IGV Options History — November 2018

In November 2018, IGV traded between $33.85 and $37.87. ATM implied volatility averaged 30.8%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 5.4% (HV 20d: 36.2%). Max pain ranged from $35.20 to $37.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 3.35.

Notable Days

  • 2018-11-12: Highest Volume — 25,595 contracts
  • 2018-11-12: Largest IV spike — 47.3% change
  • 2018-11-12: Highest IV Rank — 97.5%
  • 2018-11-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.01$33.85$37.87$37.02$37.08
Max Pain$36.30$35.20$37.00$35.20$36.00
ATM IV30.8%25.8%40.2%31.9%29.0%
Expected Move8.4%7.1%9.7%9.1%8.3%
HV 20d36.2%33.2%38.9%36.5%36.7%
HV 60d28.1%25.0%31.5%25.0%31.1%
IV Rank64.7%47.3%97.5%68.7%58.7%
IV Percentile88.9%80.6%99.6%93.7%84.9%
Term Structure-1.8%-4.3%-0.4%-4.3%-2.1%
VWIV30.9%27.3%37.6%36.1%34.2%
Skew 25d8.6%6.4%10.6%9.0%7.5%
Skew 10d16.0%11.5%20.5%18.4%14.2%
Call IV 25d25.3%21.0%29.5%27.4%25.9%
Put IV 25d33.9%29.2%38.7%36.4%33.3%
Bid-Ask Spread %28.6417.6439.7731.8339.62
Gamma HHI0.110.090.170.110.10
Net GEX-1.7M-4.9M1.2M-1.2M-1.8M
Net DEX-4.1M-41.8M19.5M-12.2M-11.9M
Net VEX-143.9K-166.9K-103.9K-150.5K-145.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.351.487.352.724.54
Total Volume17,403.33310,49525,59520,34518,105
Total OI68,925.47630,985101,26587,68540,170

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$37.02$35.2031.9%9.1%36.5%68.7%36.1%9.0%-4.3%-1.2M-12.2M-150.5K2.7231.835,47514,87035,39552,290
2018-11-02$36.62$35.2033.1%9.5%36.6%73.0%37.6%10.1%-4.3%-2.0M-138.8K-166.9K2.7833.325,36014,90035,40055,995
2018-11-05$36.40$35.8034.7%8.4%35.8%78.4%33.8%10.2%-2.2%-2.1M2.3M-147.1K1.4817.997,71511,42535,68554,040
2018-11-06$36.37$35.8033.0%8.1%35.8%72.6%32.5%9.6%-1.0%-2.3M1.3M-138.1K2.2919.025,05011,59035,83054,215
2018-11-07$37.87$35.8026.0%7.1%35.0%48.0%29.8%8.1%-0.5%1.2M-41.8M-103.9K2.4117.645,36012,91036,30554,195
2018-11-08$37.60$36.0025.8%7.1%35.1%47.3%27.8%8.2%-0.7%1.1M-35.1M-104.0K4.9921.172,78013,86536,06055,540
2018-11-09$36.74$37.0027.3%7.4%34.9%52.5%27.5%8.7%-0.8%-1.7M-7.4M-127.6K5.0822.682,77014,06035,97558,545
2018-11-12$35.74$37.0040.2%8.6%36.1%97.5%30.7%10.4%-2.1%-4.3M19.5M-122.5K2.1317.728,18517,41036,20559,390
2018-11-13$35.71$37.0039.2%8.5%33.7%94.0%30.8%10.0%-2.0%-4.9M15.6M-156.2K2.0724.678,08016,71037,87562,545
2018-11-14$35.53$37.0030.3%8.7%33.7%62.9%30.7%10.6%-2.2%-4.7M9.4M-159.2K2.7624.874,37512,07038,88062,015
2018-11-15$36.26$37.0029.1%8.3%33.7%58.9%30.7%9.0%-1.7%-2.6M-13.6M-147.8K3.4124.233,39011,57038,97561,950
2018-11-16$36.24$37.0027.6%7.9%33.2%53.8%29.7%8.0%-0.9%-1.7M-15.4M-143.4K3.9222.714,11516,14039,09562,170
2018-11-19$34.14$37.0031.4%9.0%38.9%66.8%27.3%9.6%-1.9%-760.1K5.8M-152.2K2.7029.022,9557,97514,93516,050
2018-11-20$33.85$37.0033.9%9.7%38.9%75.5%30.3%8.4%-3.0%-595.9K9.2M-154.0K2.3737.653,3557,96016,03016,350
2018-11-21$34.64$36.4030.4%8.7%38.6%63.4%28.2%7.0%-1.4%-679.5K242.3K-158.3K1.6133.715,0358,09016,42016,420
2018-11-23$34.56$36.0031.0%8.9%37.7%65.5%28.9%8.8%-2.0%-786.5K5.5M-148.8K2.9236.192,9608,65515,00516,465
2018-11-26$35.36$36.0028.6%8.2%37.5%57.0%28.4%6.7%-1.2%-893.2K-1.5M-144.5K3.4733.402,3508,14514,79016,470
2018-11-27$35.12$36.0028.3%8.1%36.7%56.2%30.4%6.7%-1.2%-996.6K1.7M-141.4K7.3534.682,34517,23014,68016,605
2018-11-28$36.61$36.0027.8%8.0%38.0%54.3%31.1%6.4%-1.2%-1.9M-8.0M-159.8K4.7139.513,79517,89014,70027,350
2018-11-29$36.79$36.0027.7%8.0%36.6%54.1%32.7%7.0%-0.4%-1.8M-10.2M-150.0K4.6439.773,27015,18013,40527,020
2018-11-30$37.08$36.0029.0%8.3%36.7%58.7%34.2%7.5%-2.1%-1.8M-11.9M-145.5K4.5439.623,27014,83513,11027,060