IGV Options History — October 2018

In October 2018, IGV traded between $34.65 and $40.77. ATM implied volatility averaged 28.3%, placing in the 55.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.8% (HV 20d: 25.5%). Max pain ranged from $35.20 to $39.80. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 1.30.

Notable Days

  • 2018-10-19: Highest Volume — 48,115 contracts
  • 2018-10-10: Largest IV spike — 19.7% change
  • 2018-10-29: Highest IV Rank — 96.4%
  • 2018-10-29: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.54$34.65$40.77$40.77$36.76
Max Pain$35.78$35.20$39.80$39.60$35.20
ATM IV28.3%17.2%39.9%17.2%33.0%
Expected Move8.1%4.9%11.4%4.9%9.5%
HV 20d25.5%14.7%37.2%17.2%37.2%
HV 60d20.8%17.1%25.0%17.1%25.0%
IV Rank55.9%17.5%96.4%17.5%72.4%
IV Percentile87.3%36.5%99.6%36.5%94.8%
Term Structure-2.7%-7.6%2.0%1.7%-4.2%
VWIV27.8%22.7%38.8%25.9%37.2%
Skew 25d9.6%5.5%15.7%6.3%10.3%
Skew 10d18.6%11.0%29.1%11.0%21.2%
Call IV 25d23.9%15.2%32.9%15.2%28.7%
Put IV 25d33.5%21.5%48.6%21.5%39.0%
Bid-Ask Spread %32.6021.3654.6049.0836.93
Gamma HHI0.150.070.240.180.12
Net GEX-659.0K-7.2M2.8M2.8M-878.0K
Net DEX-15.5M-68.1M27.4M-68.1M-9.0M
Net VEX-174.8K-210.8K-146.7K-165.6K-152.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.300.263.523.521.47
Total Volume14,436.0875,12548,1157,37513,435
Total OI77,837.17467,470100,20569,79582,930

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-10-01$40.77$39.6017.2%4.9%17.2%17.5%25.9%6.3%1.7%2.8M-68.1M-165.6K3.5249.081,6305,74534,52035,275
2018-10-02$40.27$39.6019.2%5.5%17.7%24.5%22.7%6.5%2.0%1.8M-58.7M-177.0K3.2139.081,9006,10534,73035,325
2018-10-03$40.45$39.8019.3%5.5%14.7%24.7%23.1%5.5%1.6%2.0M-61.5M-167.5K2.9944.002,0256,05034,96035,645
2018-10-04$39.40$35.2022.2%6.7%17.6%34.9%24.8%7.9%-1.2%452.6K-42.2M-181.7K2.1622.393,1506,79534,90035,665
2018-10-05$39.33$35.2024.3%7.0%17.5%42.2%28.9%8.7%-2.0%497.0K-41.4M-196.7K1.4025.822,9654,16536,23036,515
2018-10-08$38.39$35.2026.2%7.3%19.1%48.8%25.7%8.7%-2.3%-569.5K-24.6M-193.0K1.2422.934,6705,80036,21036,535
2018-10-09$38.21$35.2024.6%7.0%18.5%43.3%24.9%8.8%-1.3%-701.3K-22.9M-186.8K2.2821.364,70010,71538,24537,575
2018-10-10$36.50$35.2029.5%8.4%23.5%60.2%24.2%9.2%-2.9%-2.3M18.4M-210.8K1.4325.145,7808,29038,56542,555
2018-10-11$36.37$35.2031.2%8.9%23.3%66.1%25.2%10.1%-4.1%-1.6M18.0M-210.8K0.8441.047,1305,97039,30540,195
2018-10-12$37.34$35.2029.0%8.3%25.6%58.6%28.8%9.0%-3.4%-1.2M-426.1K-206.6K1.2432.436,5908,14540,57040,175
2018-10-15$37.08$35.2028.0%8.0%24.6%55.0%27.3%10.3%-2.8%-2.2M7.5M-193.0K0.5627.2014,3508,05541,35543,930
2018-10-16$38.33$35.2024.6%7.0%27.7%43.0%25.3%8.2%-1.2%2.8M-59.8M-183.3K1.2227.5514,88518,17051,80543,830
2018-10-17$38.25$35.2025.6%7.3%27.4%46.8%25.4%8.5%-2.5%-506.5K-47.2M-170.8K1.1532.7415,86018,20548,23051,945
2018-10-18$37.29$35.2029.5%8.5%28.2%60.3%26.7%9.6%-3.9%-3.8M-2.6M-186.8K0.9126.0913,15012,01048,23551,970
2018-10-19$36.67$35.2029.3%8.4%28.6%59.8%23.4%9.7%-3.8%-7.2M27.4M-168.4K0.2626.5038,05010,06548,17548,605
2018-10-22$37.08$35.2028.5%8.2%28.8%56.9%25.4%9.7%-2.3%107.9K-16.4M-149.3K0.6928.973,9802,73532,74534,725
2018-10-23$36.90$35.2028.8%8.2%28.3%57.7%23.4%9.7%-2.6%105.3K-15.5M-154.6K0.7031.713,8802,70033,41034,775
2018-10-24$35.72$35.2033.9%9.7%29.8%75.5%27.8%11.9%-3.7%-943.2K6.3M-158.6K0.7632.333,6802,78033,48034,800
2018-10-25$36.46$35.2032.3%9.3%31.3%70.0%29.7%11.4%-4.1%-255.3K-5.9M-152.9K0.3928.353,6901,43533,73034,950
2018-10-26$35.45$35.2036.5%10.5%32.0%84.8%36.0%12.6%-5.2%-1.2M12.6M-157.9K0.4240.055,3802,27033,69035,340
2018-10-29$34.65$35.2039.9%11.4%32.5%96.4%38.8%15.7%-7.6%-1.4M21.6M-149.5K0.4854.604,7452,27035,00536,670
2018-10-30$35.72$35.2037.3%10.7%35.2%87.3%38.3%12.6%-5.8%-1.1M8.2M-146.7K0.5033.475,3002,63035,53536,695
2018-10-31$36.76$35.2033.0%9.5%37.2%72.4%37.2%10.3%-4.2%-878.0K-9.0M-152.7K1.4736.935,4457,99035,66047,270