IGV Options History — November 2017

In November 2017, IGV traded between $30.83 and $31.94. ATM implied volatility averaged 15.9%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 4.2% (HV 20d: 11.8%). Max pain ranged from $26.40 to $30.80. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.41.

Notable Days

  • 2017-11-13: Highest Volume — 16,790 contracts
  • 2017-11-29: Largest IV spike — 40.1% change
  • 2017-11-30: Highest IV Rank — 44.3%
  • 2017-11-30: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.34$30.83$31.94$31.11$31.15
Max Pain$28.46$26.40$30.80$26.40$30.80
ATM IV15.9%12.8%18.7%15.8%18.7%
Expected Move4.6%3.7%5.4%4.5%5.4%
HV 20d11.8%9.2%17.3%9.7%17.3%
HV 60d11.6%11.0%13.4%12.3%13.4%
IV Rank29.5%13.0%44.3%29.0%44.3%
IV Percentile56.4%12.3%92.9%54.0%92.9%
Term Structure1.0%-2.3%3.4%-0.5%-2.3%
VWIV16.8%13.9%19.7%19.6%19.4%
Skew 25d4.4%2.1%6.2%5.7%2.5%
Skew 10d9.4%0.3%15.6%3.0%14.4%
Call IV 25d14.9%12.5%20.9%18.1%20.9%
Put IV 25d19.3%15.3%23.8%23.8%23.4%
Bid-Ask Spread %69.3937.70109.4399.8893.04
Gamma HHI0.230.150.350.230.21
Net GEX1.3M587.6K2.3M587.6K1.5M
Net DEX-28.2M-43.6M-18.8M-18.8M-28.1M
Net VEX-42.0K-68.2K-8.7K-11.8K-65.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.626.096.090.70
Total Volume6,632.8571,96516,7907,2353,190
Total OI22,399.52414,75534,10522,32517,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$31.11$26.4015.8%4.5%9.7%29.0%19.6%5.7%-0.5%587.6K-18.8M-11.8K6.0999.881,0206,2157,17515,150
2017-11-02$31.24$28.0016.3%4.6%9.4%31.4%17.4%5.5%0.6%643.9K-20.1M-8.7K5.9637.701,0456,2257,16015,160
2017-11-03$31.25$28.0015.6%4.5%9.3%27.9%18.6%5.7%0.9%660.5K-19.8M-9.2K6.0553.961,0306,2307,16015,170
2017-11-06$31.09$28.0015.8%4.6%9.2%28.7%18.8%4.0%1.5%701.1K-19.2M-10.0K4.0650.551,5356,2357,14515,165
2017-11-07$30.98$28.0015.8%4.7%9.3%29.1%14.9%4.7%1.0%1.0M-19.7M-11.1K3.0846.132,0256,2407,67515,195
2017-11-08$31.50$28.0015.0%4.3%10.6%24.7%15.0%4.0%2.0%1.1M-22.3M-10.5K2.5955.642,4856,4408,23515,200
2017-11-09$31.09$28.0016.6%4.8%11.9%33.2%15.8%4.8%1.7%1.2M-21.0M-14.0K2.5874.992,5906,6758,46015,385
2017-11-10$31.19$28.0015.5%4.4%11.9%27.1%14.5%2.4%3.4%1.3M-21.6M-19.1K1.5992.374,0456,4359,26015,530
2017-11-13$31.20$28.0017.4%5.0%11.8%37.3%16.8%6.2%1.9%1.4M-24.9M-23.6K0.6250.6810,3656,42510,47515,655
2017-11-14$31.24$28.0017.3%5.0%11.8%37.0%16.2%5.4%1.6%2.2M-37.6M-57.2K1.6453.633,9306,43016,47515,790
2017-11-15$30.96$28.0018.6%5.3%12.4%43.9%17.0%5.6%0.3%2.3M-39.0M-65.0K3.1654.032,0506,47017,75515,850
2017-11-16$31.43$28.0016.3%4.7%12.8%31.4%16.2%4.0%2.8%2.1M-42.9M-65.6K3.2463.412,0056,49518,11515,945
2017-11-17$31.49$28.0015.7%4.5%12.3%28.0%15.5%5.8%3.0%1.2M-43.6M-67.0K3.2148.332,0506,57518,13515,970
2017-11-20$31.55$28.0015.5%4.5%12.0%27.4%19.7%4.8%0.5%1.3M-28.5M-64.7K0.8249.941,15594513,1251,630
2017-11-21$31.72$28.0014.9%4.3%12.1%23.9%18.6%4.0%2.4%1.3M-31.0M-60.9K0.9760.5499597013,4501,660
2017-11-22$31.62$29.0014.6%4.2%12.1%22.5%15.3%2.9%-1.4%1.3M-29.4M-68.2K0.97109.431,00597513,5801,725
2017-11-24$31.84$29.4014.2%4.1%12.1%20.4%16.0%2.1%0.8%1.4M-31.4M-62.0K0.9289.431,1951,09513,7401,780
2017-11-27$31.79$30.0014.1%4.1%11.1%20.0%16.1%4.1%-1.2%1.5M-32.7M-58.5K0.88106.361,2801,12013,9951,900
2017-11-28$31.94$30.0012.8%3.7%11.1%13.0%13.9%4.2%2.6%1.4M-32.7M-61.7K0.7297.311,6251,16514,0251,925
2017-11-29$30.83$30.0018.0%5.2%17.0%40.4%17.3%4.6%-0.2%1.4M-27.0M-67.2K0.7069.831,9501,36014,3351,975
2017-11-30$31.15$30.8018.7%5.4%17.3%44.3%19.4%2.5%-2.3%1.5M-28.1M-65.0K0.7093.041,8751,31514,8552,300