IGV Options History — May 2019

In May 2019, IGV traded between $41.24 and $43.94. ATM implied volatility averaged 25.2%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 5.1% (HV 20d: 20.1%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 3.72.

Notable Days

  • 2019-05-29: Highest Volume — 45,555 contracts
  • 2019-05-13: Largest IV spike — 52.1% change
  • 2019-05-13: Highest IV Rank — 86.2%
  • 2019-05-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.74$41.24$43.94$43.81$41.24
Max Pain$42.18$42.00$44.00$42.00$42.00
ATM IV25.2%19.2%39.9%19.5%25.8%
Expected Move6.7%5.5%8.1%5.6%7.4%
HV 20d20.1%11.3%25.5%13.1%25.5%
HV 60d17.0%14.2%19.2%14.4%18.9%
IV Rank36.7%16.4%86.2%17.6%38.9%
IV Percentile67.3%42.1%98.4%46.8%69.4%
Term Structure-0.3%-2.7%1.3%0.3%-0.2%
VWIV24.1%20.2%28.8%20.2%25.7%
Skew 25d7.2%4.2%10.0%5.7%6.7%
Skew 10d12.9%8.9%17.3%12.2%11.2%
Call IV 25d20.0%17.3%22.8%17.3%22.2%
Put IV 25d27.2%22.7%32.5%23.1%28.9%
Bid-Ask Spread %53.6041.3895.1591.4047.48
Gamma HHI0.190.140.300.190.15
Net GEX-12.3M-18.9M-5.3M-5.3M-18.4M
Net DEX73.7M-1.2M164.7M-1.2M139.7M
Net VEX-528.5K-650.0K-351.7K-351.7K-622.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.720.2113.354.743.41
Total Volume14,212.2731,92045,55542,1958,400
Total OI163,987.5119,610207,860135,980164,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-05-01$43.81$42.0019.5%5.6%13.1%17.6%20.2%5.7%0.3%-5.3M-1.2M-351.7K4.7491.407,35534,84019,070116,910
2019-05-02$43.49$44.0024.5%7.0%13.4%34.5%25.1%4.2%-1.0%-13.2M62.5M-566.9K13.3294.201,42518,97525,370147,690
2019-05-03$43.94$44.0019.2%5.5%11.4%16.4%20.3%5.0%1.3%-12.9M43.3M-532.3K5.2895.153,50518,51025,405148,940
2019-05-06$43.91$42.0023.9%6.4%11.3%32.6%26.4%6.3%-0.4%-13.5M44.8M-525.8K1.4550.112,6153,78026,290152,890
2019-05-07$42.75$42.0032.0%7.6%15.2%59.5%28.6%10.0%-1.8%-14.7M114.5M-650.0K3.3843.882,1607,30527,470155,135
2019-05-08$43.05$42.0028.7%7.2%15.4%48.5%28.8%9.5%-1.2%-15.3M92.6M-585.7K2.2350.167,07515,80527,690153,970
2019-05-09$42.87$42.0029.5%6.8%15.0%51.2%23.7%9.2%-0.1%-14.2M104.0M-622.9K11.8345.482,03024,00532,755156,595
2019-05-10$43.06$42.0026.2%6.4%15.1%40.2%24.4%8.2%0.0%-13.9M79.0M-579.2K3.2556.555,22016,95033,200156,755
2019-05-13$41.46$42.0039.9%8.1%20.2%86.2%27.0%8.3%-2.7%-18.9M164.7M-575.8K1.9847.954,0758,05033,200156,755
2019-05-14$42.41$42.0031.5%7.0%22.0%57.9%26.9%8.0%-0.8%-18.0M109.6M-570.6K3.6947.984,73017,44533,100174,750
2019-05-15$42.81$42.0021.9%6.3%22.0%25.7%22.8%7.1%-0.1%-14.9M78.7M-496.0K1.4145.991,1401,60532,270174,095
2019-05-16$43.67$42.0020.2%5.8%22.9%20.0%20.7%6.8%0.5%-11.7M24.3M-443.8K0.2141.387,9501,63532,625175,235
2019-05-17$43.19$42.0021.6%6.2%23.3%24.6%22.2%7.3%0.6%-7.6M52.6M-476.7K0.2950.903,9151,12027,640175,590
2019-05-20$42.45$42.0024.7%7.1%23.9%35.1%24.0%7.5%-0.6%-8.2M60.1M-507.6K0.5445.151,24567519,92599,820
2019-05-21$42.88$42.0022.1%6.3%23.5%26.4%22.6%6.9%-0.3%-7.4M40.9M-471.0K1.0646.401,3101,38519,97099,640
2019-05-22$43.10$42.0022.1%6.3%23.6%26.2%22.9%6.7%0.2%-7.0M35.0M-446.1K0.6446.921,7701,14019,96599,845
2019-05-23$41.95$42.0024.4%7.0%25.1%34.0%23.7%7.6%-0.1%-9.3M71.1M-504.2K0.8245.135,1504,23520,510100,460
2019-05-24$42.28$42.0023.6%6.8%25.2%31.4%21.1%6.7%0.6%-9.1M60.4M-515.8K0.4646.572,3951,10022,655103,320
2019-05-28$42.26$42.0024.8%7.1%25.1%35.5%23.0%7.4%-0.1%-9.3M60.7M-483.1K2.1846.102,6605,80522,435103,665
2019-05-29$41.79$42.0024.3%7.0%25.2%33.8%27.3%6.5%-0.6%-10.4M76.9M-498.0K13.3549.293,17542,38021,480104,725
2019-05-30$41.89$42.0023.9%6.9%25.1%32.4%23.2%6.2%-0.0%-16.5M106.3M-602.5K6.4045.048955,73021,785141,560
2019-05-31$41.24$42.0025.8%7.4%25.5%38.9%25.7%6.7%-0.2%-18.4M139.7M-622.3K3.4147.481,9056,49522,050142,520