IGV Options History — July 2018

In July 2018, IGV traded between $36.93 and $39.39. ATM implied volatility averaged 18.7%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.4% (HV 20d: 17.3%). Max pain ranged from $35.60 to $37.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.81.

Notable Days

  • 2018-07-19: Highest Volume — 33,615 contracts
  • 2018-07-27: Largest IV spike — 16.0% change
  • 2018-07-31: Highest IV Rank — 39.1%
  • 2018-07-31: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.42$36.93$39.39$37.03$37.12
Max Pain$36.25$35.60$37.00$37.00$36.80
ATM IV18.7%15.6%23.2%23.1%23.2%
Expected Move5.4%4.5%6.7%6.6%6.7%
HV 20d17.3%13.6%21.3%16.4%20.9%
HV 60d15.9%14.2%17.2%16.9%17.0%
IV Rank23.5%12.8%39.1%38.8%39.1%
IV Percentile57.7%23.0%84.1%84.1%84.1%
Term Structure1.7%-0.8%3.6%-0.8%1.0%
VWIV18.0%12.3%22.3%22.2%22.1%
Skew 25d6.3%2.4%10.0%10.0%2.8%
Skew 10d11.5%-1.3%18.5%-1.3%16.6%
Call IV 25d16.7%14.3%20.8%17.9%20.4%
Put IV 25d23.0%21.3%27.9%27.9%23.2%
Bid-Ask Spread %72.4249.3489.6781.9189.67
Gamma HHI0.150.090.210.140.14
Net GEX100.7K-1.9M2.0M-817.9K-1.9M
Net DEX-55.2M-82.8M2.9M-23.8M2.9M
Net VEX-180.2K-247.8K-97.3K-199.0K-228.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.810.393.751.170.97
Total Volume15,059.7626,18533,61517,33026,685
Total OI72,623.8164,47596,50064,47581,405

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-07-02$37.03$37.0023.1%6.6%16.4%38.8%22.2%10.0%-0.8%-817.9K-23.8M-199.0K1.1781.918,0009,33030,60033,875
2018-07-03$36.93$37.0020.5%5.9%16.2%29.6%21.3%10.0%2.7%-239.6K-27.9M-211.4K1.1679.418,0859,34030,55534,930
2018-07-05$37.23$35.6022.2%6.4%16.3%35.5%17.6%7.4%1.3%-557.0K-32.2M-199.0K1.1562.318,0709,25530,54034,935
2018-07-06$37.75$35.6018.8%5.7%16.3%23.8%17.4%6.1%1.1%1.3M-49.3M-164.7K2.6254.103,5509,29030,49034,975
2018-07-09$37.92$35.6016.9%5.5%16.2%17.4%19.5%6.2%0.8%1.3M-52.0M-161.1K2.6149.343,5959,39030,44534,955
2018-07-10$37.93$35.6016.7%5.2%16.2%16.5%15.3%6.8%2.6%1.3M-55.7M-148.1K2.4553.593,8309,37530,52535,080
2018-07-11$38.23$35.6018.6%5.3%16.2%23.3%15.3%5.0%2.1%2.0M-60.3M-141.0K2.6775.513,5059,37530,63535,100
2018-07-12$39.20$35.6016.3%4.7%18.3%15.2%12.3%6.9%3.6%1.4M-81.4M-97.3K2.5286.493,7859,53530,63035,100
2018-07-13$39.26$35.6017.5%5.0%18.3%19.5%17.3%6.4%2.1%1.1M-80.8M-123.1K2.3877.993,9009,26530,59535,410
2018-07-16$39.01$35.6017.4%5.0%18.4%19.0%18.8%2.4%1.6%967.5K-76.3M-125.3K3.7584.033,77514,14530,37035,410
2018-07-17$39.39$35.6017.5%5.0%18.7%19.4%18.5%7.3%2.6%-477.8K-74.4M-133.9K2.6270.164,59512,06030,31540,470
2018-07-18$39.39$36.6017.5%5.0%18.3%19.5%17.9%6.2%1.8%-1.5M-72.2M-151.4K2.1665.094,3959,48530,74545,810
2018-07-19$39.19$36.6018.1%5.2%18.4%21.3%17.9%6.0%2.0%-1.6M-67.9M-152.9K0.3960.8924,1259,49030,71045,830
2018-07-20$39.22$36.6017.5%5.0%17.7%19.4%17.4%5.9%2.4%200.1K-82.8M-247.8K1.9962.344,7259,42050,65545,845
2018-07-23$39.26$36.6017.5%5.0%16.7%19.5%17.2%6.2%1.5%427.2K-71.5M-232.2K1.9067.552,6505,04547,09529,035
2018-07-24$38.80$36.6018.1%5.2%15.3%21.3%15.1%6.7%1.4%62.2K-58.1M-216.2K1.7778.632,9105,16047,04529,095
2018-07-25$39.36$36.6015.6%4.5%15.7%12.8%15.1%5.5%1.5%-108.8K-76.3M-200.0K0.6880.824,6203,13046,97029,155
2018-07-26$39.32$36.8017.3%5.0%13.6%18.6%18.0%5.5%1.3%761.7K-70.0M-230.8K1.0174.563,0803,10548,66530,920
2018-07-27$38.28$36.8020.1%5.7%17.2%28.2%19.3%6.2%2.4%-575.3K-42.2M-216.0K1.0287.773,2403,29048,61530,915
2018-07-30$37.04$36.8022.4%6.4%21.3%36.4%22.3%6.6%0.6%-970.9K-7.9M-205.0K0.9778.6213,52513,12549,53531,115
2018-07-31$37.12$36.8023.2%6.7%20.9%39.1%22.1%2.8%1.0%-1.9M2.9M-228.5K0.9789.6713,55013,13540,20041,205