IGV Options History — May 2017

In May 2017, IGV traded between $26.26 and $27.82. ATM implied volatility averaged 13.2%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.5% (HV 20d: 10.7%). Max pain ranged from $24.00 to $26.80. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 2.76.

Notable Days

  • 2017-05-15: Highest Volume — 4,515 contracts
  • 2017-05-17: Largest IV spike — 47.9% change
  • 2017-05-17: Highest IV Rank — 42.8%
  • 2017-05-17: Largest Expected Move — 5.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.93$26.26$27.82$26.34$27.71
Max Pain$25.83$24.00$26.80$24.00$26.80
ATM IV13.2%10.4%18.0%12.2%10.8%
Expected Move3.8%3.1%5.2%3.5%3.1%
HV 20d10.7%6.7%15.1%7.3%15.0%
HV 60d10.1%8.8%11.5%9.5%11.0%
IV Rank15.5%0.0%42.8%8.0%2.0%
IV Percentile21.3%0.0%82.5%3.2%0.4%
Term Structure1.4%-0.7%4.3%0.3%1.2%
VWIV13.6%10.4%17.1%14.4%13.4%
Skew 25d3.1%0.7%4.8%2.0%1.9%
Skew 10d8.5%2.0%14.1%4.8%3.6%
Call IV 25d12.6%10.6%15.7%15.7%12.5%
Put IV 25d15.7%13.0%20.2%17.7%14.3%
Bid-Ask Spread %97.0780.78116.96115.40115.68
Gamma HHI0.190.100.300.130.26
Net GEX114.3K-6.0K261.6K44.8K198.3K
Net DEX-5.0M-9.6M-1.2M-1.2M-9.5M
Net VEX-5.2K-9.3K-2.1K-2.3K-6.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.760.405.155.140.59
Total Volume2,847.51,5204,5152,9151,650
Total OI4,439.3183,3657,1003,3654,865

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$26.34$24.0012.2%3.5%7.3%8.0%14.4%2.0%0.3%44.8K-1.2M-2.3K5.14115.404752,4406602,705
2017-05-02$26.31$24.0012.2%3.5%6.7%8.2%13.2%1.8%0.4%39.6K-1.2M-2.5K5.14105.814752,4406652,715
2017-05-03$26.26$24.0013.2%3.8%6.7%13.6%17.1%1.4%1.5%54.7K-1.3M-2.1K4.88116.965002,4406652,715
2017-05-04$26.46$26.2011.6%3.8%6.9%4.5%13.0%4.4%1.4%40.5K-1.3M-2.3K4.9886.405002,4906902,715
2017-05-05$26.62$26.2015.0%3.9%7.0%24.4%13.5%4.1%1.2%15.3K-1.3M-2.4K4.9884.805002,4906902,765
2017-05-08$26.58$26.2015.0%3.7%7.2%24.0%11.3%4.0%1.8%17.3K-1.4M-2.4K5.00109.465002,5006902,765
2017-05-09$26.59$26.2010.4%3.4%7.1%0.0%11.9%3.4%1.9%-5.7K-1.3M-2.5K5.1595.934952,5506902,825
2017-05-10$26.94$26.2011.2%3.2%7.8%4.3%10.4%3.8%4.3%-6.0K-1.4M-2.8K5.0696.945052,5556852,875
2017-05-11$26.76$26.2012.5%3.6%8.4%12.0%12.1%0.7%2.0%29.7K-1.3M-3.0K4.60105.135552,5557352,880
2017-05-12$26.82$26.2012.2%3.5%8.2%10.2%13.0%3.0%2.2%34.7K-1.4M-3.2K3.2685.998002,6057852,880
2017-05-15$27.08$26.4012.9%3.7%8.5%14.3%14.8%3.9%1.3%52.6K-3.4M-4.0K1.3893.691,8952,6201,5252,930
2017-05-16$27.20$25.0012.2%3.5%8.3%9.9%13.6%3.3%2.4%116.2K-6.5M-5.4K2.7680.789452,6102,7252,945
2017-05-17$26.43$25.0018.0%5.2%14.2%42.8%14.9%1.9%-0.7%66.7K-6.5M-5.2K1.3899.821,8652,5802,9602,950
2017-05-18$26.47$26.0015.8%4.5%14.0%30.2%16.1%4.5%1.4%156.0K-7.6M-8.8K1.8191.961,4952,7053,8952,970
2017-05-19$26.74$26.4015.9%4.5%14.3%30.8%14.4%3.7%2.2%216.8K-8.3M-9.1K1.6387.311,6702,7254,0503,050
2017-05-22$27.12$26.4013.9%4.0%14.5%19.6%14.6%4.8%-0.1%260.1K-8.1M-9.3K0.4287.241,1004653,830715
2017-05-23$27.21$26.0014.2%4.1%14.5%21.4%14.6%3.0%0.9%261.6K-8.6M-9.0K0.4082.261,1054453,910695
2017-05-24$27.51$26.0011.2%3.2%14.7%4.6%14.0%3.8%3.0%255.2K-9.2M-6.5K0.41107.301,0754453,910690
2017-05-25$27.82$26.0013.3%3.8%14.9%16.2%11.5%3.6%1.7%237.3K-9.6M-6.9K0.5892.141,0305953,905690
2017-05-26$27.70$26.4013.7%3.9%15.1%18.8%13.9%2.6%1.1%211.5K-9.3M-9.0K0.5997.221,0155953,960840
2017-05-30$27.75$26.4014.1%4.0%15.0%20.9%13.9%3.1%0.4%216.9K-9.4M-8.8K0.6097.281,0306154,020840
2017-05-31$27.71$26.8010.8%3.1%15.0%2.0%13.4%1.9%1.2%198.3K-9.5M-6.6K0.59115.681,0356154,005860