spread %87.9767.19103.00100.7698.40
Gamma HHI0.560.470.640.500.60
Net GEX-2.2M-4.1M-801.1K-1.5M-2.4M
Net DEX5.6M-25.7M17.5M9.7M10.0M
Net VEX-339.4K-435.4K-187.6K-435.4K-280.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio29.750.4959.2758.971.52
Total Volume36,808.696069,24068,9651,210
Total OI148,048.043126,590160,385159,240126,640

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$22.02$19.8014.4%4.1%12.4%6.4%15.4%2.6%2.4%-1.5M9.7M-435.4K58.97100.761,15067,81526,365132,875
2016-08-02$21.76$19.8016.6%4.8%12.9%14.4%16.3%0.3%0.5%-1.7M12.0M-425.5K59.0199.981,15067,86526,365132,875
2016-08-03$21.89$19.8014.9%4.3%12.9%8.3%15.6%2.3%2.3%-4.1M-3.1M-320.7K59.27100.311,14567,86526,365132,925
2016-08-04$21.97$0.0014.8%4.6%13.0%7.9%0.0%5.1%3.1%-2.1M3.2M-389.4K56.7970.841,19567,86526,360132,925
2016-08-05$22.20$0.0013.0%4.4%11.9%1.0%0.0%3.3%3.2%-1.1M3.0M-401.6K56.7969.631,19567,86526,410132,925
2016-08-08$22.17$0.0014.0%4.4%11.7%4.7%0.0%3.7%2.8%-1.2M2.9M-395.3K56.7967.191,19567,86526,410132,925
2016-08-09$22.22$0.0013.6%4.1%11.1%3.4%0.0%5.3%2.8%-1.1M4.9M-419.9K56.7984.101,19567,86526,410132,925
2016-08-10$22.19$0.0014.7%4.2%11.0%7.4%0.0%4.1%2.1%-978.4K1.8M-391.8K56.7972.011,19567,86526,410132,925
2016-08-11$22.38$0.0014.8%4.2%11.3%7.7%0.0%4.2%2.1%-801.1K-2.7M-389.7K56.7978.971,19567,86526,410132,925
2016-08-12$22.32$0.0014.1%4.0%11.3%5.3%0.0%4.7%1.3%-2.9M-17.3M-243.8K54.5188.821,24567,86526,410132,925
2016-08-15$22.43$0.0014.3%4.1%11.3%6.1%0.0%2.3%2.8%-3.3M-25.7M-187.6K54.6191.711,24567,99526,460132,925
2016-08-16$22.23$0.0016.0%4.6%11.7%12.3%0.0%3.0%3.2%-1.2M3.7M-405.3K1.1679.7326,22530,54526,460133,055
2016-08-17$22.12$0.0015.0%4.3%10.8%8.8%17.7%5.5%3.9%-2.7M13.9M-326.6K0.49103.001,12555013,975145,605
2016-08-18$22.27$21.2015.5%4.4%9.9%10.4%0.0%7.2%2.1%-2.2M7.0M-300.2K1.8599.9513525014,600145,655
2016-08-19$22.36$21.2014.4%4.1%9.1%6.5%16.8%4.5%4.8%-2.7M17.5M-356.9K13.5481.651,35518,34514,730145,655
2016-08-22$22.29$21.2015.0%4.3%9.2%8.5%17.3%2.5%1.7%-2.8M16.9M-323.0K1.4284.3048068013,635112,955
2016-08-23$22.52$21.2014.1%4.0%9.8%5.1%18.7%6.9%2.9%-2.6M12.3M-321.6K1.4289.8948068013,635112,955
2016-08-24$22.40$21.2015.0%4.3%10.0%8.6%0.0%3.6%1.7%-2.7M15.3M-319.9K0.0091.790013,635112,955
2016-08-25$22.55$21.2015.0%4.3%10.0%8.4%16.6%4.8%1.0%-2.5M11.6M-290.8K1.5284.8848073013,635112,955
2016-08-26$22.57$22.4014.8%4.3%10.0%8.0%17.6%5.5%1.8%-2.4M9.3M-289.0K1.5297.2848073013,635113,005
2016-08-29$22.62$22.4014.6%4.2%9.9%7.0%16.3%2.8%2.6%-2.4M12.8M-309.5K1.5293.6448073013,635113,005
2016-08-30$22.57$22.4014.6%4.2%8.7%7.2%16.9%3.5%2.9%-2.6M10.8M-282.4K1.5294.5248073013,635113,005
2016-08-31$22.53$22.4013.9%4.0%8.6%4.4%13.9%6.6%2.5%-2.4M10.0M-280.5K1.5298.4048073013,635113,005