IGV Options History — September 2017

In September 2017, IGV traded between $28.67 and $29.83. ATM implied volatility averaged 16.1%, placing in the 30.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 3.6% (HV 20d: 12.6%). Max pain ranged from $25.60 to $28.40. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.65.

Notable Days

  • 2017-09-15: Highest Volume — 10,790 contracts
  • 2017-09-15: Largest IV spike — 13.6% change
  • 2017-09-08: Highest IV Rank — 39.2%
  • 2017-09-05: Largest Expected Move — 5.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.33$28.67$29.83$29.45$29.26
Max Pain$27.76$25.60$28.40$27.20$28.40
ATM IV16.1%14.4%17.7%14.6%15.7%
Expected Move4.6%4.1%5.0%4.2%4.5%
HV 20d12.6%10.0%15.0%14.7%12.5%
HV 60d14.4%13.3%16.6%16.6%13.3%
IV Rank30.6%21.5%39.2%22.6%28.2%
IV Percentile54.1%29.4%76.2%32.1%46.4%
Term Structure1.3%0.4%2.7%2.1%1.1%
VWIV15.5%14.0%16.8%16.1%14.5%
Skew 25d4.3%1.4%6.0%2.7%2.7%
Skew 10d10.1%5.9%12.4%6.4%8.2%
Call IV 25d14.5%13.5%17.6%13.6%14.8%
Put IV 25d18.8%16.2%21.3%16.2%17.5%
Bid-Ask Spread %61.2135.01110.7689.2878.36
Gamma HHI0.210.170.280.170.20
Net GEX573.5K-177.0K1.4M1.1M464.7K
Net DEX-14.0M-20.2M-7.5M-17.1M-10.5M
Net VEX-66.6K-89.5K-48.0K-89.5K-54.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.651.192.441.362.44
Total Volume9,541.258,31010,79010,1258,310
Total OI26,274.7524,17028,68528,68525,470

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$29.45$27.2014.6%4.2%14.7%22.6%16.1%2.7%2.1%1.1M-17.1M-89.5K1.3689.284,2855,84012,85015,835
2017-09-05$29.33$25.6016.6%5.0%14.8%33.1%16.4%5.9%0.5%1.4M-15.4M-87.5K1.3640.944,2655,81512,83015,815
2017-09-06$29.20$26.0016.3%4.9%14.7%31.5%15.7%5.3%1.6%1.3M-15.1M-85.5K1.1937.344,9055,81512,81015,825
2017-09-07$29.53$26.0016.0%4.6%15.0%30.1%15.6%6.0%1.8%1.2M-16.5M-79.5K1.2035.014,8855,86011,29515,825
2017-09-08$29.47$28.4017.7%4.9%13.0%39.2%16.8%5.2%0.4%1.0M-16.4M-78.4K1.6937.763,4655,86011,33015,940
2017-09-11$29.83$28.4017.7%4.6%13.1%38.9%16.2%4.6%0.6%1.1M-19.2M-69.2K1.6736.333,5305,88511,02515,940
2017-09-12$29.80$27.4017.1%4.6%12.5%35.6%16.4%5.2%0.8%1.4M-20.0M-67.4K1.6844.593,4855,85511,05015,945
2017-09-13$29.68$27.4016.1%4.6%12.7%30.3%16.0%5.3%0.9%662.8K-20.2M-66.5K1.6754.513,5105,85011,06515,955
2017-09-14$29.62$27.4014.4%4.1%12.5%21.5%15.6%5.1%1.5%1.0M-19.5M-65.0K1.7056.773,4455,86011,04515,945
2017-09-15$29.34$27.4016.4%4.7%11.4%31.9%15.6%4.9%1.0%-128.4K-19.5M-58.5K1.2171.334,8805,91011,36515,955
2017-09-18$29.47$28.4015.8%4.5%11.4%29.1%14.9%4.3%0.8%149.2K-12.1M-53.8K1.6860.453,4805,8358,34015,830
2017-09-19$29.49$28.4016.0%4.6%11.4%29.8%15.0%4.9%1.0%129.2K-11.3M-59.1K1.6755.173,4805,7958,38015,810
2017-09-20$29.33$28.4014.5%4.2%10.0%22.2%14.0%1.8%2.7%121.3K-12.3M-48.0K1.56110.763,7355,8258,39515,815
2017-09-21$29.14$28.4015.5%4.5%10.2%27.4%14.5%3.4%1.3%150.5K-11.2M-57.7K1.5567.823,7705,8259,08015,865
2017-09-22$29.25$28.4015.5%4.4%10.3%27.0%14.1%4.2%1.9%207.5K-10.3M-63.2K1.5660.713,7305,8259,11515,870
2017-09-25$28.69$28.4016.3%4.7%12.5%31.4%16.7%1.4%1.0%-177.0K-7.5M-61.5K1.7477.133,4656,0159,12515,870
2017-09-26$28.67$28.4017.1%4.9%12.5%35.8%15.3%3.9%1.6%-47.2K-7.6M-62.7K1.7572.193,4055,9459,74016,015
2017-09-27$29.05$28.4016.5%4.7%13.3%32.5%15.1%4.9%2.3%241.1K-8.5M-64.8K2.0078.692,9555,9059,66516,010
2017-09-28$28.99$28.4016.7%4.8%12.6%33.6%15.1%4.3%1.8%188.6K-8.9M-58.9K2.4359.142,4255,8959,46515,990
2017-09-29$29.26$28.4015.7%4.5%12.5%28.2%14.5%2.7%1.1%464.7K-10.5M-54.8K2.4478.362,4155,8959,48015,990