IGV Options History — March 2018

In March 2018, IGV traded between $33.33 and $36.44. ATM implied volatility averaged 25.1%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.3% (HV 20d: 20.8%). Max pain ranged from $31.60 to $34.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-03-28: Highest Volume — 7,220 contracts
  • 2018-03-27: Largest IV spike — 34.8% change
  • 2018-03-28: Highest IV Rank — 84.6%
  • 2018-03-28: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.15$33.33$36.44$34.03$33.97
Max Pain$33.72$31.60$34.00$31.60$33.40
ATM IV25.1%19.9%36.2%28.2%28.4%
Expected Move7.1%5.1%10.4%8.1%8.1%
HV 20d20.8%14.8%27.6%26.3%27.6%
HV 60d19.3%18.0%23.1%19.2%23.1%
IV Rank48.2%31.1%84.6%58.5%58.9%
IV Percentile92.6%83.7%99.6%97.2%96.0%
Term Structure0.4%-4.7%3.7%-4.7%1.9%
VWIV26.9%21.4%33.9%33.9%31.9%
Skew 25d7.8%1.6%13.0%8.9%6.8%
Skew 10d15.3%4.4%22.6%12.2%4.4%
Call IV 25d23.0%16.7%33.9%23.9%33.9%
Put IV 25d30.8%25.4%40.7%32.7%40.7%
Bid-Ask Spread %60.6127.26105.5383.9891.91
Gamma HHI0.160.110.220.170.11
Net GEX930.2K655.5K1.5M742.7K1.5M
Net DEX-38.1M-45.7M-29.0M-33.2M-33.5M
Net VEX-61.6K-78.8K-48.9K-73.2K-78.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.220.850.580.23
Total Volume5,208.0953,6507,2204,4207,135
Total OI17,892.38116,23520,80516,50020,805

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$34.03$31.6028.2%8.1%26.3%58.5%33.9%8.9%-4.7%742.7K-33.2M-73.2K0.5883.982,7901,63013,7502,750
2018-03-02$34.75$31.6024.7%7.1%27.3%46.8%22.9%1.6%-3.4%977.5K-35.4M-63.6K0.60105.532,6451,59013,6452,705
2018-03-05$35.08$34.0024.6%6.6%26.1%46.7%28.8%8.0%2.3%865.4K-36.6M-62.7K0.6349.562,4701,56013,5552,680
2018-03-06$35.13$34.0021.3%6.5%23.8%35.6%27.5%6.2%0.4%833.4K-37.7M-59.9K0.6127.262,5201,54013,8102,680
2018-03-07$35.72$34.0021.1%6.8%24.2%35.1%27.2%3.3%-1.0%906.4K-40.9M-52.0K0.5539.692,9401,62513,9202,700
2018-03-08$35.93$34.0021.6%6.2%24.2%36.7%26.6%6.1%2.1%1.2M-42.7M-57.1K0.5933.413,4502,04014,7652,795
2018-03-09$36.43$34.0019.9%5.7%16.0%31.1%25.4%7.4%1.3%1.0M-45.4M-50.2K0.6541.333,1752,06014,7203,230
2018-03-12$36.44$34.0022.8%5.1%15.8%40.6%26.6%13.0%1.7%939.4K-45.7M-48.9K0.8550.223,1602,69014,7853,285
2018-03-13$36.02$34.0025.4%6.0%16.8%49.1%21.4%6.6%3.7%655.5K-43.6M-50.9K0.6749.964,0202,70014,8203,875
2018-03-14$35.99$34.0022.0%6.3%17.0%38.2%22.8%6.6%0.8%978.2K-44.9M-57.9K0.6840.984,0302,73516,2103,955
2018-03-15$35.99$34.0022.2%6.4%16.2%38.7%22.5%7.0%0.0%1.0M-43.4M-56.3K0.6931.973,9652,73515,8553,995
2018-03-16$35.94$34.0020.2%5.8%14.8%32.3%21.7%9.5%3.0%798.8K-44.0M-57.3K0.6757.674,1852,79015,9203,995
2018-03-19$35.49$33.8024.3%7.0%15.8%45.7%25.7%9.3%0.1%831.1K-38.0M-59.4K0.6248.192,2501,40014,3802,425
2018-03-20$35.47$34.0021.3%6.1%15.8%35.6%25.6%7.2%0.8%909.2K-38.1M-63.1K0.6485.252,3401,49514,8052,590
2018-03-21$35.39$34.0023.0%6.6%15.6%41.4%26.4%10.2%2.8%906.6K-37.9M-66.3K0.61101.722,3651,45014,9402,710
2018-03-22$34.57$34.0027.9%8.0%18.0%57.5%27.4%11.1%-0.5%891.8K-35.3M-67.3K0.6259.192,4201,49514,9852,715
2018-03-23$33.72$34.0029.3%8.4%19.0%61.8%29.7%9.2%2.9%850.9K-31.1M-70.0K0.5568.692,7401,49514,8502,760
2018-03-26$35.01$34.0026.8%7.7%23.2%53.8%28.3%10.2%-0.5%867.1K-34.3M-62.3K0.4946.213,0451,48514,5252,750
2018-03-27$33.75$34.0036.1%10.4%26.6%84.4%30.0%8.2%-3.5%866.7K-29.9M-66.7K0.3389.234,5101,48014,7252,735
2018-03-28$33.33$33.8036.2%10.4%26.9%84.6%31.9%7.9%-2.7%1.0M-29.0M-70.2K0.2270.925,8951,32515,9102,730
2018-03-29$33.97$33.4028.4%8.1%27.6%58.9%31.9%6.8%1.9%1.5M-33.5M-78.8K0.2391.915,8201,31518,0252,780