IGV Options History — April 2018

In April 2018, IGV traded between $33.18 and $35.75. ATM implied volatility averaged 26.4%, placing in the 52.3% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 2.2% (HV 20d: 28.6%). Max pain ranged from $27.20 to $33.40. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-04-20: Highest Volume — 75,240 contracts
  • 2018-04-26: Largest IV drop — 19.7% change
  • 2018-04-02: Highest IV Rank — 88.6%
  • 2018-04-02: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.50$33.18$35.75$33.18$34.84
Max Pain$28.28$27.20$33.40$33.40$28.00
ATM IV26.4%19.0%37.4%37.4%21.3%
Expected Move7.4%5.4%10.7%10.7%6.1%
HV 20d28.6%23.0%31.9%27.6%23.0%
HV 60d24.8%23.6%26.0%23.6%25.8%
IV Rank52.3%28.1%88.6%88.6%35.6%
IV Percentile87.2%67.5%99.6%99.6%76.2%
Term Structure-0.8%-4.7%3.0%-3.1%-0.4%
VWIV27.0%22.2%33.6%33.6%23.9%
Skew 25d7.6%4.3%13.5%8.8%5.2%
Skew 10d14.5%6.9%22.0%11.3%12.7%
Call IV 25d23.7%17.5%37.9%33.0%19.9%
Put IV 25d31.3%24.4%42.3%41.9%25.1%
Bid-Ask Spread %70.0640.23110.2667.3393.22
Gamma HHI0.100.080.180.120.09
Net GEX1.0M-16.8M3.6M1.3M2.2M
Net DEX-40.1M-60.6M1.5M-29.1M-47.8M
Net VEX-82.5K-117.9K-55.4K-73.3K-92.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.146.560.200.14
Total Volume18,541.9057,04075,2407,20511,495
Total OI31,884.28620,91584,37020,91525,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$33.18$33.4037.4%10.7%27.6%88.6%33.6%8.8%-3.1%1.3M-29.1M-73.3K0.2067.336,0251,18018,0352,880
2018-04-03$33.43$33.4033.9%9.7%27.5%77.0%31.2%13.5%-4.7%1.4M-30.3M-74.3K0.1984.635,9101,13018,4052,895
2018-04-04$34.18$33.4032.0%9.2%28.9%70.9%30.1%4.3%3.0%1.8M-36.4M-77.3K0.2488.866,5651,57019,5502,890
2018-04-05$34.17$27.2030.6%8.3%28.1%66.1%29.5%9.9%-0.5%2.0M-38.8M-80.4K0.2451.295,7951,36520,5753,285
2018-04-06$33.44$27.2034.2%8.8%28.8%77.9%30.6%9.7%-2.4%1.9M-34.5M-79.5K0.2346.365,9951,36021,2453,315
2018-04-09$33.82$27.2034.1%8.8%28.6%77.8%31.1%10.8%-3.4%2.3M-38.2M-79.4K0.1540.238,6701,33022,8353,310
2018-04-10$34.38$27.2029.2%8.2%29.4%61.7%29.1%9.3%-1.1%2.8M-42.6M-73.7K0.1752.197,9901,33023,5053,315
2018-04-11$34.28$27.2027.9%8.0%29.2%57.4%28.6%8.6%1.1%2.8M-44.6M-76.8K0.4880.717,5153,64023,4353,315
2018-04-12$34.86$27.2027.1%7.8%30.0%54.6%28.1%6.4%-0.9%2.8M-46.2M-70.7K0.6748.117,3554,92523,3405,615
2018-04-13$34.37$27.2026.5%7.6%30.4%52.8%27.4%7.9%-1.0%1.8M-41.2M-75.8K0.5566.478,9104,92522,8508,125
2018-04-16$34.83$27.2024.5%7.0%30.9%46.3%26.5%7.8%0.6%2.9M-46.5M-66.3K1.0346.267,7357,95524,8358,125
2018-04-17$35.63$27.2022.8%6.5%31.7%40.8%25.1%6.1%2.3%3.6M-60.6M-55.4K6.5658.743,73024,48524,1758,665
2018-04-18$35.75$27.2019.7%5.6%31.7%30.4%24.5%8.5%0.2%-2.5M-42.0M-62.5K2.66110.2611,29030,05524,25023,955
2018-04-19$35.48$27.2021.4%6.1%31.9%35.9%23.7%7.8%-1.5%-16.8M-33.5M-117.9K0.8078.0637,43030,07531,79532,695
2018-04-20$34.94$27.2021.8%6.3%31.2%37.4%23.7%6.3%-0.3%1.3M1.5M-102.6K0.5967.9547,45027,79051,84032,530
2018-04-23$34.90$27.2021.9%6.3%29.7%37.5%24.2%4.9%-1.1%2.1M-49.6M-97.9K0.1467.329,8051,40022,6652,820
2018-04-24$34.21$28.0023.8%6.8%27.5%44.0%25.4%6.3%-3.9%2.0M-45.5M-99.0K0.1584.129,8901,48522,7852,900
2018-04-25$34.00$28.0023.6%6.8%24.2%43.4%24.6%4.5%-0.3%2.0M-41.7M-96.6K0.1580.199,9151,49022,8152,985
2018-04-26$34.94$28.0019.0%5.4%25.5%28.1%22.2%6.7%0.4%2.1M-48.6M-88.1K0.1476.319,7951,39522,6702,975
2018-04-27$34.78$28.0021.0%6.0%24.8%34.8%23.7%6.7%0.7%2.1M-46.4M-93.6K0.1482.569,8351,39522,6702,990
2018-04-30$34.84$28.0021.3%6.1%23.0%35.6%23.9%5.2%-0.4%2.2M-47.8M-92.0K0.1493.2210,0901,40522,7053,005