IGV Options History — September 2018

In September 2018, IGV traded between $39.28 and $41.14. ATM implied volatility averaged 19.7%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.5% (HV 20d: 17.2%). Max pain ranged from $38.00 to $39.60. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.50.

Notable Days

2018-09-19: Highest Volume — 41,105 contracts
2018-09-17: Largest IV spike — 14.2% change
2018-09-19: Highest IV Rank — 35.2%
2018-09-19: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.36	$39.28	$41.14	$40.34	$40.99
Max Pain	$39.22	$38.00	$39.60	$38.00	$39.60
ATM IV	19.7%	17.2%	22.3%	18.2%	17.2%
Expected Move	5.7%	4.9%	6.4%	5.2%	4.9%
HV 20d	17.2%	12.7%	19.4%	12.7%	17.0%
HV 60d	17.7%	16.9%	18.4%	16.9%	17.3%
IV Rank	26.2%	17.3%	35.2%	20.9%	17.3%
IV Percentile	63.7%	36.1%	80.6%	56.3%	36.1%
Term Structure	0.6%	-1.9%	2.4%	1.3%	2.4%
VWIV	22.9%	17.0%	26.5%	19.9%	24.8%
Skew 25d	6.5%	4.1%	8.5%	4.1%	7.3%
Skew 10d	12.7%	9.4%	17.2%	11.2%	12.2%
Call IV 25d	16.9%	15.3%	18.5%	18.0%	15.7%
Put IV 25d	23.4%	21.8%	25.5%	22.1%	23.0%
Bid-Ask Spread %	48.15	26.80	87.80	74.55	50.40
Gamma HHI	0.15	0.10	0.22	0.17	0.20
Net GEX	4.1M	1.5M	12.9M	2.5M	2.9M
Net DEX	-73.2M	-103.4M	-42.8M	-69.1M	-69.4M
Net VEX	-218.9K	-256.2K	-168.8K	-215.8K	-187.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.50	0.34	3.49	0.96	3.01
Total Volume	13,987.368	4,635	41,105	4,635	7,755
Total OI	76,727.368	62,120	102,460	62,120	69,840

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$40.34	$38.00	18.2%	5.2%	12.7%	20.9%	19.9%	4.1%	1.3%	2.5M	-69.1M	-215.8K	0.96	74.55	2,360	2,275	32,590	29,530
2018-09-05	$39.28	$38.00	20.0%	5.7%	16.5%	27.1%	17.0%	4.6%	-0.2%	2.2M	-57.9M	-227.6K	0.37	69.21	9,765	3,605	32,850	29,555
2018-09-06	$39.57	$38.40	19.7%	5.9%	16.6%	26.1%	22.7%	7.0%	1.5%	4.4M	-67.3M	-256.2K	0.39	37.45	9,255	3,635	39,205	31,210
2018-09-07	$39.65	$38.40	20.9%	6.2%	16.5%	30.2%	24.2%	7.3%	0.1%	4.4M	-69.5M	-253.9K	0.81	52.08	4,435	3,585	39,180	31,240
2018-09-10	$40.03	$38.40	19.9%	6.0%	16.8%	26.9%	25.3%	7.2%	0.8%	4.8M	-80.2M	-241.4K	1.56	28.31	4,485	7,005	39,340	31,350
2018-09-11	$40.45	$39.20	20.6%	6.2%	16.9%	29.2%	25.3%	7.2%	-0.0%	4.5M	-87.4M	-238.2K	2.04	26.80	4,385	8,955	39,330	34,235
2018-09-12	$40.77	$39.60	20.2%	5.8%	16.9%	27.7%	26.5%	6.6%	0.6%	3.4M	-91.2M	-227.7K	0.61	48.33	8,690	5,340	39,275	36,180
2018-09-13	$40.85	$39.60	19.2%	5.5%	15.6%	24.5%	21.7%	7.1%	0.9%	4.1M	-98.5M	-226.0K	1.18	34.05	6,305	7,470	41,995	37,545
2018-09-14	$41.14	$39.60	18.9%	5.4%	15.6%	23.3%	24.3%	7.3%	1.6%	2.8M	-103.4M	-232.9K	3.49	39.68	3,845	13,410	43,045	41,835
2018-09-17	$40.16	$39.60	21.6%	6.2%	18.3%	32.7%	23.5%	7.6%	-1.0%	1.5M	-61.6M	-219.0K	0.53	58.78	16,890	8,970	41,820	46,740
2018-09-18	$40.46	$39.60	21.6%	6.2%	18.4%	32.8%	22.3%	6.8%	-0.9%	4.3M	-72.9M	-246.8K	0.34	45.75	18,535	6,280	51,945	49,570
2018-09-19	$39.88	$39.60	22.3%	6.4%	19.4%	35.2%	23.2%	8.5%	-0.9%	12.9M	-42.8M	-232.5K	0.83	47.60	22,410	18,695	52,810	49,650
2018-09-20	$40.26	$39.60	19.4%	5.6%	19.4%	25.1%	22.4%	4.9%	0.5%	6.0M	-74.9M	-221.6K	0.70	49.08	8,880	6,175	43,720	39,845
2018-09-21	$40.11	$39.60	18.9%	5.4%	19.4%	23.3%	21.6%	6.6%	1.5%	6.6M	-75.4M	-212.5K	1.84	41.69	3,335	6,120	44,800	39,945
2018-09-24	$40.42	$39.60	21.0%	6.0%	17.8%	30.8%	22.0%	5.2%	-1.9%	1.9M	-62.5M	-168.8K	2.19	44.87	2,690	5,895	34,295	34,890
2018-09-25	$40.79	$39.60	18.6%	5.3%	18.0%	22.3%	22.2%	6.7%	1.5%	2.5M	-65.8M	-191.0K	2.31	38.32	2,490	5,760	34,260	35,120
2018-09-26	$40.85	$39.60	18.8%	5.4%	18.0%	23.0%	21.5%	5.6%	2.0%	2.9M	-71.1M	-172.5K	2.22	87.80	2,595	5,760	34,295	35,210
2018-09-27	$40.87	$39.60	17.7%	5.1%	17.5%	19.3%	24.3%	6.1%	2.0%	2.8M	-70.4M	-187.8K	3.11	40.14	1,880	5,840	34,390	35,185
2018-09-28	$40.99	$39.60	17.2%	4.9%	17.0%	17.3%	24.8%	7.3%	2.4%	2.9M	-69.4M	-187.6K	3.01	50.40	1,935	5,820	34,555	35,285