IGV Options History — May 2018

In May 2018, IGV traded between $34.88 and $37.01. ATM implied volatility averaged 17.5%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded below realized volatility by 0.0% (HV 20d: 17.6%). Max pain ranged from $28.00 to $35.40. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2018-05-25: Highest Volume — 26,115 contracts
  • 2018-05-29: Largest IV spike — 19.1% change
  • 2018-05-01: Highest IV Rank — 36.5%
  • 2018-05-01: Largest Expected Move — 6.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.13$34.88$37.01$34.95$36.56
Max Pain$34.16$28.00$35.40$28.00$35.40
ATM IV17.5%15.2%21.5%21.5%17.6%
Expected Move5.1%4.3%6.2%6.2%5.0%
HV 20d17.6%11.8%23.0%23.0%13.1%
HV 60d23.0%21.9%25.4%25.4%22.0%
IV Rank22.8%14.6%36.5%36.5%22.7%
IV Percentile49.8%20.6%77.8%77.8%52.8%
Term Structure0.5%-4.8%2.5%-3.2%0.6%
VWIV19.3%16.6%21.9%20.4%20.0%
Skew 25d5.4%2.9%7.4%6.5%5.5%
Skew 10d10.9%4.2%18.4%10.5%11.9%
Call IV 25d15.5%13.4%18.9%18.9%15.3%
Put IV 25d20.9%18.3%25.5%25.5%20.8%
Bid-Ask Spread %67.4329.53103.0495.9984.58
Gamma HHI0.120.090.200.110.13
Net GEX1.8M-27.6K3.1M2.4M331.3K
Net DEX-56.2M-72.1M-36.4M-48.1M-47.5M
Net VEX-136.7K-230.4K-80.5K-80.5K-229.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.123.430.120.69
Total Volume11,792.2734,86526,11513,20511,210
Total OI33,429.31825,65552,63025,65552,630

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$34.95$28.0021.5%6.2%23.0%36.5%20.4%6.5%-3.2%2.4M-48.1M-80.5K0.1295.9911,7951,41022,6403,015
2018-05-02$34.88$29.4020.2%5.8%21.7%32.2%21.0%4.0%1.8%2.2M-52.4M-88.9K0.13100.6111,5151,45523,1653,020
2018-05-03$35.11$33.0020.5%5.9%21.8%33.1%19.9%5.8%-1.1%2.4M-52.8M-87.7K0.2057.239,3301,85523,5253,040
2018-05-04$35.62$34.4017.0%5.1%20.5%21.6%18.7%7.4%1.2%2.4M-57.1M-88.8K0.1973.568,5151,59023,8453,350
2018-05-07$35.95$34.4018.5%5.9%20.4%26.7%20.6%6.3%-0.1%2.1M-60.9M-92.9K0.2234.267,8501,69523,7453,440
2018-05-08$36.08$34.4019.0%5.3%19.8%28.3%20.2%6.0%-0.0%2.1M-62.7M-93.3K0.4029.537,4802,95524,0553,710
2018-05-09$36.68$34.4017.7%5.1%20.3%24.0%21.6%6.1%2.5%1.9M-64.8M-101.9K0.4563.346,4202,92024,1055,130
2018-05-10$37.01$34.4016.0%4.6%19.8%17.4%19.1%5.3%1.2%1.6M-68.4M-96.3K0.4739.126,3002,99023,8005,145
2018-05-11$36.60$34.4017.1%4.9%19.4%21.0%19.1%5.9%2.0%1.6M-64.6M-98.3K0.4850.676,3203,03023,5805,215
2018-05-14$36.25$34.4018.3%5.3%19.5%25.1%17.6%6.6%-0.1%1.8M-62.7M-99.3K0.4170.254,6501,92523,6905,255
2018-05-15$36.00$35.0017.6%5.0%18.2%22.6%19.3%5.4%0.4%2.0M-59.2M-100.4K0.1540.3713,6852,01024,0755,360
2018-05-16$36.10$35.0016.5%4.7%18.2%19.1%18.9%5.1%0.8%2.7M-65.2M-132.3K0.2688.548,0202,04527,0105,545
2018-05-17$36.08$35.0016.7%4.8%17.9%19.6%18.0%5.1%0.5%2.8M-69.0M-145.6K0.3656.805,2301,87029,0455,710
2018-05-18$36.33$34.6015.4%4.4%17.0%15.3%18.2%6.8%2.5%3.1M-72.1M-151.0K0.3579.015,0201,77529,8655,735
2018-05-21$36.24$34.6018.0%5.2%17.0%24.1%18.6%3.8%-4.8%2.6M-54.9M-141.4K0.3661.673,5851,28023,4403,460
2018-05-22$36.12$35.0015.7%4.5%15.1%16.5%17.9%3.9%2.1%2.5M-52.6M-146.6K3.4150.373,51512,00023,5103,780
2018-05-23$36.47$35.0015.8%4.5%14.9%16.7%16.6%4.5%1.7%683.6K-45.6M-178.7K3.43103.043,57012,23523,51514,050
2018-05-24$36.56$35.0015.2%4.3%11.9%14.6%17.8%3.6%0.4%970.7K-47.1M-186.9K2.2263.656,12513,60523,63514,760
2018-05-25$36.48$35.0015.4%4.4%11.8%15.5%19.1%2.9%1.9%1.3M-47.9M-210.1K2.9484.446,63519,48026,53016,190
2018-05-29$36.17$35.4018.4%5.3%12.4%25.2%20.0%6.2%0.3%-27.6K-36.4M-227.9K0.8978.347,0656,31527,11021,860
2018-05-30$36.65$35.4017.6%5.1%13.1%22.8%21.9%5.8%-0.8%14.9K-44.0M-230.4K0.7178.076,5304,62527,33024,830
2018-05-31$36.56$35.4017.6%5.0%13.1%22.7%20.0%5.5%0.6%331.3K-47.5M-229.1K0.6984.586,6154,59527,79024,840