IGV Options History — February 2019

In February 2019, IGV traded between $38.74 and $41.58. ATM implied volatility averaged 19.4%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 2.3% (HV 20d: 17.1%). Max pain ranged from $35.80 to $36.20. Net GEX was positive for 4 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 1.31.

Notable Days

2019-02-01: Highest Volume — 7,845 contracts
2019-02-28: Largest IV spike — 12.2% change
2019-02-07: Highest IV Rank — 26.7%
2019-02-07: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.40	$38.74	$41.58	$38.74	$41.47
Max Pain	$36.08	$35.80	$36.20	$36.20	$36.20
ATM IV	19.4%	16.9%	22.2%	20.9%	19.0%
Expected Move	5.6%	4.9%	6.4%	6.3%	5.4%
HV 20d	17.1%	13.2%	21.6%	21.6%	13.2%
HV 60d	28.8%	25.5%	32.1%	32.0%	25.5%
IV Rank	17.3%	8.9%	26.7%	22.4%	15.8%
IV Percentile	32.1%	9.9%	50.0%	41.3%	33.3%
Term Structure	0.8%	-0.5%	2.0%	0.1%	-0.5%
VWIV	20.6%	16.4%	27.2%	27.2%	17.8%
Skew 25d	5.4%	3.5%	6.5%	4.8%	4.7%
Skew 10d	11.1%	8.8%	14.1%	10.0%	8.8%
Call IV 25d	17.2%	15.0%	21.4%	20.8%	15.5%
Put IV 25d	22.7%	20.2%	25.9%	25.6%	20.2%
Bid-Ask Spread %	51.61	12.79	84.50	12.79	80.76
Gamma HHI	0.09	0.06	0.16	0.09	0.16
Net GEX	-326.0K	-1.2M	665.1K	-1.2M	665.1K
Net DEX	-18.7M	-26.3M	-9.4M	-12.0M	-20.5M
Net VEX	-191.9K	-204.3K	-164.9K	-197.5K	-182.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.31	0.14	3.74	3.74	0.40
Total Volume	3,306.316	570	7,845	7,845	7,635
Total OI	51,358.421	45,930	58,365	46,890	52,095

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
2019-02-01	$38.74	$36.20	20.9%	6.3%	21.6%	22.4%	27.2%	4.8%	0.1%	-1.2M	-12.0M	-197.5K	3.74	12.79	1,655	6,190	11,020	35,870
2019-02-04	$39.39	$36.20	20.4%	6.2%	18.2%	20.5%	26.6%	3.5%	0.8%	-791.5K	-18.7M	-178.8K	0.14	14.39	1,795	260	11,325	35,970
2019-02-05	$39.83	$35.80	20.0%	6.0%	17.3%	19.3%	23.4%	6.2%	0.7%	-508.6K	-22.6M	-164.9K	2.48	30.91	1,315	3,265	11,545	36,155
2019-02-06	$39.41	$35.80	21.4%	6.1%	17.9%	23.9%	23.1%	5.7%	0.4%	-790.9K	-16.7M	-195.2K	0.18	31.84	485	85	11,440	38,965
2019-02-07	$39.18	$35.80	22.2%	6.4%	18.2%	26.7%	23.4%	6.3%	0.9%	-914.5K	-15.1M	-203.3K	0.67	35.72	1,505	1,005	11,995	39,000
2019-02-08	$39.70	$35.80	20.6%	5.9%	18.5%	21.2%	21.1%	6.5%	1.3%	-555.9K	-20.0M	-198.5K	2.08	35.27	1,690	3,520	12,265	39,845
2019-02-11	$39.80	$36.00	21.4%	6.1%	18.3%	23.9%	22.2%	5.8%	0.3%	-574.2K	-19.9M	-203.4K	0.24	41.64	510	120	12,715	42,300
2019-02-12	$40.46	$36.00	20.3%	5.8%	18.1%	20.1%	20.7%	6.2%	1.3%	-248.4K	-25.6M	-191.3K	1.19	44.29	1,555	1,855	12,880	42,390
2019-02-13	$40.48	$36.00	20.1%	5.8%	17.7%	19.6%	20.7%	5.4%	1.0%	-297.1K	-24.9M	-199.4K	1.35	50.58	1,780	2,400	13,315	44,030
2019-02-14	$40.71	$36.20	18.5%	5.3%	17.6%	14.1%	20.9%	5.6%	2.0%	-192.7K	-26.3M	-204.3K	1.12	51.70	2,105	2,350	13,665	44,600
2019-02-15	$40.81	$36.20	18.3%	5.2%	17.6%	13.5%	20.1%	5.0%	1.8%	-529.0K	-26.1M	-200.5K	1.33	55.94	1,880	2,495	13,545	44,820
2019-02-19	$40.93	$36.20	18.5%	5.3%	17.1%	14.1%	17.8%	5.4%	0.2%	-520.6K	-10.9M	-193.8K	0.92	58.30	595	550	9,055	36,875
2019-02-20	$40.54	$36.20	17.6%	5.0%	16.2%	11.1%	17.2%	5.2%	0.5%	-439.7K	-9.4M	-197.2K	0.96	64.73	560	540	9,575	37,295
2019-02-21	$40.56	$36.20	17.8%	5.1%	16.3%	12.0%	19.5%	5.6%	0.9%	-452.2K	-9.5M	-198.3K	1.07	61.84	510	545	9,675	37,535
2019-02-22	$41.17	$36.20	17.6%	5.0%	16.6%	11.2%	16.4%	5.2%	1.1%	-101.5K	-16.0M	-187.9K	1.50	72.08	1,180	1,765	11,110	38,820
2019-02-25	$41.40	$36.20	18.6%	5.3%	16.1%	14.5%	17.2%	5.3%	0.3%	259.8K	-18.5M	-188.6K	1.94	78.48	975	1,895	11,780	38,895
2019-02-26	$41.50	$36.20	18.8%	5.4%	15.1%	15.3%	18.5%	5.1%	0.3%	507.3K	-20.2M	-188.8K	1.87	74.79	1,060	1,985	12,565	39,120
2019-02-27	$41.58	$36.20	16.9%	4.9%	13.9%	8.9%	17.9%	5.7%	0.9%	511.7K	-22.2M	-171.1K	1.76	84.50	1,160	2,045	12,540	39,220
2019-02-28	$41.47	$36.20	19.0%	5.4%	13.2%	15.8%	17.8%	4.7%	-0.5%	665.1K	-20.5M	-182.6K	0.40	80.76	5,435	2,200	12,840	39,255