IGV Options History — August 2019

In August 2019, IGV traded between $41.88 and $44.55. ATM implied volatility averaged 26.8%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 2.5% (HV 20d: 24.3%). Max pain ranged from $39.80 to $45.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 18.91.

Notable Days

  • 2019-08-07: Highest Volume — 62,810 contracts
  • 2019-08-12: Largest IV spike — 35.1% change
  • 2019-08-05: Highest IV Rank — 69.0%
  • 2019-08-14: Largest Expected Move — 8.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.94$41.88$44.55$44.55$43.09
Max Pain$42.26$39.80$45.00$45.00$43.00
ATM IV26.8%22.4%34.9%24.1%24.3%
Expected Move7.3%6.4%8.4%6.9%7.0%
HV 20d24.3%12.4%28.1%12.4%26.9%
HV 60d21.7%20.0%22.7%20.8%20.0%
IV Rank40.4%25.0%69.0%31.8%31.7%
IV Percentile68.5%53.2%93.7%62.7%58.7%
Term Structure-0.6%-2.2%1.0%-1.7%-0.1%
VWIV27.6%22.1%33.8%26.5%26.2%
Skew 25d8.6%7.1%10.4%8.5%8.1%
Skew 10d14.5%11.9%16.9%16.9%14.2%
Call IV 25d21.5%18.6%25.0%21.9%20.3%
Put IV 25d30.0%25.7%35.4%30.4%28.3%
Bid-Ask Spread %52.8547.0084.6284.6249.44
Gamma HHI0.170.090.350.350.16
Net GEX-13.4M-22.0M-5.4M-17.9M-11.4M
Net DEX127.4M41.4M238.0M128.0M100.9M
Net VEX-740.6K-875.9K-573.4K-846.5K-785.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio18.911.37153.4021.2338.43
Total Volume18,676.1361,37562,81037,91034,505
Total OI178,171.818103,150253,245217,415144,040

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-08-01$44.55$45.0024.1%6.9%12.4%31.8%26.5%8.5%-1.7%-17.9M128.0M-846.5K21.2384.621,70536,20533,865183,550
2019-08-02$43.49$44.0027.0%7.7%14.9%41.9%24.7%8.0%-2.0%-18.8M155.6M-753.8K1.3780.515,5257,56534,505170,435
2019-08-05$41.88$44.0034.9%8.3%19.7%69.0%30.2%10.4%-1.9%-16.5M236.0M-713.1K5.3354.436,16532,87534,570168,385
2019-08-06$42.24$43.0033.5%8.1%19.9%64.0%28.2%9.7%-2.0%-19.2M209.5M-706.8K4.0048.382,1908,76033,955172,910
2019-08-07$42.44$43.0033.4%8.0%19.6%63.9%28.2%10.0%-2.2%-19.2M197.0M-725.0K47.5049.561,29561,51533,650179,340
2019-08-08$43.74$43.0024.1%6.6%22.8%32.2%27.9%9.2%0.2%-18.9M113.8M-728.6K3.3047.362,1857,22032,955186,035
2019-08-09$43.51$43.0024.4%6.7%22.8%33.1%29.8%8.5%-0.1%-19.8M128.9M-785.1K1.4947.552,4453,63533,345194,490
2019-08-12$42.63$41.0033.0%7.8%23.6%61.7%33.8%9.6%-1.5%-19.2M179.5M-792.1K4.9350.091,7408,58535,160196,855
2019-08-13$43.37$39.8030.9%7.4%24.5%54.3%29.7%8.8%-1.0%-22.0M138.3M-814.5K2.5647.757,54019,33535,930204,125
2019-08-14$41.94$41.0029.3%8.4%26.8%48.8%32.5%10.1%-1.8%-18.6M238.0M-875.9K2.3650.002,7506,49040,380212,865
2019-08-15$41.99$41.0029.1%8.3%26.8%48.2%29.1%9.5%-1.6%-16.8M200.2M-855.6K2.2250.233,3207,38042,175205,130
2019-08-16$42.53$41.0024.3%7.0%27.4%31.5%26.6%8.0%0.4%-9.5M161.6M-829.9K3.3152.202,8009,27043,315205,985
2019-08-19$42.82$42.0022.5%6.5%27.5%25.4%24.0%7.6%0.5%-9.3M93.5M-813.5K2.2350.558551,91024,220107,645
2019-08-20$42.85$42.0022.7%6.5%27.6%26.0%24.4%7.6%0.2%-9.5M94.9M-808.6K36.9750.3589032,90024,135108,885
2019-08-21$43.36$42.0022.4%6.4%27.1%25.0%22.1%7.1%0.3%-5.8M43.4M-586.4K2.7349.066451,76024,41580,340
2019-08-22$43.38$42.0023.0%6.6%27.1%27.0%27.3%7.7%1.0%-5.4M41.4M-573.4K153.4050.6312519,17524,74078,410
2019-08-23$42.66$42.0025.8%7.4%27.2%36.6%28.2%8.3%-0.3%-8.2M90.4M-739.8K34.3647.0059020,27525,04096,550
2019-08-26$43.07$42.0026.4%7.6%27.3%38.9%29.1%8.3%-0.6%-5.8M50.2M-583.3K2.5750.3038599025,27081,140
2019-08-27$43.14$42.0026.3%7.6%27.3%38.6%28.7%8.3%-0.4%-5.7M48.1M-582.9K8.9651.161,31011,74025,50081,135
2019-08-28$42.63$42.0024.4%7.0%27.3%31.8%25.1%8.1%0.0%-7.7M74.2M-648.5K21.3148.5891019,39526,33591,360
2019-08-29$43.35$42.0023.3%6.7%28.1%28.2%25.2%7.2%0.4%-9.3M78.7M-745.6K15.4052.9985513,16526,350110,360
2019-08-30$43.09$43.0024.3%7.0%26.9%31.7%26.2%8.1%-0.1%-11.4M100.9M-785.5K38.4349.4487533,63026,730117,310