IGV Options History — January 2018

In January 2018, IGV traded between $31.25 and $34.18. ATM implied volatility averaged 17.2%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 6.5% (HV 20d: 10.6%). Max pain ranged from $25.60 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-01-31: Highest Volume — 4,190 contracts
  • 2018-01-10: Largest IV spike — 30.5% change
  • 2018-01-30: Highest IV Rank — 66.7%
  • 2018-01-30: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.98$31.25$34.18$31.25$34.04
Max Pain$26.02$25.60$30.00$30.00$25.60
ATM IV17.2%12.2%22.9%13.5%19.3%
Expected Move5.0%3.9%6.6%3.9%5.5%
HV 20d10.6%8.9%15.7%15.7%13.2%
HV 60d14.9%14.4%15.6%14.4%15.6%
IV Rank36.2%9.6%66.7%16.5%47.3%
IV Percentile67.8%6.0%98.4%18.3%91.3%
Term Structure1.4%-2.2%5.2%5.2%1.7%
VWIV18.9%14.9%25.2%15.6%18.7%
Skew 25d3.7%1.0%6.6%1.0%3.0%
Skew 10d7.7%-1.3%14.8%8.4%-1.3%
Call IV 25d16.3%11.8%21.2%17.7%20.7%
Put IV 25d20.0%15.3%27.1%18.7%23.7%
Bid-Ask Spread %82.8866.25107.36107.36106.86
Gamma HHI0.220.090.280.230.09
Net GEX1.1M346.1K1.8M1.8M346.1K
Net DEX-37.9M-42.3M-30.3M-30.3M-39.3M
Net VEX-25.2K-39.7K-13.4K-39.7K-14.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.481.351.070.79
Total Volume3,063.0952,1104,1902,1104,190
Total OI15,846.90514,52516,99016,21515,465

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$31.25$30.0013.5%3.9%15.7%16.5%15.6%1.0%5.2%1.8M-30.3M-39.7K1.07107.361,0201,09013,8652,350
2018-01-03$31.65$30.0014.9%4.3%9.5%24.0%14.9%2.6%2.4%1.7M-33.7M-35.5K0.9897.751,1201,09513,9002,335
2018-01-04$31.88$25.6013.9%4.3%9.6%18.5%17.4%3.8%3.5%1.6M-36.2M-32.3K1.1373.141,0001,13013,8802,355
2018-01-05$32.20$25.6012.2%4.0%9.4%9.6%17.2%4.3%2.4%1.7M-36.8M-35.2K0.7082.311,6251,13013,8252,365
2018-01-08$32.38$25.6014.4%4.4%9.2%21.5%16.4%4.2%2.4%1.5M-37.3M-28.7K0.8375.671,3601,13513,7002,365
2018-01-09$32.39$25.6013.1%4.3%9.2%14.2%17.7%6.6%4.1%1.5M-36.5M-33.1K0.8180.641,3451,08513,8302,370
2018-01-10$32.38$25.6017.0%4.9%8.9%35.4%17.1%1.8%0.9%1.5M-37.9M-26.1K0.7594.421,4851,11013,8202,410
2018-01-11$32.70$25.6015.1%4.3%9.2%24.9%16.9%4.5%2.8%1.5M-39.6M-26.1K0.7667.211,4701,11013,8902,410
2018-01-12$33.04$25.6016.0%4.6%9.5%30.0%17.9%4.5%2.5%1.0M-41.0M-25.0K0.6170.412,0251,24013,9052,415
2018-01-16$32.65$25.6018.7%5.4%10.9%44.1%18.7%2.6%0.4%1.1M-38.9M-25.5K0.5677.472,3301,31013,7352,535
2018-01-17$33.06$25.6018.6%5.3%11.0%44.0%18.5%5.0%1.0%1.2M-41.1M-24.0K0.5870.982,2601,31014,2452,625
2018-01-18$33.17$25.6018.1%5.2%11.0%41.4%18.2%4.1%0.8%773.1K-42.3M-20.5K0.4966.252,6251,28014,2202,620
2018-01-19$33.37$25.6017.0%4.9%10.6%35.5%18.5%3.4%2.3%914.8K-42.3M-22.3K0.4886.192,5951,24514,3452,645
2018-01-22$33.67$25.6017.9%5.1%10.4%40.0%18.0%2.9%-0.2%823.4K-39.3M-13.4K0.6375.251,7001,07512,6401,970
2018-01-23$33.82$25.6018.7%5.4%10.2%44.4%20.6%3.5%-0.5%686.6K-38.2M-18.4K0.7274.271,5601,12512,5302,000
2018-01-24$33.63$25.6020.0%5.7%10.3%51.4%22.2%1.1%-1.2%743.2K-37.0M-21.8K1.2390.261,5201,87012,4952,030
2018-01-25$33.64$25.6020.5%5.9%10.1%53.8%23.2%6.4%-0.7%716.2K-36.5M-24.8K1.3592.781,4001,88512,5652,475
2018-01-26$34.18$25.6018.9%5.4%10.9%45.2%21.4%3.5%0.9%560.4K-38.6M-19.6K1.2481.831,4451,79512,5702,490
2018-01-29$33.86$25.6020.0%5.7%12.0%51.1%22.8%3.3%1.5%545.0K-37.9M-18.9K1.1482.341,6101,84012,5052,620
2018-01-30$33.53$25.6022.9%6.6%12.8%66.7%25.2%5.9%-2.2%722.0K-35.7M-24.4K0.9587.031,9401,84012,6102,860
2018-01-31$34.04$25.6019.3%5.5%13.2%47.3%18.7%3.0%1.7%346.1K-39.3M-14.8K0.79106.862,3451,84512,6052,860