IGV Options History — June 2018

In June 2018, IGV traded between $35.97 and $38.58. ATM implied volatility averaged 18.4%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 4.9% (HV 20d: 13.5%). Max pain ranged from $35.40 to $37.40. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 2.27.

Notable Days

  • 2018-06-29: Highest Volume — 17,580 contracts
  • 2018-06-25: Largest IV spike — 23.4% change
  • 2018-06-25: Highest IV Rank — 41.0%
  • 2018-06-25: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.54$35.97$38.58$37.15$36.63
Max Pain$36.75$35.40$37.40$35.40$37.00
ATM IV18.4%14.3%23.8%16.0%19.6%
Expected Move5.2%4.4%6.8%4.6%5.6%
HV 20d13.5%11.5%17.1%13.9%16.2%
HV 60d20.3%17.4%22.0%21.9%17.5%
IV Rank22.4%8.2%41.0%14.3%26.7%
IV Percentile54.8%6.3%86.5%33.7%67.9%
Term Structure0.5%-4.7%4.2%-4.7%2.2%
VWIV19.6%17.3%23.4%20.5%21.5%
Skew 25d5.9%2.2%10.4%10.4%2.2%
Skew 10d12.6%7.1%17.0%13.5%14.8%
Call IV 25d16.9%13.4%25.3%18.7%25.3%
Put IV 25d22.8%17.8%29.1%29.1%27.5%
Bid-Ask Spread %73.3237.36109.80102.81109.80
Gamma HHI0.120.100.170.130.13
Net GEX337.2K-1.8M1.5M602.7K-591.9K
Net DEX-52.6M-79.1M-8.6M-57.4M-22.0M
Net VEX-218.4K-268.3K-176.2K-202.5K-224.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.270.665.230.660.97
Total Volume11,799.2866,83517,58011,65517,580
Total OI62,659.04852,93068,51052,93064,205

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$37.15$35.4016.0%4.6%13.9%14.3%20.5%10.4%-4.7%602.7K-57.4M-202.5K0.66102.817,0154,64028,11024,820
2018-06-04$37.46$36.6017.3%4.7%13.3%18.8%18.9%5.4%-1.1%918.1K-65.1M-191.2K1.1749.863,8854,55528,51024,740
2018-06-05$37.71$36.6014.3%4.4%13.2%8.2%18.8%5.1%-0.3%1.5M-72.4M-176.2K2.2365.372,1154,72028,63024,760
2018-06-06$37.92$36.6016.6%4.5%13.2%16.1%18.9%4.5%1.0%1.5M-74.0M-184.5K2.1764.122,3455,08029,04524,935
2018-06-07$37.37$36.6017.9%4.4%13.5%20.8%17.3%3.0%2.2%1.1M-64.7M-200.8K4.7275.352,81013,26029,16025,290
2018-06-08$37.62$36.6017.3%4.8%13.3%18.8%18.8%5.6%0.3%1.0M-57.6M-247.5K4.9443.742,70513,36029,55535,060
2018-06-11$37.78$36.6019.2%5.4%12.5%25.3%20.1%6.6%-1.6%729.3K-60.5M-241.3K5.2337.362,75014,39029,55535,175
2018-06-12$38.07$36.6018.9%4.8%12.0%24.1%18.2%5.1%1.0%782.0K-68.6M-216.3K4.7459.502,83513,43029,52535,315
2018-06-13$38.32$36.6017.0%4.9%11.5%17.6%19.5%5.9%-0.9%930.4K-76.3M-196.8K1.5979.202,9654,71529,51534,410
2018-06-14$38.49$36.6015.6%4.5%11.5%12.7%19.3%4.5%2.0%774.2K-79.1M-187.8K1.9492.763,1056,03530,11034,705
2018-06-15$38.38$36.6017.3%5.0%11.7%18.6%18.3%2.8%0.4%272.8K-75.6M-186.6K2.1686.303,0156,51029,99535,355
2018-06-18$38.58$36.6016.5%4.7%11.6%16.1%17.5%5.7%1.6%350.1K-74.3M-182.0K1.1060.076,2556,87529,05530,540
2018-06-19$38.24$37.0019.9%5.7%12.2%27.5%22.1%7.2%-0.8%220.9K-54.6M-268.3K1.0760.735,9456,36533,44534,990
2018-06-20$38.20$37.0016.7%4.8%12.1%16.5%18.6%8.2%2.2%661.4K-64.8M-229.2K1.9489.863,7007,18533,60534,905
2018-06-21$37.71$37.4017.9%5.1%13.0%20.8%17.9%6.0%0.6%245.8K-51.5M-240.7K1.9575.073,6757,18031,75534,665
2018-06-22$37.19$37.4019.3%5.5%14.1%25.5%19.6%5.8%4.2%-49.2K-37.0M-256.5K2.4370.023,0257,35531,76534,660
2018-06-25$36.44$37.0023.8%6.8%16.0%41.0%23.4%6.9%-2.7%-760.6K-13.1M-252.6K1.8976.463,4056,42531,74534,565
2018-06-26$36.63$37.0021.6%6.2%15.8%33.4%21.1%9.9%1.0%-421.5K-16.2M-246.7K1.8569.713,4856,43031,96534,565
2018-06-27$35.97$37.0022.7%6.5%16.4%37.1%21.9%5.7%0.7%-952.2K-8.6M-237.7K1.9177.933,3456,40031,89034,565
2018-06-28$36.41$37.0020.9%6.0%17.1%31.1%19.8%7.4%2.1%-1.8M-11.3M-215.4K1.0593.638,2458,67032,06034,620
2018-06-29$36.63$37.0019.6%5.6%16.2%26.7%21.5%2.2%2.2%-591.9K-22.0M-224.7K0.97109.808,9108,67030,33533,870