IGV Options History — January 2019

In January 2019, IGV traded between $33.59 and $38.35. ATM implied volatility averaged 28.9%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 2.9% (HV 20d: 31.8%). Max pain ranged from $32.00 to $36.20. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 5.51.

Notable Days

  • 2019-01-11: Highest Volume — 7,615 contracts
  • 2019-01-04: Largest IV drop — 14.4% change
  • 2019-01-03: Highest IV Rank — 83.8%
  • 2019-01-03: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.62$33.59$38.35$34.39$38.35
Max Pain$33.44$32.00$36.20$34.00$36.20
ATM IV28.9%22.2%38.9%36.0%22.2%
Expected Move8.2%6.5%10.4%10.3%6.5%
HV 20d31.8%22.4%37.6%33.7%24.1%
HV 60d33.9%31.7%36.2%35.2%32.0%
IV Rank49.6%26.7%83.8%75.0%26.7%
IV Percentile72.7%48.4%97.2%94.0%48.4%
Term Structure-1.1%-3.3%0.2%-1.8%0.1%
VWIV30.7%24.2%36.0%35.8%26.7%
Skew 25d8.2%3.8%10.2%8.8%5.8%
Skew 10d16.3%9.8%19.3%16.8%9.8%
Call IV 25d25.2%20.9%32.6%32.6%20.9%
Put IV 25d33.4%26.8%41.6%41.4%26.8%
Bid-Ask Spread %35.9812.4974.8539.9912.49
Gamma HHI0.170.100.260.150.10
Net GEX-282.4K-1.7M852.7K171.6K-1.5M
Net DEX-3.2M-15.3M7.0M467.7K-8.4M
Net VEX-166.1K-214.5K-112.5K-112.5K-201.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.510.3132.005.415.57
Total Volume3,906.191707,6151,9557,195
Total OI32,392.61922,39546,50022,39546,500

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$34.39$34.0036.0%10.3%33.7%75.0%35.8%8.8%-1.8%171.6K467.7K-112.5K5.4139.993051,65011,15511,240
2019-01-03$33.59$32.0038.9%10.4%33.3%83.8%36.0%10.2%-3.3%-100.5K7.0M-128.5K6.8334.353152,15011,16513,300
2019-01-04$34.96$32.0033.3%9.3%36.8%66.2%29.8%9.8%-1.4%229.3K-884.8K-129.9K0.5632.661,70096011,13013,350
2019-01-07$35.74$32.0032.8%9.1%37.6%64.7%34.3%9.3%-1.8%269.7K-3.3M-128.2K2.4124.725901,4209,98014,105
2019-01-08$36.22$32.0033.0%9.0%37.3%64.4%34.4%9.9%-2.3%241.0K-5.1M-134.5K1.6826.856451,0859,53515,345
2019-01-09$36.43$32.0029.9%8.6%37.3%54.4%33.2%8.7%-1.0%336.0K-6.3M-133.9K1.7726.901,1752,0809,55016,075
2019-01-10$36.68$32.0029.1%8.3%37.4%49.9%33.5%9.0%0.0%382.2K-6.3M-145.1K1.7528.997451,3009,93017,530
2019-01-11$36.53$32.0028.2%8.1%37.0%47.0%31.7%8.2%-0.3%593.2K-6.1M-142.4K2.2527.562,3405,2759,93017,290
2019-01-14$36.22$32.0029.0%8.3%37.0%49.7%32.0%8.6%-1.3%159.4K-795.4K-173.3K0.3134.831304011,26521,010
2019-01-15$36.82$32.0028.0%8.0%36.0%46.1%29.8%8.4%-1.2%585.3K-5.6M-169.4K0.6232.8795559511,25521,050
2019-01-16$36.78$32.0026.2%7.5%33.0%40.1%29.2%7.9%-0.4%798.0K-5.8M-169.5K2.9133.116851,99511,28521,520
2019-01-17$37.06$32.0026.4%7.6%32.6%40.8%29.4%7.9%-0.5%852.7K-7.6M-171.2K2.3747.808301,96511,72023,275
2019-01-18$37.67$32.0025.2%7.2%32.5%36.8%27.7%7.4%0.2%-10.5K-15.3M-165.7K1.4539.722,3253,38011,74523,720
2019-01-22$37.08$32.0028.8%8.3%32.4%48.9%31.1%8.4%-1.7%-511.6K-162.1K-183.5K32.0035.671655,2808,98521,360
2019-01-23$37.18$36.0027.8%8.0%28.9%45.5%31.4%8.6%-1.2%-1.4M5.8M-199.9K8.5130.276405,4459,07526,485
2019-01-24$37.23$36.0027.7%7.9%27.3%45.1%30.2%8.0%-1.2%-1.3M2.0M-198.4K3.9639.031,4005,5459,94026,685
2019-01-25$37.83$36.0024.7%7.1%22.4%35.2%28.8%7.0%-0.4%-1.2M-6.8M-185.2K6.4145.948705,58010,92026,820
2019-01-28$37.40$36.0027.0%7.7%22.9%42.8%28.1%7.9%-2.0%-1.3M-3.3M-189.5K7.4743.102551,90510,95026,800
2019-01-29$37.01$36.0027.6%7.9%23.5%44.9%26.9%7.7%-0.8%-1.6M1.6M-212.0K11.2643.814054,56010,97030,685
2019-01-30$37.76$36.0024.5%7.0%24.2%34.4%24.2%3.8%-0.2%-1.7M-2.2M-214.5K10.1874.855505,60011,05534,560
2019-01-31$38.35$36.2022.2%6.5%24.1%26.7%26.7%5.8%0.1%-1.5M-8.4M-201.3K5.5712.491,0956,10010,98035,520