IGV Options History — October 2017

In October 2017, IGV traded between $29.30 and $31.29. ATM implied volatility averaged 15.1%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.3% (HV 20d: 10.8%). Max pain ranged from $26.40 to $28.40. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 4.02.

Notable Days

  • 2017-10-09: Highest Volume — 8,880 contracts
  • 2017-10-25: Largest IV spike — 14.0% change
  • 2017-10-25: Highest IV Rank — 34.4%
  • 2017-10-25: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.16$29.30$31.29$29.30$31.29
Max Pain$26.67$26.40$28.40$28.40$26.40
ATM IV15.1%13.7%16.8%16.2%15.9%
Expected Move4.4%4.2%4.8%4.6%4.6%
HV 20d10.8%8.3%12.5%12.5%9.2%
HV 60d12.4%12.0%13.0%13.0%12.3%
IV Rank25.2%17.8%34.4%30.8%29.4%
IV Percentile41.1%22.2%70.6%55.6%55.6%
Term Structure1.3%-1.1%3.7%0.6%1.5%
VWIV20.5%13.6%31.1%15.3%17.7%
Skew 25d3.7%0.1%6.4%3.4%0.5%
Skew 10d8.6%4.3%13.2%6.4%7.5%
Call IV 25d14.3%11.9%17.9%14.8%17.9%
Put IV 25d18.0%16.2%21.8%18.2%18.4%
Bid-Ask Spread %80.4759.9498.0077.3095.60
Gamma HHI0.200.150.330.190.25
Net GEX778.1K158.1K1.9M570.6K587.8K
Net DEX-16.8M-23.6M-12.1M-12.1M-20.4M
Net VEX-24.7K-48.7K-9.5K-48.7K-9.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.022.069.853.576.00
Total Volume7,917.9556,7758,8807,5457,240
Total OI24,240.22723,22025,50525,43023,685

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$29.30$28.4016.2%4.6%12.5%30.8%15.3%3.4%0.6%570.6K-12.1M-48.7K3.5777.301,6505,8959,44515,985
2017-10-03$29.40$28.4015.3%4.4%12.4%26.1%14.3%3.3%0.9%650.1K-12.5M-47.8K2.3975.002,4705,9109,27015,980
2017-10-04$29.46$28.4015.0%4.3%12.3%24.4%13.6%3.4%0.9%398.3K-12.4M-37.1K2.3694.662,5305,9808,20515,950
2017-10-05$29.75$26.4013.8%4.6%12.2%18.2%24.8%4.5%3.7%680.6K-14.6M-33.9K2.1376.462,7705,8958,26016,040
2017-10-06$29.92$26.4013.7%4.6%12.3%17.8%16.8%3.5%0.5%912.4K-18.0M-15.9K2.0972.722,8555,9758,24016,065
2017-10-09$29.75$26.4014.7%4.4%11.7%23.2%23.2%3.7%2.0%570.7K-14.3M-35.6K2.0660.362,9055,9758,30516,160
2017-10-10$29.68$26.4014.1%4.5%11.7%19.8%22.6%3.5%2.3%655.1K-13.6M-38.7K2.4259.942,4455,9108,40516,160
2017-10-11$29.75$26.4015.7%4.5%11.7%28.4%24.3%3.3%1.2%736.6K-16.0M-21.2K2.7798.002,1305,9107,89516,150
2017-10-12$29.92$26.4015.1%4.3%11.8%24.9%22.7%0.1%2.5%680.7K-14.9M-30.5K2.6480.002,2405,9157,88516,145
2017-10-13$30.01$26.4015.0%4.3%11.2%24.5%26.2%2.6%0.7%1.1M-16.6M-23.0K2.9887.441,9905,9257,80516,150
2017-10-16$29.95$26.4014.9%4.3%11.2%24.1%18.9%4.1%1.8%1.2M-17.2M-18.1K2.4571.572,4155,9207,81016,160
2017-10-17$29.92$26.4015.4%4.4%11.2%26.6%19.6%3.7%2.0%1.3M-16.1M-26.0K2.1973.202,7205,9458,37516,160
2017-10-18$29.94$26.4014.6%4.2%11.0%22.2%22.4%6.4%1.9%1.5M-16.5M-31.1K2.2481.902,6605,9509,34516,130
2017-10-19$30.30$26.4014.6%4.2%11.3%22.3%14.5%3.5%2.0%1.9M-22.7M-13.2K2.4379.842,4505,9609,34516,120
2017-10-20$30.64$26.4014.5%4.2%11.7%22.1%21.7%4.3%1.6%635.2K-23.6M-19.8K3.1479.691,9055,9859,37516,130
2017-10-23$30.47$26.4015.1%4.3%9.0%24.9%15.6%3.0%1.4%692.2K-18.2M-12.2K5.1082.641,1505,8657,24015,980
2017-10-24$30.57$26.4014.8%4.2%8.9%23.3%24.2%4.5%0.6%422.0K-16.8M-19.3K5.1879.381,1305,8557,22016,000
2017-10-25$30.50$26.4016.8%4.8%8.3%34.4%31.1%6.4%2.5%158.1K-14.9M-25.2K5.2592.581,1706,1457,22016,050
2017-10-26$30.74$26.4016.5%4.7%8.3%32.6%25.2%4.9%-1.1%467.1K-18.0M-16.0K9.7578.806306,1457,33516,145
2017-10-27$31.19$26.4015.1%4.3%9.1%25.3%16.5%4.7%-0.2%593.9K-20.2M-9.8K9.8587.356256,1557,33516,145
2017-10-30$31.16$26.4015.7%4.5%9.2%28.4%19.9%3.9%-0.3%703.8K-19.8M-11.1K9.5385.846556,2457,31516,165
2017-10-31$31.29$26.4015.9%4.6%9.2%29.4%17.7%0.5%1.5%587.8K-20.4M-9.5K6.0095.601,0356,2057,32016,365