IGV Options History — December 2016

In December 2016, IGV traded between $21.58 and $22.64. ATM implied volatility averaged 17.0%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 2.8% (HV 20d: 19.8%). Max pain ranged from $21.60 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2016-12-07: Highest Volume — 1,825 contracts
  • 2016-12-12: Largest IV spike — 28.3% change
  • 2016-12-13: Highest IV Rank — 40.2%
  • 2016-12-02: Largest Expected Move — 5.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.16$21.58$22.64$21.58$21.74
Max Pain$21.96$21.60$22.00$21.60$22.00
ATM IV17.0%14.4%22.0%19.1%16.9%
Expected Move4.7%4.1%5.5%5.5%4.8%
HV 20d19.8%14.2%22.1%20.9%14.2%
HV 60d16.1%15.8%16.5%16.4%16.1%
IV Rank19.7%8.9%40.2%28.3%19.3%
IV Percentile43.9%10.7%81.7%68.3%50.8%
Term Structure1.6%-0.8%3.8%1.7%0.7%
VWIV17.6%15.2%21.9%19.0%16.8%
Skew 25d2.8%-6.7%7.0%-6.7%1.8%
Skew 10d8.6%-0.2%20.6%-0.2%9.6%
Call IV 25d16.2%13.2%19.8%19.8%16.4%
Put IV 25d19.0%13.1%23.7%13.1%18.2%
Bid-Ask Spread %103.9681.27121.73104.77102.45
Gamma HHI0.220.170.250.190.22
Net GEX144.0K78.0K179.7K107.8K152.9K
Net DEX-1.4M-1.9M-638.4K-990.7K-956.0K
Net VEX-8.9K-10.0K-7.1K-10.0K-7.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.321.531.450.32
Total Volume1,366.6679101,8251,740960
Total OI3,512.1433,4103,6303,4503,470

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$21.58$21.6019.1%5.5%20.9%28.3%19.0%-6.7%1.7%107.8K-990.7K-10.0K1.45104.777101,0301,8951,555
2016-12-02$21.58$21.6019.2%5.5%20.9%28.8%21.8%5.8%-0.7%78.0K-638.4K-9.4K1.5197.397201,0851,9051,560
2016-12-05$22.01$22.0017.0%5.1%22.1%19.7%16.1%5.5%0.6%107.8K-1.1M-9.7K1.5196.797201,0851,9151,665
2016-12-06$22.06$22.0016.6%4.5%20.5%17.9%16.4%4.6%3.4%104.5K-1.1M-9.8K1.5194.357201,0851,9151,665
2016-12-07$22.39$22.0015.5%4.7%21.2%13.5%18.3%4.4%3.6%133.0K-1.5M-9.7K1.5392.447201,1051,9151,665
2016-12-08$22.45$22.0018.9%4.8%21.2%27.6%21.9%6.4%0.3%129.8K-1.6M-9.9K1.53106.097201,1051,9151,685
2016-12-09$22.43$22.0016.9%4.4%20.4%19.2%17.9%4.1%1.0%151.2K-1.7M-9.3K1.5388.287201,1051,9151,685
2016-12-12$22.36$22.0021.7%4.8%20.2%38.8%18.1%4.1%1.0%147.4K-1.6M-9.3K1.5381.277201,1051,9151,685
2016-12-13$22.64$22.0022.0%4.5%19.9%40.2%19.2%7.0%1.7%158.6K-1.9M-9.1K1.53101.507201,1051,9151,685
2016-12-14$22.48$22.0017.3%5.0%19.4%20.7%17.7%1.7%0.8%155.2K-1.8M-9.3K1.53121.337201,1051,9151,685
2016-12-15$22.48$22.0017.1%4.9%19.3%19.9%17.9%-0.1%1.1%159.1K-1.8M-9.3K0.57119.217204101,9151,685
2016-12-16$22.17$22.0016.3%4.7%19.1%16.7%18.7%1.0%1.3%163.6K-1.5M-8.9K0.56105.357204051,9151,715
2016-12-19$22.26$22.0015.9%4.5%19.2%15.0%16.3%3.5%1.2%160.9K-1.5M-8.4K0.3594.956752351,8701,540
2016-12-20$22.33$22.0015.4%4.4%19.2%13.0%17.3%2.8%3.0%164.4K-1.5M-8.7K0.3586.586752351,8751,545
2016-12-21$22.29$22.0015.4%4.4%19.2%13.3%17.3%0.8%1.9%179.7K-1.5M-8.2K0.35118.246752351,8751,545
2016-12-22$21.96$22.0014.5%4.2%19.8%9.4%15.2%5.8%1.1%149.8K-1.2M-8.2K0.35110.926752351,8751,545
2016-12-23$22.07$22.0014.9%4.3%19.8%11.1%15.4%-0.4%3.5%146.2K-1.2M-8.5K0.35119.196752351,8751,545
2016-12-27$22.16$22.0015.5%4.4%19.9%13.6%16.6%1.5%-0.8%160.8K-1.3M-7.8K0.35121.736752351,8751,545
2016-12-28$21.91$22.0014.4%4.1%20.0%8.9%15.8%-0.0%3.1%152.2K-1.1M-7.7K0.32116.987252351,8751,545
2016-12-29$21.93$22.0016.8%4.8%19.5%18.7%15.5%5.3%3.8%161.1K-1.1M-7.1K0.32103.297252351,9251,545
2016-12-30$21.74$22.0016.9%4.8%14.2%19.3%16.8%1.8%0.7%152.9K-956.0K-7.7K0.32102.457252351,9251,545