IGV Options History — June 2019

In June 2019, IGV traded between $39.81 and $44.43. ATM implied volatility averaged 22.2%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.9% (HV 20d: 26.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 2.36.

Notable Days

  • 2019-06-05: Highest Volume — 24,390 contracts
  • 2019-06-04: Largest IV drop — 13.0% change
  • 2019-06-03: Highest IV Rank — 45.9%
  • 2019-06-03: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.81$39.81$44.43$39.81$43.60
Max Pain$42.15$41.00$43.00$42.00$43.00
ATM IV22.2%20.7%27.9%27.9%21.1%
Expected Move6.3%5.9%8.0%8.0%6.1%
HV 20d26.1%22.8%30.4%27.4%23.5%
HV 60d21.2%20.3%21.6%20.3%21.4%
IV Rank25.7%20.2%45.9%45.9%21.9%
IV Percentile54.0%44.4%74.6%74.6%47.6%
Term Structure-0.1%-1.6%0.4%-1.2%0.1%
VWIV22.8%20.2%27.1%27.1%22.5%
Skew 25d5.8%1.2%6.7%6.0%5.9%
Skew 10d10.5%5.7%12.7%9.0%12.7%
Call IV 25d19.5%17.6%25.1%25.1%19.4%
Put IV 25d25.4%21.2%31.0%31.0%25.3%
Bid-Ask Spread %49.5640.2885.4447.6756.92
Gamma HHI0.140.080.200.150.08
Net GEX-9.5M-20.2M1.0M-20.2M-1.5M
Net DEX31.2M-59.6M217.6M217.6M-8.4M
Net VEX-428.9K-600.3K-273.6K-586.1K-347.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.360.308.271.771.04
Total Volume10,087.2569524,39011,7953,250
Total OI169,428.25110,680194,600164,060115,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-06-03$39.81$42.0027.9%8.0%27.4%45.9%27.1%6.0%-1.2%-20.2M217.6M-586.1K1.7747.674,2657,53022,385141,675
2019-06-04$41.06$42.0024.3%7.0%30.2%33.7%25.0%5.7%-0.3%-20.1M135.8M-557.5K1.9448.906,87013,30523,805141,490
2019-06-05$41.78$42.0023.1%6.6%29.8%29.7%24.6%5.7%0.1%-19.0M102.4M-600.3K8.2748.042,63021,76024,670157,640
2019-06-06$42.15$42.0022.3%6.5%29.8%25.9%23.0%6.4%-0.1%-17.4M75.0M-548.4K5.6644.803,18518,03524,515158,380
2019-06-07$42.79$42.0021.3%6.1%30.3%22.3%24.7%6.5%0.2%-13.3M40.3M-503.0K5.7740.283,34019,27525,105158,345
2019-06-10$43.05$41.0022.9%6.2%30.4%27.9%23.9%5.8%0.2%-11.2M19.6M-439.8K0.3140.632,87089525,370158,885
2019-06-11$42.57$41.0021.7%6.0%27.3%23.7%21.5%6.3%0.3%-14.0M36.2M-450.2K0.5742.113,7202,12026,965159,525
2019-06-12$42.65$42.0021.7%6.2%26.1%23.8%21.7%6.6%0.1%-13.3M32.6M-467.0K0.6341.203,8152,39529,040160,980
2019-06-13$42.75$42.0021.3%6.1%25.9%22.5%21.3%6.4%0.2%-12.2M22.3M-443.8K0.6743.062,8651,92029,485161,710
2019-06-14$42.54$42.0020.7%5.9%24.9%20.4%23.0%6.2%0.3%-14.1M29.8M-428.2K1.2146.823,3204,00529,395161,775
2019-06-17$42.60$42.0020.8%6.0%24.6%20.9%20.2%6.7%0.4%-12.5M22.4M-389.6K0.6448.0042527029,090163,250
2019-06-18$43.02$42.0021.4%6.1%24.1%22.7%20.4%5.7%0.2%-7.0M-6.3M-343.9K1.0744.501,6101,72029,280163,575
2019-06-19$43.68$42.0021.3%6.1%24.4%22.4%21.6%1.2%-1.6%-3.0M-30.2M-294.7K0.9985.441,2251,21029,425164,195
2019-06-20$44.43$42.0020.7%5.9%25.0%20.2%20.4%5.5%0.3%457.5K-59.6M-273.6K0.6652.354,7853,13529,290164,495
2019-06-21$44.20$42.0020.7%5.9%22.8%20.3%20.6%5.9%0.1%1.0M-48.4M-289.1K0.3058.4412,7903,77528,650165,950
2019-06-24$43.96$43.0021.1%6.0%22.9%21.6%21.2%5.4%0.2%-536.7K-15.6M-328.2K5.0857.262,02010,26024,43086,250
2019-06-25$42.97$43.0023.2%6.6%24.5%28.7%23.6%6.2%-0.5%-4.0M22.2M-429.2K1.7844.953,0305,40025,78596,410
2019-06-26$43.02$43.0023.3%6.7%24.1%29.1%24.2%6.3%-0.3%-4.3M23.7M-435.3K1.8749.911,7903,34526,87598,805
2019-06-27$43.49$43.0023.3%6.7%24.4%29.3%24.5%6.0%-0.8%-3.8M13.1M-422.9K6.9249.921,71511,87026,80099,050
2019-06-28$43.60$43.0021.1%6.1%23.5%21.9%22.5%5.9%0.1%-1.5M-8.4M-347.0K1.0456.921,5901,66026,46089,360