IGV Options History — April 2017

In April 2017, IGV traded between $25.09 and $26.13. ATM implied volatility averaged 13.8%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 5.9% (HV 20d: 8.0%). Max pain ranged from $23.60 to $25.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 2.83.

Notable Days

  • 2017-04-18: Highest Volume — 3,630 contracts
  • 2017-04-12: Largest IV spike — 19.2% change
  • 2017-04-12: Highest IV Rank — 32.7%
  • 2017-04-12: Largest Expected Move — 4.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.44$25.09$26.13$25.18$26.13
Max Pain$23.91$23.60$25.00$25.00$24.00
ATM IV13.8%11.6%16.5%12.0%11.6%
Expected Move4.1%3.3%4.7%3.5%3.3%
HV 20d8.0%5.2%10.0%10.0%6.9%
HV 60d9.8%9.4%10.2%10.2%9.5%
IV Rank17.5%4.6%32.7%7.1%4.6%
IV Percentile23.8%0.8%61.9%1.6%0.8%
Term Structure1.4%-2.4%4.8%4.8%1.2%
VWIV17.1%11.8%25.2%12.6%12.2%
Skew 25d3.4%0.0%6.1%2.9%2.1%
Skew 10d8.2%0.4%12.8%8.2%4.2%
Call IV 25d13.5%10.9%18.1%11.8%14.4%
Put IV 25d16.9%14.0%19.1%14.7%16.5%
Bid-Ask Spread %103.5590.13117.68109.54113.63
Gamma HHI0.350.110.720.450.14
Net GEX190.2K16.6K641.9K231.6K54.3K
Net DEX-831.4K-1.2M-265.2K-576.1K-1.2M
Net VEX-5.2K-8.1K-2.3K-8.0K-2.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.831.985.172.065.17
Total Volume3,390.5262,8253,6303,5452,900
Total OI4,211.8423,2804,5904,4953,335

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$25.18$25.0012.0%3.5%10.0%7.1%12.6%2.9%4.8%231.6K-576.1K-8.0K2.06109.541,1602,3851,8502,645
2017-04-04$25.12$25.0012.5%3.6%10.0%9.7%11.8%2.2%3.8%205.1K-700.0K-8.1K2.06101.641,1602,3851,8502,650
2017-04-05$25.13$25.0011.8%3.4%9.9%5.4%14.3%5.3%3.5%229.6K-608.1K-7.4K2.04117.681,1702,3851,8502,650
2017-04-06$25.19$23.6012.0%4.3%9.9%6.9%19.4%4.1%0.8%200.5K-631.5K-7.5K2.0490.131,1702,3851,8602,655
2017-04-07$25.21$23.6012.7%4.3%9.8%11.0%19.9%4.7%2.7%192.1K-754.6K-6.9K2.0495.411,1702,3901,8602,655
2017-04-10$25.19$23.6013.0%4.3%9.3%12.7%19.0%4.0%1.2%233.3K-695.1K-7.0K2.0490.661,1702,3901,8602,660
2017-04-11$25.17$23.6013.8%4.1%8.9%17.4%19.7%2.7%3.3%178.9K-510.1K-7.2K2.0598.151,1702,4001,8602,660
2017-04-12$25.11$23.6016.5%4.7%8.5%32.7%20.6%4.0%-1.8%219.6K-549.3K-7.0K2.0598.281,1702,4001,8602,670
2017-04-13$25.09$23.6015.9%4.6%8.4%29.5%25.2%5.7%2.0%179.6K-498.0K-6.2K2.0596.711,1702,4001,8602,670
2017-04-17$25.13$23.6014.8%4.2%8.3%22.9%20.0%4.1%1.6%37.0K-265.2K-6.1K2.0592.111,1702,4001,8602,670
2017-04-18$25.34$23.6016.1%4.6%8.8%30.4%21.9%3.4%2.2%262.1K-1.0M-4.4K1.98105.071,2202,4101,8602,670
2017-04-19$25.37$23.6015.1%4.3%5.2%24.5%15.2%6.1%-1.3%521.4K-1.2M-4.6K1.98104.721,2202,4101,9102,680
2017-04-20$25.56$23.6015.9%4.6%5.4%29.3%15.7%4.1%-0.7%641.9K-1.2M-3.3K1.9898.841,2202,4101,9102,680
2017-04-21$25.58$23.6015.2%4.4%5.4%25.2%20.0%1.1%1.6%16.6K-877.9K-3.4K1.98114.011,2202,4101,9102,680
2017-04-24$25.90$23.6013.3%3.8%6.7%14.5%14.0%2.5%0.8%53.2K-1.1M-2.5K5.01101.184702,3556602,620
2017-04-25$25.96$24.0013.8%4.0%6.7%17.3%15.8%0.0%-2.4%50.6K-1.2M-2.5K5.01115.064702,3556602,625
2017-04-26$25.91$24.0014.0%4.0%6.7%18.2%12.5%4.0%0.9%52.8K-1.1M-2.4K5.12108.454702,4056602,675
2017-04-27$26.11$24.0013.0%3.7%7.0%12.7%15.4%0.7%1.6%52.6K-1.2M-2.3K5.12116.244702,4056602,675
2017-04-28$26.13$24.0011.6%3.3%6.9%4.6%12.2%2.1%1.2%54.3K-1.2M-2.3K5.17113.634702,4306602,675