IGV Options History — July 2017

In July 2017, IGV traded between $26.97 and $28.98. ATM implied volatility averaged 17.3%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 1.0% (HV 20d: 18.2%). Max pain ranged from $27.00 to $27.60. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.53.

Notable Days

  • 2017-07-06: Highest Volume — 8,935 contracts
  • 2017-07-28: Largest IV spike — 21.4% change
  • 2017-07-11: Highest IV Rank — 53.8%
  • 2017-07-06: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$26.97$28.98$26.97$28.45
Max Pain$27.06$27.00$27.60$27.60$27.00
ATM IV17.3%14.3%20.5%18.3%17.4%
Expected Move4.9%4.1%5.8%5.3%5.0%
HV 20d18.2%15.7%22.0%20.3%15.7%
HV 60d16.2%15.3%16.8%15.3%16.7%
IV Rank36.6%20.6%53.8%42.4%37.6%
IV Percentile71.2%31.0%94.0%85.7%75.4%
Term Structure1.3%-3.3%3.8%2.4%1.3%
VWIV20.3%15.6%22.4%20.8%21.6%
Skew 25d4.1%-0.7%7.4%3.2%3.1%
Skew 10d11.2%-0.4%19.8%2.6%12.0%
Call IV 25d15.5%13.3%21.4%18.9%17.5%
Put IV 25d19.7%14.5%22.8%22.1%20.6%
Bid-Ask Spread %93.2678.90116.2397.6890.39
Gamma HHI0.310.220.510.230.34
Net GEX120.2K-4.1M4.9M-3.4M1.7M
Net DEX9.2M-22.9M46.2M39.4M1.9M
Net VEX-304.9K-380.1K-231.4K-370.4K-258.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.533.216.753.273.22
Total Volume8,120.756,7808,9358,9057,980
Total OI95,959.2593,73096,98094,94095,120

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$26.97$27.6018.3%5.3%20.3%42.4%20.8%3.2%2.4%-3.4M39.4M-370.4K3.2797.682,0856,82028,81566,125
2017-07-05$27.32$27.6018.5%5.3%21.0%43.2%18.3%0.6%0.2%-3.0M43.1M-375.2K3.28116.232,0806,82029,30567,380
2017-07-06$27.08$27.0019.5%5.8%21.1%48.8%21.6%7.4%0.3%-4.1M46.2M-380.1K3.2291.792,1156,82029,31067,380
2017-07-07$27.50$27.0017.9%5.4%22.0%40.0%22.1%5.8%1.6%-3.3M39.3M-359.6K4.1081.921,6656,82029,21067,380
2017-07-10$27.70$27.0019.7%5.2%18.1%49.5%21.7%5.1%2.1%-2.8M32.9M-347.3K4.4678.901,5306,82029,21067,380
2017-07-11$27.71$27.0020.5%5.3%17.9%53.8%18.9%4.0%1.7%-2.6M25.9M-338.1K4.8595.351,4056,82029,38567,380
2017-07-12$28.27$27.0017.4%5.0%18.8%37.6%21.7%4.9%3.8%-563.9K12.3M-324.8K4.9486.301,3806,82029,38067,380
2017-07-13$28.17$27.0017.0%4.9%18.6%35.5%21.7%4.7%1.9%-556.3K8.3M-338.5K5.0385.031,3656,86029,39067,380
2017-07-14$28.33$27.0016.2%4.7%18.6%31.2%21.2%3.9%1.8%-80.1K7.4M-322.0K5.0390.791,3606,84029,40567,480
2017-07-17$28.31$27.0017.1%4.9%18.6%35.5%21.9%5.9%1.2%290.1K5.2M-307.7K5.0083.571,3706,85029,39067,480
2017-07-18$28.38$27.0016.9%4.9%18.0%34.9%21.7%4.7%1.4%-437.8K2.8M-299.3K5.0286.801,3756,90029,42567,485
2017-07-19$28.67$27.0017.5%5.0%18.0%37.9%22.3%5.9%0.9%1.6M-6.7M-287.8K5.5499.221,2456,90029,42067,535
2017-07-20$28.68$27.0016.1%4.6%17.5%30.7%21.2%3.6%1.2%1.8M-9.2M-282.1K5.8091.541,1906,90029,44567,535
2017-07-21$28.53$27.0016.2%4.7%17.1%31.1%17.1%4.1%0.9%2.2M-9.2M-276.1K4.6089.771,5006,90029,42567,535
2017-07-24$28.71$27.0015.2%4.4%17.2%25.8%17.2%4.0%1.1%3.0M-10.3M-243.2K4.6491.651,2705,89027,46066,270
2017-07-25$28.84$27.0015.1%4.3%17.1%25.3%19.4%4.3%1.2%3.8M-14.9M-248.1K5.4094.461,0905,89027,65066,270
2017-07-26$28.98$27.0014.3%4.1%15.8%20.6%22.4%1.9%1.2%4.9M-22.9M-231.4K6.75112.408755,90527,68566,280
2017-07-27$28.47$27.0015.4%4.4%17.2%26.7%15.6%-0.7%2.3%1.7M-3.9M-247.0K3.21101.761,9006,09027,69066,285
2017-07-28$28.50$27.0018.7%5.4%15.7%44.2%18.3%6.2%-3.3%2.1M-3.4M-261.7K3.2499.651,8806,09028,64566,480
2017-07-31$28.45$27.0017.4%5.0%15.7%37.6%21.6%3.1%1.3%1.7M1.9M-258.2K3.2290.391,8906,09028,64066,480