IGV Options History — December 2017

In December 2017, IGV traded between $29.98 and $31.47. ATM implied volatility averaged 17.4%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded below realized volatility by 2.5% (HV 20d: 20.0%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.87.

Notable Days

  • 2017-12-04: Highest Volume — 4,590 contracts
  • 2017-12-13: Largest IV drop — 29.3% change
  • 2017-12-05: Highest IV Rank — 76.4%
  • 2017-12-01: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.93$29.98$31.47$31.03$30.93
Max Pain$30.09$30.00$31.00$30.80$30.00
ATM IV17.4%13.2%24.7%20.1%15.2%
Expected Move4.6%3.8%5.8%5.8%4.4%
HV 20d20.0%15.3%21.7%17.3%15.3%
HV 60d14.7%13.3%15.2%13.3%14.4%
IV Rank37.6%14.7%76.4%51.8%25.8%
IV Percentile62.9%15.5%99.2%97.2%47.6%
Term Structure1.3%-2.4%3.8%-2.4%0.6%
VWIV16.3%13.9%19.5%19.5%15.1%
Skew 25d4.3%2.0%6.2%2.9%4.0%
Skew 10d7.5%5.2%13.6%13.6%5.4%
Call IV 25d14.7%11.8%20.2%20.2%12.3%
Put IV 25d19.0%16.4%23.1%23.1%16.4%
Bid-Ask Spread %75.2347.69111.6689.6283.92
Gamma HHI0.210.190.230.210.23
Net GEX1.6M1.3M2.0M1.4M1.7M
Net DEX-28.1M-32.8M-20.9M-28.2M-27.8M
Net VEX-60.5K-71.7K-45.0K-66.7K-47.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.441.320.711.12
Total Volume3,128.751,8704,5903,1852,055
Total OI17,670.7516,15519,36017,22516,155

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$31.03$30.8020.1%5.8%17.3%51.8%19.5%2.9%-2.4%1.4M-28.2M-66.7K0.7189.621,8651,32014,9252,300
2017-12-04$29.98$31.0021.6%5.4%21.1%59.8%15.9%4.8%1.3%1.3M-23.1M-69.5K0.4467.923,1851,40515,1602,465
2017-12-05$30.07$30.0024.7%5.5%21.1%76.4%18.3%4.3%2.5%1.3M-20.9M-71.7K0.5056.453,0501,51015,7952,620
2017-12-06$30.43$30.0021.6%5.3%21.7%59.6%18.0%5.0%1.3%1.5M-22.6M-71.4K0.5754.322,7601,56015,9302,750
2017-12-07$30.70$30.0019.5%5.0%21.0%48.8%17.7%5.8%1.7%1.5M-25.3M-71.2K0.5847.692,6951,57516,0702,760
2017-12-08$30.82$30.0021.7%4.8%20.6%60.3%16.5%3.6%2.4%1.7M-28.6M-71.2K0.5990.142,6851,57516,4952,775
2017-12-11$31.10$30.0020.7%4.7%20.9%55.0%16.2%5.1%1.8%1.8M-29.5M-65.3K0.6149.322,6401,61016,3802,775
2017-12-12$31.01$30.0021.3%4.8%20.9%58.4%16.1%4.6%1.5%1.7M-29.0M-66.0K0.6258.232,5051,56516,3352,785
2017-12-13$31.10$30.0015.1%4.3%20.9%25.1%16.4%3.4%1.0%2.0M-31.1M-59.5K0.76111.662,0601,56516,5152,845
2017-12-14$31.11$30.0015.9%4.6%20.7%29.3%16.6%3.3%1.1%1.7M-30.3M-64.7K0.7266.782,1651,56516,5102,845
2017-12-15$31.46$30.0015.7%4.5%20.4%28.3%16.3%5.0%0.6%1.6M-32.8M-60.0K0.7867.062,0151,56516,4352,845
2017-12-18$31.47$30.0014.9%4.3%20.3%24.1%15.7%4.0%1.1%1.5M-32.4M-53.1K1.2271.099001,10014,2602,160
2017-12-19$31.29$30.0013.8%4.0%20.4%18.2%15.7%6.2%3.8%1.6M-30.3M-56.4K1.1874.329001,06514,1502,160
2017-12-20$31.16$30.0015.1%4.3%20.4%25.2%15.7%6.2%1.5%1.6M-29.0M-57.8K1.3276.368951,18514,1302,160
2017-12-21$31.11$30.0014.5%4.1%20.3%21.7%15.5%3.6%1.8%1.6M-29.3M-55.5K1.2669.339151,15514,0652,305
2017-12-22$30.97$30.0014.2%4.1%20.2%20.5%15.9%2.0%-0.7%1.7M-27.4M-56.5K1.32106.138801,16514,0502,330
2017-12-26$30.88$30.0015.3%4.4%20.2%26.3%15.3%3.7%1.9%1.7M-27.3M-52.8K1.0972.5189597514,0902,350
2017-12-27$30.94$30.0014.8%4.3%20.1%23.7%14.9%3.1%2.8%1.6M-28.7M-48.0K1.09106.619151,00014,0552,325
2017-12-28$31.01$30.0013.2%3.8%15.7%14.7%13.9%4.8%1.4%1.7M-28.6M-45.0K0.9885.091,0801,05514,0402,315
2017-12-29$30.93$30.0015.2%4.4%15.3%25.8%15.1%4.0%0.6%1.7M-27.8M-47.2K1.1283.929701,08513,8752,280