IGV Options History — October 2016

In October 2016, IGV traded between $22.14 and $22.78. ATM implied volatility averaged 17.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.1% (HV 20d: 13.6%). Max pain ranged from $20.40 to $22.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 100.52.

Notable Days

  • 2016-10-21: Highest Volume — 102,515 contracts
  • 2016-10-11: Largest IV spike — 32.9% change
  • 2016-10-28: Highest IV Rank — 33.5%
  • 2016-10-28: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.47$22.14$22.78$22.65$22.51
Max Pain$20.61$20.40$22.80$21.40$20.40
ATM IV17.7%14.8%21.4%16.1%19.7%
Expected Move5.2%4.4%6.1%4.6%5.6%
HV 20d13.6%12.1%15.5%15.5%12.1%
HV 60d12.2%11.8%12.7%12.1%12.1%
IV Rank20.1%9.6%33.5%14.4%30.5%
IV Percentile51.7%16.3%81.0%33.7%74.2%
Term Structure-0.1%-6.0%2.4%2.3%-0.9%
VWIV27.0%15.8%32.9%15.8%23.4%
Skew 25d4.8%-0.1%10.3%3.4%6.2%
Skew 10d14.1%7.2%24.1%13.4%16.4%
Call IV 25d17.1%14.4%21.7%15.9%17.9%
Put IV 25d22.0%17.8%26.7%19.3%24.1%
Bid-Ask Spread %91.2773.83110.2195.2586.77
Gamma HHI0.640.520.870.580.84
Net GEX1.5M924.2K2.3M1.1M2.3M
Net DEX-18.6M-24.3M-12.0M-17.1M-22.1M
Net VEX-53.3K-68.6K-34.9K-65.4K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio100.5280.36135.85135.0499.70
Total Volume102,220.238101,350102,515101,350102,215
Total OI36,283.8134,82036,87534,82036,795

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$22.65$21.4016.1%4.6%15.5%14.4%15.8%3.4%2.3%1.1M-17.1M-65.4K135.0495.25745100,60513,90020,920
2016-10-04$22.63$21.4016.4%4.7%15.4%15.3%15.9%5.4%0.7%994.6K-16.9M-66.5K135.7891.93745101,15513,90020,920
2016-10-05$22.65$22.8015.6%4.5%15.4%12.3%16.5%3.2%2.4%924.2K-16.7M-67.5K135.7899.16745101,15513,90021,720
2016-10-06$22.64$20.4015.3%5.2%15.3%11.4%28.2%4.3%1.0%1.2M-17.1M-65.0K135.8575.03745101,20513,90021,720
2016-10-07$22.54$20.4015.7%4.9%13.7%12.9%27.9%6.1%-0.6%1.1M-16.6M-63.5K91.5974.731,105101,20513,90021,770
2016-10-10$22.74$20.4014.8%5.4%13.7%9.6%29.0%5.1%-1.4%1.3M-21.2M-49.8K91.5979.871,105101,20514,26021,770
2016-10-11$22.28$20.4019.7%5.7%14.5%27.3%30.0%6.0%-0.2%1.2M-16.0M-62.5K91.5982.901,105101,20514,26021,770
2016-10-12$22.26$20.4019.2%5.5%14.5%25.5%29.0%3.6%0.1%1.6M-16.8M-52.2K99.22105.791,020101,20514,26021,770
2016-10-13$22.14$20.4020.0%5.7%13.6%28.4%29.1%8.1%-0.4%988.3K-12.0M-68.6K82.6284.101,225101,20514,53021,770
2016-10-14$22.34$20.4018.5%5.3%13.6%23.0%29.9%6.1%-0.0%1.4M-17.9M-54.5K82.6282.031,225101,20515,03021,770
2016-10-17$22.17$20.4019.4%5.6%13.8%26.3%30.8%5.8%-1.4%1.4M-15.3M-62.3K82.6273.831,225101,20515,03021,770
2016-10-18$22.36$20.4018.0%5.2%14.2%21.2%28.7%5.4%0.6%1.9M-19.3M-49.2K81.6699.671,240101,25515,03521,770
2016-10-19$22.39$20.4018.1%5.2%12.5%21.7%28.1%5.2%-0.3%1.4M-17.2M-59.7K81.6681.161,240101,25515,05021,820
2016-10-20$22.34$20.4017.0%4.9%12.3%17.6%27.5%3.1%1.1%1.7M-16.6M-57.3K81.6689.741,240101,25515,05021,820
2016-10-21$22.48$20.4017.7%5.1%12.2%20.2%31.3%6.1%1.9%1.9M-20.9M-42.4K80.3682.211,260101,25515,05521,820
2016-10-24$22.78$20.4015.4%4.4%12.8%11.7%19.2%10.3%0.2%2.0M-24.3M-35.3K99.70110.211,015101,20014,86521,765
2016-10-25$22.61$20.4016.9%4.8%12.6%17.2%31.1%4.3%-0.1%1.8M-22.9M-38.9K99.70106.881,015101,20014,86521,765
2016-10-26$22.49$20.4018.1%5.2%12.6%21.7%31.3%1.1%0.3%1.7M-20.7M-44.3K111.82105.98905101,20014,86521,765
2016-10-27$22.39$20.4017.8%5.1%12.4%20.4%32.9%-0.1%-1.8%1.8M-21.1M-41.7K110.60103.80915101,20014,88021,765
2016-10-28$22.45$20.4021.4%6.1%12.1%33.5%31.6%2.3%-6.0%2.1M-21.2M-38.4K99.70105.561,015101,20014,90521,765
2016-10-31$22.51$20.4019.7%5.6%12.1%30.5%23.4%6.2%-0.9%2.3M-22.1M-34.9K99.7086.771,015101,20015,03021,765