IGV Options History — July 2019

In July 2019, IGV traded between $44.33 and $46.06. ATM implied volatility averaged 17.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.1% (HV 20d: 14.6%). Max pain ranged from $41.00 to $45.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 5.14.

Notable Days

  • 2019-07-26: Highest Volume — 31,980 contracts
  • 2019-07-29: Largest IV spike — 17.8% change
  • 2019-07-31: Highest IV Rank — 19.0%
  • 2019-07-31: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.25$44.33$46.06$44.33$44.61
Max Pain$43.23$41.00$45.00$43.00$45.00
ATM IV17.6%15.8%20.3%19.4%20.3%
Expected Move5.1%4.6%5.8%5.6%5.8%
HV 20d14.6%11.5%19.2%19.2%13.1%
HV 60d21.2%21.0%21.5%21.2%21.5%
IV Rank9.8%3.7%19.0%15.9%19.0%
IV Percentile15.7%1.6%42.9%32.9%42.9%
Term Structure1.4%0.1%2.6%0.8%0.7%
VWIV19.3%17.2%24.4%19.1%22.3%
Skew 25d5.5%4.3%6.8%4.8%6.8%
Skew 10d10.5%7.7%13.1%9.3%13.1%
Call IV 25d15.5%14.2%18.9%16.8%18.9%
Put IV 25d21.0%19.2%25.7%21.6%25.7%
Bid-Ask Spread %84.9773.1792.7177.3391.81
Gamma HHI0.220.080.410.080.39
Net GEX-3.0M-19.6M3.9M245.2K-19.6M
Net DEX-14.2M-63.4M120.8M-29.7M120.8M
Net VEX-384.7K-856.6K-229.2K-290.6K-856.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.140.2524.470.408.60
Total Volume10,983.4091,11031,9802,85519,675
Total OI147,189.091115,880217,135116,075217,135

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-07-01$44.33$43.0019.4%5.6%19.2%15.9%19.1%4.8%0.8%245.2K-29.7M-290.6K0.4077.332,03582026,69089,385
2019-07-02$44.54$43.0016.2%4.6%16.6%5.0%17.2%4.5%1.7%487.1K-32.8M-280.1K0.5382.801,56083026,17089,710
2019-07-03$45.05$43.0016.8%4.8%16.1%6.9%17.5%4.3%1.4%1.6M-44.6M-267.6K0.3082.563,14593527,06590,090
2019-07-05$44.98$41.0015.8%5.1%16.1%3.7%18.9%5.2%1.6%2.1M-46.2M-268.3K0.7273.172,1851,56528,38590,310
2019-07-08$44.81$41.0016.8%5.2%15.7%7.1%20.2%6.0%1.3%2.0M-43.6M-264.8K1.1575.0469580029,63590,960
2019-07-09$45.02$41.0016.8%5.2%15.6%7.0%18.2%5.9%1.6%2.5M-47.7M-261.0K1.0973.651,0251,11529,61091,150
2019-07-10$45.42$41.0017.6%5.1%15.0%9.8%17.3%5.2%2.0%3.3M-58.8M-229.2K0.2582.267,5301,88029,20591,525
2019-07-11$45.63$41.0016.2%4.6%15.0%5.0%18.1%5.5%2.4%3.9M-63.4M-255.5K0.3684.576,3052,24534,06592,520
2019-07-12$45.79$43.0016.2%4.6%15.0%4.9%20.3%5.4%2.6%3.7M-63.2M-281.9K1.8686.236,68512,40534,58593,660
2019-07-15$45.79$44.0016.4%4.7%14.7%5.8%18.5%5.4%2.3%2.0M-55.7M-295.4K0.4686.8576035034,225104,545
2019-07-16$45.28$44.0017.8%5.1%15.6%10.4%19.3%5.5%2.0%1.1M-40.5M-303.5K4.0585.152,2309,04034,100104,595
2019-07-17$45.44$44.0019.1%5.5%15.4%14.8%20.9%6.1%1.2%-934.2K-35.4M-340.1K10.0385.029159,18034,050113,070
2019-07-18$45.32$44.0018.7%5.4%14.8%13.6%20.7%5.8%1.5%-3.3M-21.3M-377.1K16.7182.8763510,61034,325121,280
2019-07-19$45.01$44.0017.9%5.1%13.9%11.0%18.2%6.0%2.4%-1.1M2.9M-413.2K0.4686.327,2503,33534,325131,945
2019-07-22$45.21$44.0018.4%5.3%13.8%12.4%19.4%5.7%0.8%-7.9M12.6M-404.7K2.2887.627501,71030,315121,335
2019-07-23$45.11$44.0017.3%5.0%13.6%8.7%18.8%5.4%1.0%-8.5M18.1M-407.9K2.4286.781,9454,70530,270122,795
2019-07-24$45.88$44.0016.5%4.7%11.5%5.9%17.3%4.7%1.1%-5.3M-10.3M-405.1K2.4991.681,6654,14031,475127,270
2019-07-25$45.60$44.0017.1%4.9%11.9%8.1%18.0%5.5%0.9%-7.1M1.5M-417.3K17.0691.611,63027,81031,150128,395
2019-07-26$46.06$44.0016.7%4.8%11.9%6.8%18.8%5.3%1.3%-7.9M14.1M-587.3K11.2892.162,60529,37531,045152,965
2019-07-29$45.42$44.0019.7%5.7%13.3%17.0%21.8%5.9%0.1%-11.4M44.2M-606.3K6.1591.132,36014,50531,060154,630
2019-07-30$45.12$45.0019.8%5.7%12.5%17.3%24.4%5.7%0.1%-15.0M66.5M-649.6K24.4792.711,20529,49032,160164,980
2019-07-31$44.61$45.0020.3%5.8%13.1%19.0%22.3%6.8%0.7%-19.6M120.8M-856.6K8.6091.812,05017,62532,550184,585