IGV Options History — September 2016

In September 2016, IGV traded between $22.06 and $22.81. ATM implied volatility averaged 16.8%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.5% (HV 20d: 12.3%). Max pain ranged from $21.40 to $22.40. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 20.62.

Notable Days

  • 2016-09-30: Highest Volume — 101,350 contracts
  • 2016-09-09: Largest IV spike — 44.2% change
  • 2016-09-13: Highest IV Rank — 46.2%
  • 2016-09-13: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.51$22.06$22.81$22.52$22.76
Max Pain$21.52$21.40$22.40$22.40$21.40
ATM IV16.8%12.2%24.9%14.6%14.7%
Expected Move4.8%3.9%5.8%4.2%4.2%
HV 20d12.3%8.2%15.6%8.6%15.6%
HV 60d15.8%12.4%18.4%17.8%12.6%
IV Rank16.7%0.0%46.2%6.9%9.1%
IV Percentile37.2%0.0%83.3%11.1%14.3%
Term Structure1.0%-3.6%3.2%2.6%2.1%
VWIV17.4%14.2%22.0%14.6%14.2%
Skew 25d4.7%1.7%7.1%4.0%1.7%
Skew 10d12.7%6.5%20.4%7.1%13.4%
Call IV 25d14.7%11.6%17.2%13.5%15.8%
Put IV 25d19.4%15.3%23.5%17.6%17.6%
Bid-Ask Spread %82.2360.08103.26101.2896.49
Gamma HHI0.600.530.700.600.57
Net GEX-2.3M-5.1M993.0K-2.4M993.0K
Net DEX7.8M-17.5M23.5M12.0M-17.5M
Net VEX-237.5K-344.5K-64.7K-278.6K-64.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio20.621.00135.951.52135.04
Total Volume15,561.9051,075101,3501,210101,350
Total OI127,10034,820226,910126,64034,820

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$22.52$22.4014.6%4.2%8.6%6.9%14.6%4.0%2.6%-2.4M12.0M-278.6K1.52101.2848073013,635113,005
2016-09-02$22.70$22.4013.6%3.9%8.3%3.5%14.3%3.7%2.8%-2.3M7.5M-276.2K1.52100.3348073013,635113,005
2016-09-06$22.76$0.0013.9%4.7%8.2%4.6%0.0%5.8%1.0%-2.2M5.0M-245.0K1.5267.4048073013,635113,005
2016-09-07$22.76$0.0012.2%4.5%8.3%0.0%0.0%6.0%0.9%-2.0M178.0K-219.6K1.5260.0848073013,635113,005
2016-09-08$22.64$0.0014.4%4.8%8.6%8.2%0.0%5.9%1.0%-2.3M5.5M-240.6K1.5262.1448073013,635113,005
2016-09-09$22.21$0.0020.8%5.4%10.7%31.4%20.4%5.5%-0.2%-2.6M14.5M-274.4K1.6464.8648078513,635113,005
2016-09-12$22.41$21.4018.6%5.2%11.1%23.4%22.0%6.8%3.2%-2.5M13.0M-257.6K1.7471.2248083513,635113,060
2016-09-13$22.06$21.4024.9%5.8%12.4%46.2%20.1%7.0%-1.8%-3.0M17.4M-279.0K1.7267.7348583513,635113,110
2016-09-14$22.11$21.4019.0%5.5%12.0%24.9%20.1%6.0%-3.6%-2.4M6.4M-230.5K1.2271.8148559013,640113,110
2016-09-15$22.43$21.4018.2%5.2%12.9%21.8%20.2%7.1%0.4%-3.1M7.5M-232.2K1.7276.4748583513,640113,115
2016-09-16$22.21$21.4018.3%5.3%13.2%22.3%18.4%3.7%0.4%-2.9M17.8M-272.8K1.6281.6651583513,640113,115
2016-09-19$22.26$21.4018.1%5.2%13.2%21.6%18.3%5.5%0.7%-2.4M9.1M-237.0K1.4377.0648068513,635112,965
2016-09-20$22.26$21.4018.8%5.4%13.1%24.1%18.8%4.2%0.8%-2.6M12.5M-242.2K1.5378.8248073513,635112,965
2016-09-21$22.67$21.4016.5%4.7%14.2%15.6%17.6%6.9%1.8%-2.2M9.2M-240.4K1.5386.8448073513,635113,015
2016-09-22$22.81$21.4014.8%4.3%14.2%9.7%17.0%2.3%2.3%-2.0M4.2M-215.9K1.4891.0949573513,635113,015
2016-09-23$22.60$21.4015.3%4.4%14.5%11.2%14.9%4.6%2.6%-2.1M4.0M-214.3K1.0794.8768573513,650113,015
2016-09-26$22.45$21.4017.5%5.0%14.6%19.2%15.8%2.5%1.2%-2.4M9.7M-230.4K1.0095.4973573513,840113,015
2016-09-27$22.67$21.4016.4%4.7%15.1%15.3%15.7%3.9%1.3%-2.1M6.9M-228.1K1.0091.1873573513,890113,015
2016-09-28$22.79$21.4016.1%4.6%15.2%14.4%15.0%2.6%0.9%-1.3M-4.1M-164.3K135.7986.84740100,48513,890113,015
2016-09-29$22.61$21.4016.9%4.8%15.5%17.2%16.0%3.5%0.8%-5.1M23.5M-344.5K135.95103.26740100,60513,895213,015
2016-09-30$22.76$21.4014.7%4.2%15.6%9.1%14.2%1.7%2.1%993.0K-17.5M-64.7K135.0496.49745100,60513,90020,920