IGV Options History — February 2018

In February 2018, IGV traded between $31.35 and $34.68. ATM implied volatility averaged 26.3%, placing in the 54.5% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.8% (HV 20d: 23.6%). Max pain ranged from $31.60 to $31.60. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2018-02-14: Highest Volume — 14,490 contracts
  • 2018-02-05: Largest IV spike — 75.9% change
  • 2018-02-05: Highest IV Rank — 100.0%
  • 2018-02-08: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.35$31.35$34.68$33.93$34.39
Max Pain$31.60$31.60$31.60$31.60$31.60
ATM IV26.3%18.3%40.9%18.3%22.2%
Expected Move7.3%5.9%9.9%6.1%6.4%
HV 20d23.6%13.1%27.3%13.1%26.5%
HV 60d18.9%15.6%20.5%15.6%19.0%
IV Rank54.5%33.6%100.0%42.0%38.7%
IV Percentile95.6%85.7%100.0%85.7%92.1%
Term Structure-1.2%-5.0%3.5%-0.5%3.5%
VWIV28.5%22.6%33.3%26.2%29.7%
Skew 25d7.3%0.7%13.4%6.3%5.5%
Skew 10d11.8%-0.1%22.9%12.3%11.2%
Call IV 25d23.2%18.2%29.4%19.9%24.6%
Put IV 25d30.5%24.1%41.1%26.2%30.0%
Bid-Ask Spread %77.2661.1096.3096.3086.36
Gamma HHI0.180.080.270.090.19
Net GEX768.8K403.9K1.1M403.9K743.8K
Net DEX-32.6M-49.7M-23.5M-38.7M-35.8M
Net VEX-45.9K-74.2K-17.1K-17.1K-66.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.140.780.770.75
Total Volume4,933.6843,24014,4904,3003,460
Total OI15,902.10514,14522,02515,42016,450

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$33.93$31.6018.3%6.1%13.1%42.0%26.2%6.3%-0.5%403.9K-38.7M-17.1K0.7796.302,4351,86512,5352,885
2018-02-02$33.23$31.6023.3%6.1%15.5%68.6%24.0%5.0%-0.9%602.7K-36.3M-20.3K0.7161.102,6751,91012,6052,885
2018-02-05$32.38$31.6040.9%8.5%18.1%100.0%29.0%2.9%-5.0%822.4K-28.0M-30.4K0.6689.542,6001,72512,2602,810
2018-02-06$32.69$31.6034.5%7.6%18.3%79.0%29.3%12.6%-2.9%991.5K-28.8M-27.1K0.6386.672,7551,73012,0852,905
2018-02-07$32.77$31.6025.9%7.4%18.3%50.7%27.3%7.8%-1.7%868.4K-29.8M-28.1K0.7770.872,3301,79012,1702,895
2018-02-08$31.35$31.6034.6%9.9%24.3%79.3%32.8%6.0%-4.6%912.1K-24.0M-31.4K0.7469.872,4851,85012,0953,015
2018-02-09$31.88$31.6031.8%9.1%24.9%70.3%33.3%13.4%-1.8%1.1M-23.5M-30.8K0.6278.812,9201,80012,0753,015
2018-02-12$32.33$31.6029.9%8.6%25.1%64.0%30.5%5.9%-2.2%839.0K-25.0M-26.4K0.6577.862,8301,85011,4403,010
2018-02-13$32.52$31.6029.5%8.5%24.9%62.7%31.2%13.3%-3.2%850.4K-26.3M-23.6K0.6869.372,4901,69011,1703,055
2018-02-14$33.13$31.6023.5%6.7%25.4%42.9%26.5%9.2%0.2%446.4K-29.5M-20.7K0.1480.1512,6751,81511,1103,035
2018-02-15$33.89$31.6024.3%7.0%26.7%45.6%26.7%6.7%-0.3%992.0K-41.8M-53.7K0.2677.287,9402,06015,6453,110
2018-02-16$33.94$31.6023.8%6.8%26.6%44.0%28.4%9.7%0.8%690.7K-49.7M-72.4K0.4971.433,6951,82018,5303,495
2018-02-20$34.08$31.6023.4%6.7%26.5%42.5%28.8%8.3%-1.1%712.1K-31.8M-73.8K0.6462.451,9801,26013,0452,335
2018-02-21$33.89$31.6026.8%7.7%26.5%53.6%31.9%0.7%-4.3%706.0K-32.2M-74.2K0.7195.811,9351,38013,2652,440
2018-02-22$33.75$31.6022.8%6.5%26.5%40.6%27.8%8.0%1.1%748.6K-32.0M-73.9K0.7266.661,9551,40013,3552,545
2018-02-23$34.38$31.6020.8%6.0%27.3%34.2%22.6%5.9%1.0%758.2K-34.4M-68.9K0.7572.462,0301,52513,4852,595
2018-02-26$34.68$31.6020.6%5.9%26.9%33.6%26.5%5.5%0.4%698.2K-35.9M-66.2K0.7870.941,9801,54513,4752,770
2018-02-27$34.48$31.6023.4%6.7%26.7%42.7%28.5%6.8%-1.1%753.7K-36.2M-67.3K0.7784.082,0101,54513,7552,790
2018-02-28$34.39$31.6022.2%6.4%26.5%38.7%29.7%5.5%3.5%743.8K-35.8M-66.8K0.7586.361,9751,48513,7202,730