IGV Options History — March 2019

In March 2019, IGV traded between $40.29 and $42.87. ATM implied volatility averaged 19.3%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.4% (HV 20d: 14.9%). Max pain ranged from $36.00 to $41.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 4.95.

Notable Days

  • 2019-03-22: Highest Volume — 37,510 contracts
  • 2019-03-06: Largest IV spike — 26.2% change
  • 2019-03-07: Highest IV Rank — 31.6%
  • 2019-03-07: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.48$40.29$42.87$41.69$42.14
Max Pain$37.70$36.00$41.00$37.20$38.00
ATM IV19.3%15.2%23.7%15.2%18.5%
Expected Move5.7%4.4%6.8%4.4%5.7%
HV 20d14.9%12.6%17.7%12.6%17.7%
HV 60d22.6%18.7%25.5%25.5%18.7%
IV Rank16.8%3.2%31.6%3.2%14.3%
IV Percentile33.9%1.2%59.9%1.2%32.1%
Term Structure0.7%-0.2%2.2%2.2%1.1%
VWIV21.4%18.0%27.8%19.0%21.3%
Skew 25d6.0%4.5%7.8%4.5%5.4%
Skew 10d11.0%8.7%12.1%8.7%11.6%
Call IV 25d16.9%14.5%19.9%14.5%15.9%
Put IV 25d22.8%18.9%26.2%18.9%21.3%
Bid-Ask Spread %56.5732.8581.7880.9355.50
Gamma HHI0.170.130.260.140.26
Net GEX-6.2M-10.6M1.5M1.5M-5.2M
Net DEX14.2M-24.9M58.1M-24.9M6.8M
Net VEX-358.2K-416.2K-202.1K-202.1K-387.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.950.5728.195.103.25
Total Volume11,129.76296537,51034,0306,720
Total OI108,585.95258,070130,14558,070129,870

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$41.69$37.2015.2%4.4%12.6%3.2%19.0%4.5%2.2%1.5M-24.9M-202.1K5.1080.935,57528,45517,91040,160
2019-03-04$40.78$41.0017.2%4.9%15.4%9.8%19.2%6.6%0.4%-7.8M27.2M-291.6K8.1375.823,33027,07518,07566,000
2019-03-05$40.73$41.0016.9%4.8%14.5%8.8%19.7%6.6%0.8%-7.4M24.1M-319.6K8.0976.881,68513,62518,99570,305
2019-03-06$40.43$41.0021.3%6.1%14.5%23.7%22.7%6.7%0.0%-9.9M46.8M-391.7K2.9877.672,5107,48519,47582,910
2019-03-07$40.37$41.0023.7%6.8%13.9%31.6%23.8%7.8%-0.2%-9.6M52.0M-402.4K7.2375.631,38510,02019,88583,285
2019-03-08$40.29$41.0022.7%6.5%13.7%28.3%21.6%7.4%0.4%-10.6M58.1M-416.2K6.6081.783,65024,10019,96086,030
2019-03-11$41.06$36.0020.2%5.8%14.4%19.8%27.8%6.8%1.1%-8.5M19.6M-397.1K11.4132.8588010,04522,22591,710
2019-03-12$41.29$36.0019.1%5.6%14.5%16.1%22.8%5.8%0.8%-8.4M11.1M-404.2K5.4138.405152,78522,59098,955
2019-03-13$41.59$36.0017.3%5.2%13.6%10.2%18.0%5.8%1.0%-6.4M-2.7M-373.0K2.3244.761,0802,51022,745101,530
2019-03-14$41.71$36.0017.3%5.3%13.6%10.3%18.9%5.6%1.3%-5.4M-9.6M-362.6K0.5745.474,1352,34523,055103,785
2019-03-15$41.70$36.0016.5%5.2%13.5%7.5%20.8%4.8%1.5%-4.4M-10.4M-359.7K2.0049.932,3904,77026,050104,095
2019-03-18$41.87$36.6017.6%5.4%13.6%11.2%19.0%5.4%1.2%-4.5M4.0M-345.1K1.9249.6535568017,29588,900
2019-03-19$41.99$36.6019.0%5.6%13.5%15.8%20.4%5.4%0.4%-4.2M1.3M-340.6K0.8952.7597086017,26089,705
2019-03-20$42.02$36.6018.2%5.4%12.9%13.2%20.8%6.7%0.5%-4.0M2.7M-344.0K0.7757.851,01078017,77090,325
2019-03-21$42.87$36.6018.2%5.4%14.4%13.2%20.3%4.8%0.4%-2.4M-16.5M-289.7K0.7052.951,4401,01017,71090,640
2019-03-22$41.73$36.8020.8%6.1%17.2%21.9%23.2%6.0%1.0%-5.0M13.5M-383.4K28.1952.391,28536,22517,52591,100
2019-03-25$41.77$36.8022.4%6.3%17.1%27.3%23.7%6.4%-0.0%-6.5M24.5M-392.8K1.2243.1143553018,23094,020
2019-03-26$41.78$36.8021.2%6.1%17.1%23.4%23.2%5.7%-0.1%-6.4M18.3M-371.5K1.9448.1239075518,34594,470
2019-03-27$41.45$36.8022.1%6.4%17.3%26.2%22.2%5.6%0.2%-7.6M29.8M-377.7K3.9847.425001,99018,36094,705
2019-03-28$41.69$38.0019.4%5.8%17.4%17.3%21.9%5.6%1.0%-7.2M23.4M-370.1K1.1848.167,9859,45518,45595,890
2019-03-29$42.14$38.0018.5%5.7%17.7%14.3%21.3%5.4%1.1%-5.2M6.8M-387.0K3.2555.501,5805,14025,940103,930