IGV Options History — November 2016

In November 2016, IGV traded between $21.99 and $22.81. ATM implied volatility averaged 19.6%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.9% (HV 20d: 14.7%). Max pain ranged from $20.40 to $21.60. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.54.

Notable Days

  • 2016-11-02: Highest Volume — 2,565 contracts
  • 2016-11-09: Largest IV drop — 25.5% change
  • 2016-11-07: Highest IV Rank — 65.2%
  • 2016-11-02: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$21.99$22.81$22.39$22.41
Max Pain$21.38$20.40$21.60$20.40$21.60
ATM IV19.6%14.1%28.2%21.9%16.1%
Expected Move5.4%4.0%6.9%6.3%4.6%
HV 20d14.7%12.2%16.5%12.2%16.3%
HV 60d13.6%12.2%14.5%12.2%14.5%
IV Rank30.3%7.6%65.2%39.5%16.0%
IV Percentile60.5%7.5%96.0%82.5%35.3%
Term Structure-0.3%-4.3%4.5%1.4%2.8%
VWIV22.4%16.2%26.9%24.8%19.9%
Skew 25d6.2%2.4%9.5%2.4%3.5%
Skew 10d12.9%2.4%22.4%16.1%2.4%
Call IV 25d18.2%14.0%25.2%25.2%20.0%
Put IV 25d24.4%19.0%31.1%27.6%23.5%
Bid-Ask Spread %95.5161.46119.86103.61119.86
Gamma HHI0.550.190.910.710.19
Net GEX1.8M119.5K5.2M1.9M132.3K
Net DEX-15.5M-32.6M-1.8M-20.2M-1.8M
Net VEX-21.6K-43.9K-9.9K-36.9K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.541.312.001.421.61
Total Volume2,226.6671,6352,5652,4651,825
Total OI25,854.7623,23037,28036,7953,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$22.39$20.4021.9%6.3%12.2%39.5%24.8%2.4%1.4%1.9M-20.2M-36.9K1.42103.611,0201,44515,03021,765
2016-11-02$22.14$20.4024.1%6.9%12.8%48.5%26.9%6.5%-3.7%2.0M-17.4M-37.5K1.51105.871,0201,54515,16021,765
2016-11-03$22.10$0.0025.0%6.2%12.8%52.2%0.0%9.5%0.7%2.0M-17.0M-40.6K1.4098.921,0201,42515,16021,865
2016-11-04$21.99$0.0024.1%6.3%12.8%48.8%24.6%8.1%-2.0%1.8M-14.9M-43.9K1.3561.461,0901,47515,16021,865
2016-11-07$22.49$21.4028.2%5.8%14.9%65.2%23.8%8.8%-0.9%1.9M-21.3M-32.7K1.3168.491,0901,43015,26021,915
2016-11-08$22.60$21.4024.7%5.9%13.0%51.0%25.3%7.2%-2.9%2.3M-23.4M-28.7K1.3166.931,0901,43015,26021,920
2016-11-09$22.50$21.4018.4%5.3%13.1%25.3%25.2%8.5%3.6%2.8M-22.5M-27.3K1.4496.339901,43015,26021,920
2016-11-10$22.16$21.4020.2%5.8%14.1%32.6%25.9%5.0%1.5%3.3M-20.5M-27.6K1.4492.809901,43015,26021,920
2016-11-11$22.35$21.4020.4%5.9%14.1%33.7%24.3%7.4%-1.5%4.3M-21.6M-25.3K1.4477.349901,43015,26021,920
2016-11-14$22.01$21.4021.5%6.2%14.9%38.2%24.5%7.8%-4.3%5.2M-20.3M-22.9K1.4790.099751,43015,26021,920
2016-11-15$22.36$21.4019.7%5.6%15.6%30.6%25.6%7.6%-0.7%4.0M-22.2M-20.4K1.47110.559751,43015,22521,920
2016-11-16$22.47$21.4020.3%5.8%15.7%33.2%22.9%5.2%-2.0%4.3M-25.9M-16.7K1.4797.649751,43015,22521,920
2016-11-17$22.81$21.4017.7%5.1%16.5%22.6%23.5%4.2%0.3%173.7K-32.4M-10.3K1.6889.519551,60015,17521,920
2016-11-18$22.76$21.6015.8%4.5%16.4%14.6%20.8%4.1%4.5%119.5K-32.6M-10.3K2.0090.608001,60015,19022,090
2016-11-21$22.76$21.6016.8%4.8%15.8%18.7%16.2%8.8%-1.5%120.6K-1.9M-10.3K1.6891.406101,0251,7751,455
2016-11-22$22.73$21.6014.8%4.2%15.5%10.5%20.2%5.0%-1.0%135.8K-1.8M-10.4K1.76116.416101,0751,8051,455
2016-11-23$22.64$21.6014.1%4.0%15.5%7.6%19.6%3.6%2.6%147.0K-1.8M-10.1K1.76116.286101,0751,8051,505
2016-11-25$22.71$21.6015.2%4.4%15.4%12.2%19.2%5.2%-1.1%154.2K-1.8M-9.9K1.52101.757051,0751,8051,505
2016-11-28$22.58$21.6016.8%4.8%15.5%18.6%17.0%5.4%-0.1%161.1K-1.9M-10.3K1.6298.466951,1251,9051,505
2016-11-29$22.72$21.6016.3%4.7%15.7%16.7%17.4%6.5%-1.4%144.6K-1.9M-10.3K1.62111.396951,1251,9051,555
2016-11-30$22.41$21.6016.1%4.6%16.3%16.0%19.9%3.5%2.8%132.3K-1.8M-10.4K1.61119.867001,1251,9051,555