IGV Options History — June 2017

In June 2017, IGV traded between $27.01 and $28.27. ATM implied volatility averaged 18.1%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 0.7% (HV 20d: 17.4%). Max pain ranged from $26.80 to $28.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.58.

Notable Days

  • 2017-06-08: Highest Volume — 79,890 contracts
  • 2017-06-09: Largest IV spike — 72.6% change
  • 2017-06-12: Highest IV Rank — 100.0%
  • 2017-06-29: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.70$27.01$28.27$27.86$27.51
Max Pain$27.55$26.80$28.00$26.80$27.60
ATM IV18.1%12.7%29.1%12.7%19.4%
Expected Move4.9%3.6%5.9%3.6%5.5%
HV 20d17.4%14.6%20.0%15.0%19.2%
HV 60d12.9%10.9%14.7%11.0%14.7%
IV Rank41.5%13.0%100.0%13.0%47.9%
IV Percentile69.6%10.7%100.0%10.7%90.1%
Term Structure0.7%-0.9%5.0%1.6%-0.0%
VWIV16.0%13.0%19.5%13.6%19.5%
Skew 25d4.4%0.2%7.5%2.1%4.9%
Skew 10d9.9%1.4%17.8%7.2%10.3%
Call IV 25d15.4%11.7%20.6%12.3%18.5%
Put IV 25d19.8%14.4%25.9%14.4%23.5%
Bid-Ask Spread %86.2967.38111.99111.99101.48
Gamma HHI0.250.170.320.310.23
Net GEX-1.0M-3.1M693.4K262.4K-2.7M
Net DEX10.6M-10.3M40.9M-9.8M37.9M
Net VEX-235.6K-397.1K-5.7K-6.0K-380.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.580.219.861.189.86
Total Volume22,915.6821,13579,8901,13522,650
Total OI60,949.5454,85094,9154,85094,915

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$27.86$26.8012.7%3.6%15.0%13.0%13.6%2.1%1.6%262.4K-9.8M-6.0K1.18111.995206153,990860
2017-06-02$28.14$26.8013.7%3.9%15.1%18.3%13.0%1.7%0.1%205.2K-10.2M-5.7K0.99111.446206154,005860
2017-06-05$28.19$27.0015.3%4.2%15.0%27.6%13.7%4.5%1.0%157.6K-10.3M-5.7K1.0981.665556054,035860
2017-06-06$28.12$27.0015.6%4.3%15.1%29.2%15.4%4.6%1.4%156.9K-10.3M-6.0K2.4667.386601,6254,065875
2017-06-07$28.18$28.0014.8%4.3%15.1%24.7%15.7%5.9%0.3%43.9K-9.8M-8.7K2.4086.986751,6204,1901,395
2017-06-08$28.15$28.0013.6%4.4%14.6%18.0%15.7%4.2%5.0%417-10.1M-7.8K2.0994.1325,86554,0254,2351,435
2017-06-09$27.18$28.0023.5%5.3%19.6%73.5%18.0%0.2%0.1%-2.3M27.4M-354.5K0.8792.3326,88023,45029,43553,935
2017-06-12$27.01$28.0029.1%5.8%19.7%100.0%14.6%7.3%-0.2%-2.8M40.9M-389.1K0.2477.1128,3656,87530,49558,175
2017-06-13$27.34$27.6026.6%5.6%19.9%86.6%18.1%7.5%0.2%-2.4M32.2M-397.1K0.2472.6728,3106,91029,33561,835
2017-06-14$27.16$27.6018.0%5.2%20.0%40.5%16.4%3.3%-0.5%-2.5M31.1M-362.1K0.25102.9828,0856,96029,40058,125
2017-06-15$27.11$27.6017.2%4.9%17.0%36.4%14.0%7.2%1.7%-3.1M37.5M-358.6K0.2573.0228,2856,96029,42558,165
2017-06-16$27.15$27.6018.3%5.2%17.0%42.1%14.7%5.8%0.4%-1.7M31.2M-366.2K0.2575.4028,2856,96029,89558,165
2017-06-19$27.57$27.6017.8%5.1%17.4%39.5%16.5%5.2%2.8%-2.5M24.3M-357.2K0.2172.2726,9555,65028,28556,860
2017-06-20$27.42$27.6017.7%5.1%17.0%38.9%16.8%5.0%1.4%-1.8M22.0M-349.7K0.5468.5626,99014,60528,29056,860
2017-06-21$27.80$27.6017.7%5.1%17.6%39.2%17.4%5.9%-0.5%-898.5K7.0M-292.2K7.3273.261,96514,37528,31047,980
2017-06-22$28.16$27.6016.7%4.8%17.7%33.4%15.8%4.1%-0.9%254.9K-7.3M-256.8K1.8387.173,0705,63028,33543,350
2017-06-23$28.27$27.6016.8%4.8%17.3%33.9%14.6%4.7%-0.7%624.0K-7.5M-251.8K1.9888.342,7155,38028,85043,845
2017-06-26$28.13$27.6015.5%4.4%17.4%27.3%15.1%2.3%1.3%693.4K-10.2M-247.3K1.9386.572,7655,33528,83543,845
2017-06-27$27.66$27.6019.9%5.7%18.4%50.9%17.1%2.9%-0.7%-183.1K-123.3K-247.1K1.9290.312,7855,34028,84043,850
2017-06-28$27.85$27.6017.8%5.1%18.6%39.3%17.3%5.0%0.5%-571.7K5.3M-236.7K9.2887.592,03518,88528,86543,855
2017-06-29$27.36$27.6020.5%5.9%19.5%53.8%19.2%2.6%2.0%-1.8M21.5M-295.8K9.6895.822,12520,56528,86050,870
2017-06-30$27.51$27.6019.4%5.5%19.2%47.9%19.5%4.9%-0.0%-2.7M37.9M-380.5K9.86101.482,08520,56528,79066,125