IGV Options History — August 2017

In August 2017, IGV traded between $27.56 and $29.49. ATM implied volatility averaged 16.7%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 3.3% (HV 20d: 13.4%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.26.

Notable Days

  • 2017-08-25: Highest Volume — 15,230 contracts
  • 2017-08-09: Largest IV spike — 49.2% change
  • 2017-08-10: Highest IV Rank — 48.9%
  • 2017-08-10: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.44$27.56$29.49$28.52$29.49
Max Pain$26.70$26.00$28.00$27.00$27.20
ATM IV16.7%11.9%19.6%16.9%14.9%
Expected Move4.8%4.3%5.6%4.8%4.3%
HV 20d13.4%9.6%15.5%13.6%14.7%
HV 60d16.4%16.0%17.0%16.7%16.6%
IV Rank33.4%7.9%48.9%34.6%24.0%
IV Percentile62.8%4.0%89.7%69.4%37.3%
Term Structure1.7%0.1%3.3%0.1%1.0%
VWIV17.0%14.1%20.0%20.0%16.1%
Skew 25d4.7%2.4%7.2%3.4%3.5%
Skew 10d10.3%5.7%15.4%7.1%8.3%
Call IV 25d15.5%13.3%18.6%15.7%13.3%
Put IV 25d20.2%16.8%25.1%19.2%16.8%
Bid-Ask Spread %75.4353.23112.0294.9580.88
Gamma HHI0.360.160.590.390.16
Net GEX592.7K-4.3M9.1M3.3M1.3M
Net DEX3.9M-16.9M24.6M-2.4M-16.9M
Net VEX-170.2K-241.9K-91.1K-241.9K-91.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.260.569.391.941.34
Total Volume8,688.2613,20015,2309,22510,405
Total OI72,687.17428,76099,34595,08528,760

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$28.52$27.0016.9%4.8%13.6%34.6%20.0%3.4%0.1%3.3M-2.4M-241.9K1.9494.953,1356,09028,61066,475
2017-08-02$28.53$27.0015.5%4.4%13.1%27.3%14.1%4.5%2.9%3.7M-2.2M-194.8K1.5790.533,9856,24029,23066,475
2017-08-03$28.30$28.0017.0%5.0%12.9%35.2%16.9%4.1%1.9%1.2M2.2M-235.8K3.6862.091,7106,29030,78066,670
2017-08-04$28.25$28.0017.1%5.0%12.0%35.8%15.9%5.3%0.6%3.0M-448.7K-225.7K3.5357.121,7856,30030,40066,720
2017-08-07$28.29$28.0016.3%4.9%11.8%31.3%18.0%4.2%2.1%3.1M2.0M-212.9K5.2153.231,2106,30030,58566,755
2017-08-08$28.12$26.4011.9%4.7%12.0%7.9%14.3%5.7%2.9%2.2M6.4M-200.8K3.4862.111,8106,29530,53566,755
2017-08-09$28.07$26.4017.7%5.1%9.6%39.1%17.1%5.3%2.0%161.6K11.4M-205.7K3.4967.891,8056,29530,99066,750
2017-08-10$27.56$26.4019.6%5.6%11.6%48.9%16.8%5.7%1.3%-4.3M24.6M-209.1K3.0171.672,0906,30031,19066,750
2017-08-11$27.85$26.4019.2%5.5%12.0%46.8%17.6%7.2%1.7%-2.9M19.8M-199.4K4.3266.931,4706,35031,59066,760
2017-08-14$28.27$26.4016.5%4.7%13.3%32.6%17.0%5.3%3.2%340.6K8.8M-175.3K5.3169.241,2056,39531,58566,810
2017-08-15$28.31$26.4016.0%4.6%13.3%29.8%16.5%5.1%1.9%-482.7K8.3M-169.9K5.2671.831,2156,39531,63066,735
2017-08-16$28.57$26.4014.9%4.3%13.2%23.8%18.5%4.3%2.8%9.1M-4.0M-174.3K3.30112.021,9656,47531,58566,735
2017-08-17$28.11$26.4017.3%5.0%14.4%36.7%16.4%6.7%1.9%-673.5K8.1M-163.7K2.8982.552,2406,47532,03066,790
2017-08-18$28.19$26.4018.2%5.2%14.3%41.8%18.7%6.6%3.3%-1.5M11.5M-168.3K3.1181.902,0806,47532,55566,790
2017-08-21$28.23$26.4019.0%5.4%14.1%45.9%17.8%5.6%0.5%-1.8M15.3M-167.0K2.3266.059802,2706,56532,390
2017-08-22$28.74$26.4016.0%4.6%15.5%29.7%16.9%2.4%1.5%-1.4M9.4M-150.6K2.3971.669452,2556,84032,415
2017-08-23$28.64$26.4016.0%4.6%15.5%29.8%18.2%3.4%1.9%-1.3M8.8M-157.0K9.3995.279759,1556,81532,430
2017-08-24$28.62$26.4017.4%5.0%14.1%37.5%17.8%5.0%0.5%-684.9K4.1M-117.3K4.0973.052,83511,6056,76523,280
2017-08-25$28.72$26.4016.4%4.7%14.1%31.8%16.5%4.1%1.8%-345.0K-1.0M-121.1K2.6870.204,14011,0908,75023,780
2017-08-28$28.73$26.0016.5%4.7%14.1%32.7%16.9%4.1%1.4%105.4K-3.1M-130.2K0.5672.474,1552,32511,93523,840
2017-08-29$28.83$26.0016.9%4.8%14.1%34.8%16.8%4.5%0.8%491.3K-7.5M-110.7K0.8879.074,9704,35512,06019,025
2017-08-30$29.19$27.2016.3%4.7%14.7%31.4%16.3%2.6%0.9%1.1M-13.9M-92.6K1.1982.185,0155,97513,01015,880
2017-08-31$29.49$27.2014.9%4.3%14.7%24.0%16.1%3.5%1.0%1.3M-16.9M-91.1K1.3480.884,4555,95012,92015,840