IGV Options History — August 2018

In August 2018, IGV traded between $37.32 and $40.58. ATM implied volatility averaged 17.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 0.7% (HV 20d: 18.2%). Max pain ranged from $35.20 to $38.20. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 3.31.

Notable Days

  • 2018-08-06: Highest Volume — 33,110 contracts
  • 2018-08-10: Largest IV spike — 19.1% change
  • 2018-08-14: Highest IV Rank — 25.7%
  • 2018-08-01: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.79$37.32$40.58$37.32$40.15
Max Pain$36.64$35.20$38.20$36.80$38.00
ATM IV17.4%14.7%19.6%18.8%18.0%
Expected Move5.0%4.6%5.4%5.4%5.2%
HV 20d18.2%12.4%21.6%21.0%12.8%
HV 60d16.8%16.5%17.2%16.9%16.9%
IV Rank18.5%8.9%25.7%23.9%20.2%
IV Percentile46.5%9.1%66.3%61.9%54.0%
Term Structure1.3%0.4%2.4%1.0%0.4%
VWIV17.9%15.3%22.2%22.2%18.8%
Skew 25d5.7%-1.5%8.7%-1.5%6.2%
Skew 10d10.9%2.2%14.5%2.2%11.5%
Call IV 25d15.5%13.5%27.3%27.3%15.0%
Put IV 25d21.2%19.2%25.7%25.7%21.2%
Bid-Ask Spread %60.1142.21113.39113.3964.56
Gamma HHI0.250.130.630.160.17
Net GEX-1.9M-12.4M2.6M-2.4M2.4M
Net DEX-49.6M-76.1M-6.3M-6.3M-69.2M
Net VEX-186.3K-244.9K-119.7K-212.4K-231.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.127.894.170.97
Total Volume15,299.133,14533,11020,1854,545
Total OI80,534.34844,090111,36581,61062,065

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$37.32$36.8018.8%5.4%21.0%23.9%22.2%-1.5%1.0%-2.4M-6.3M-212.4K4.17113.393,90516,28040,39541,215
2018-08-02$37.94$36.8017.6%5.1%21.6%19.8%19.4%6.8%0.8%-3.9M-22.2M-169.6K4.15101.793,95516,40040,42544,350
2018-08-03$37.89$36.8017.7%5.1%21.0%20.1%21.8%6.0%1.6%-3.4M-21.8M-193.0K7.8793.633,73029,35540,26544,440
2018-08-06$38.18$38.2016.8%5.1%21.2%17.0%16.1%5.4%2.4%-6.6M-30.1M-148.9K7.4645.523,91529,19540,17059,495
2018-08-07$38.25$37.0016.6%5.0%21.2%16.2%15.8%6.0%0.9%-5.4M-30.8M-157.2K7.8042.333,74029,19039,91059,485
2018-08-08$38.40$37.0015.5%4.8%21.0%12.6%15.3%5.6%1.2%-6.2M-35.2M-148.4K7.8942.293,70029,18039,63559,485
2018-08-09$38.57$37.0014.7%4.6%19.0%8.9%15.5%6.1%1.6%-4.4M-42.9M-137.0K7.4652.243,50026,09539,42559,485
2018-08-10$38.58$37.0017.6%4.8%18.9%18.7%16.0%5.9%1.0%-4.2M-45.2M-119.7K1.6547.497,01511,54539,31559,465
2018-08-13$38.42$36.0019.0%5.3%18.9%23.8%18.2%7.3%0.9%-4.6M-43.0M-135.7K3.2150.173,62011,62541,04059,460
2018-08-14$38.67$36.0019.6%5.1%18.7%25.7%17.4%6.3%1.7%-3.1M-54.2M-129.9K4.0446.492,77511,21042,63559,545
2018-08-15$38.09$36.0018.4%5.3%19.3%21.5%18.6%6.3%1.7%-6.2M-39.0M-130.9K0.1266.1617,5102,08042,82559,545
2018-08-16$38.32$35.2018.0%5.2%19.5%20.4%19.3%5.6%2.4%-5.3M-63.5M-185.8K0.3742.214,8951,81549,36560,060
2018-08-17$38.17$35.2018.6%5.3%19.5%22.5%18.9%7.0%2.1%-12.4M-59.9M-196.9K0.4954.303,3451,63551,03060,335
2018-08-20$38.29$35.2018.3%5.2%19.5%21.1%18.4%8.7%1.3%2.5M-51.6M-194.4K0.6444.771,9151,23031,87012,220
2018-08-21$38.43$36.0017.8%5.1%19.2%19.6%16.9%6.6%1.0%2.5M-55.4M-199.0K6.9942.542,31016,14532,54012,490
2018-08-22$38.80$36.0016.6%4.8%18.8%15.4%16.3%5.5%1.8%2.0M-53.3M-237.5K6.4781.692,49516,14533,16027,590
2018-08-23$38.98$36.0017.2%4.9%18.9%17.3%16.8%5.6%1.1%2.1M-56.7M-244.9K0.5156.992,5151,29532,88027,750
2018-08-24$39.91$36.0015.9%4.6%18.0%12.9%16.3%5.2%1.1%2.5M-68.5M-240.7K0.6657.822,7751,83533,11527,905
2018-08-27$39.92$37.0016.5%4.7%12.4%14.9%19.6%5.7%1.4%2.4M-69.2M-231.6K0.7251.492,3901,71532,72528,615
2018-08-28$40.11$37.6017.3%5.0%12.4%17.7%19.2%5.6%0.8%2.5M-73.4M-209.0K0.6462.252,6851,72532,76028,830
2018-08-29$40.58$38.0016.8%4.8%12.7%16.0%16.8%4.2%1.0%2.6M-76.1M-217.4K0.9065.482,3002,06532,44528,860
2018-08-30$40.16$38.0018.0%5.2%12.8%20.2%19.0%5.6%0.9%2.5M-73.2M-214.3K0.9356.972,3752,21032,43529,235
2018-08-31$40.15$38.0018.0%5.2%12.8%20.2%18.8%6.2%0.4%2.4M-69.2M-231.5K0.9764.562,3102,23532,55029,515