IGV Options History — March 2017

In March 2017, IGV traded between $24.73 and $25.41. ATM implied volatility averaged 13.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.6% (HV 20d: 10.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 3.85.

Notable Days

  • 2017-03-28: Highest Volume — 3,540 contracts
  • 2017-03-14: Largest IV spike — 39.0% change
  • 2017-03-14: Highest IV Rank — 46.3%
  • 2017-03-21: Largest Expected Move — 4.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.05$24.73$25.41$25.01$25.35
Max Pain$24.60$23.00$25.00$23.00$25.00
ATM IV13.6%11.2%18.9%13.9%13.6%
Expected Move3.9%3.2%4.5%4.0%3.9%
HV 20d10.9%9.6%12.4%11.1%9.6%
HV 60d11.2%10.1%12.2%12.0%10.1%
IV Rank15.9%2.4%46.3%17.7%15.9%
IV Percentile14.0%0.4%87.3%9.9%11.1%
Term Structure1.5%-1.4%4.3%-1.4%0.5%
VWIV13.3%10.2%16.2%16.2%10.2%
Skew 25d2.9%-1.4%7.4%6.5%4.0%
Skew 10d7.0%-2.1%13.3%11.2%6.2%
Call IV 25d13.1%10.2%14.9%14.0%10.2%
Put IV 25d16.0%13.1%20.7%20.4%14.2%
Bid-Ask Spread %101.2971.78122.57114.36104.53
Gamma HHI0.420.290.540.430.48
Net GEX14.0K-185.7K284.8K-87.1K284.8K
Net DEX-228.3K-1.1M428.0K230.0K-860.9K
Net VEX-9.6K-11.1K-5.6K-10.3K-9.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.852.015.875.612.05
Total Volume3,112.3912,7103,5402,7103,540
Total OI3,711.9573,1704,4953,1954,495

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$25.01$23.0013.9%4.0%11.1%17.7%0.0%6.5%-1.4%-87.1K230.0K-10.3K5.61114.364102,3006002,595
2017-03-02$24.78$23.0013.0%3.7%11.5%12.9%16.2%0.7%1.7%-105.6K313.5K-10.2K5.61106.894102,3006002,595
2017-03-03$24.78$23.0013.7%3.9%11.4%16.6%0.0%1.8%1.1%-113.1K428.0K-10.7K5.62109.854102,3056002,595
2017-03-06$24.79$24.8013.7%4.3%10.9%16.9%16.0%3.9%0.9%-117.7K370.9K-10.0K5.6289.884102,3056002,600
2017-03-07$24.73$24.8013.3%4.2%10.9%14.6%15.7%3.9%1.4%-106.6K313.9K-9.9K5.6271.784102,3056002,600
2017-03-08$24.85$24.8014.6%3.7%10.9%22.1%14.8%2.4%1.7%-111.0K197.7K-9.5K5.6293.934102,3056002,600
2017-03-09$24.84$24.8012.6%4.2%10.9%10.5%15.5%3.1%1.5%-104.5K278.7K-9.9K5.6281.344102,3056002,570
2017-03-10$24.97$24.8012.7%4.0%10.5%11.1%15.3%3.4%1.0%-102.2K244.9K-9.8K5.6277.204102,3056002,570
2017-03-13$25.19$24.8013.6%3.9%9.7%15.9%16.0%3.8%2.1%-93.5K-11.2K-8.4K5.7480.644102,3556002,570
2017-03-14$25.02$24.8018.9%4.1%10.1%46.3%15.1%2.8%0.9%-93.3K199.0K-9.7K5.8795.414102,4056002,620
2017-03-15$25.22$24.8013.3%3.8%10.3%14.6%13.6%1.3%4.3%-185.7K-506.2K-5.6K5.87122.524102,4056002,670
2017-03-16$25.31$24.8012.6%3.6%10.1%10.2%11.4%2.5%2.7%-83.5K5.8K-9.1K2.6495.669102,4056002,670
2017-03-17$25.41$24.8011.7%3.4%10.1%5.2%10.8%-1.4%0.2%90.8K-1.1M-6.9K2.64118.329102,4051,1002,670
2017-03-20$25.31$24.8012.7%3.6%10.2%10.8%11.4%2.4%2.2%38.0K-453.9K-9.7K2.5690.959102,3301,1002,595
2017-03-21$24.84$24.8015.7%4.5%12.3%28.2%13.3%1.6%0.4%-11.1K-158.6K-9.8K2.0198.701,1602,3301,1002,595
2017-03-22$24.98$24.8013.7%3.9%12.4%16.4%11.4%2.1%1.9%77.7K-785.1K-9.8K2.01115.631,1602,3301,8502,595
2017-03-23$24.98$24.8015.6%4.5%12.4%27.4%12.5%7.4%1.1%117.8K-907.5K-10.5K2.01111.891,1602,3301,8502,595
2017-03-24$25.08$24.8013.7%3.9%12.3%16.6%12.1%3.6%2.9%166.0K-533.9K-10.5K2.0193.951,1602,3301,8502,595
2017-03-27$25.07$24.8011.2%3.2%12.3%2.4%11.4%4.5%3.9%144.8K-339.5K-10.6K2.01112.781,1602,3301,8502,595
2017-03-28$25.18$25.0012.2%3.5%11.8%8.1%12.1%3.5%1.6%190.2K-315.7K-11.0K2.05119.261,1602,3801,8502,645
2017-03-29$25.30$25.0012.3%3.5%10.2%8.5%11.8%-0.1%3.0%258.7K-786.3K-11.1K2.05122.571,1602,3801,8502,645
2017-03-30$25.27$25.0013.8%4.0%9.6%17.2%11.7%3.0%-0.2%267.2K-1.0M-9.0K2.05101.581,1602,3801,8502,645
2017-03-31$25.35$25.0013.6%3.9%9.6%15.9%10.2%4.0%0.5%284.8K-860.9K-9.0K2.05104.531,1602,3801,8502,645