IGV Options History — September 2019

In September 2019, IGV traded between $41.87 and $43.96. ATM implied volatility averaged 20.6%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.8% (HV 20d: 18.8%). Max pain ranged from $42.00 to $43.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.54.

Notable Days

  • 2019-09-11: Highest Volume — 48,780 contracts
  • 2019-09-05: Largest IV drop — 19.1% change
  • 2019-09-03: Highest IV Rank — 35.7%
  • 2019-09-03: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.00$41.87$43.96$42.79$42.40
Max Pain$42.90$42.00$43.00$43.00$42.00
ATM IV20.6%17.5%25.5%25.5%22.0%
Expected Move6.0%5.3%7.3%7.3%6.3%
HV 20d18.8%15.3%23.9%23.2%18.5%
HV 60d20.0%19.4%20.6%19.8%20.4%
IV Rank18.7%8.1%35.7%35.7%23.6%
IV Percentile34.3%9.5%63.5%63.5%45.2%
Term Structure0.9%-0.5%1.7%-0.5%0.6%
VWIV23.2%21.0%27.7%27.7%21.6%
Skew 25d6.5%5.4%8.4%8.4%6.6%
Skew 10d11.8%9.6%14.6%14.6%11.4%
Call IV 25d17.8%15.7%22.0%22.0%18.0%
Put IV 25d24.3%21.8%30.4%30.4%24.6%
Bid-Ask Spread %18.299.5656.0251.7416.10
Gamma HHI0.200.110.330.210.15
Net GEX-18.3M-28.4M-9.7M-17.3M-15.1M
Net DEX102.2M45.5M194.9M163.8M93.8M
Net VEX-701.6K-962.5K-527.6K-939.1K-623.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.540.6218.550.621.09
Total Volume11,211.251,62048,7803,5902,315
Total OI170,327124,030217,795172,595171,090

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$42.79$43.0025.5%7.3%23.2%35.7%27.7%8.4%-0.5%-17.3M163.8M-939.1K0.6251.742,2201,37026,950145,645
2019-09-04$43.32$43.0023.9%6.9%23.4%30.2%23.7%7.5%-0.1%-16.8M128.2M-904.4K0.7856.021,9051,49028,375145,745
2019-09-05$43.96$42.0019.4%5.9%23.9%14.4%26.0%7.3%0.9%-15.4M89.0M-839.2K11.8610.881,85522,00528,945146,110
2019-09-06$43.79$43.0017.5%5.5%21.4%8.1%23.6%6.7%1.1%-19.1M105.5M-889.8K2.0011.285401,08029,700166,695
2019-09-09$42.98$43.0019.6%5.8%22.4%15.1%22.5%7.1%1.0%-24.5M157.7M-920.4K5.9310.671,85010,97029,785167,485
2019-09-10$42.56$43.0021.4%6.2%21.4%21.5%27.0%7.9%0.4%-27.2M194.9M-962.5K4.009.564,20016,81030,735174,630
2019-09-11$43.00$43.0019.6%5.6%20.8%15.4%24.7%6.3%0.9%-28.4M160.9M-939.5K18.5512.432,49546,28530,465187,330
2019-09-12$43.16$43.0018.8%5.4%16.8%12.4%21.6%6.3%0.9%-20.3M83.0M-622.6K3.8213.821,5005,72530,660142,170
2019-09-13$42.77$43.0018.6%5.3%17.2%11.8%21.4%6.2%1.1%-24.7M114.7M-661.6K2.7611.567602,10030,390146,645
2019-09-16$42.96$43.0020.4%5.8%16.7%17.9%21.2%6.1%0.6%-22.6M98.3M-623.5K1.4915.231,2001,79030,690146,865
2019-09-17$43.25$43.0020.4%5.9%16.7%18.1%22.6%6.0%1.0%-20.9M78.9M-592.4K3.0315.467652,31530,400147,540
2019-09-18$43.10$43.0019.6%5.6%16.8%15.4%22.9%5.9%1.2%-23.9M83.9M-581.8K2.6815.251,2353,30530,620146,590
2019-09-19$43.42$43.0019.5%5.6%16.4%14.9%21.0%5.5%1.3%-19.4M52.1M-538.5K4.1021.331,1154,57531,275146,230
2019-09-20$43.30$43.0020.6%5.9%16.5%18.7%22.2%6.2%1.2%-15.0M45.5M-549.5K2.5017.073,2708,19031,210149,110
2019-09-23$43.28$43.0020.3%5.8%15.3%17.9%21.9%6.0%0.9%-9.7M59.7M-527.6K4.2216.821,0454,40523,770100,260
2019-09-24$42.38$43.0022.8%6.5%16.7%26.4%22.7%6.5%0.5%-12.2M94.9M-587.5K1.2114.663,0153,65526,115104,480
2019-09-25$42.83$43.0019.5%5.6%17.2%14.8%21.6%5.5%1.7%-10.5M68.2M-558.8K3.3516.311,4854,97028,525103,145
2019-09-26$42.97$43.0020.1%5.8%16.6%16.8%22.5%5.4%1.7%-10.2M62.0M-558.9K5.0718.697453,78029,135104,390
2019-09-27$41.87$43.0022.5%6.4%17.9%25.3%26.6%6.4%0.7%-12.7M109.9M-610.6K11.8010.953,58542,30529,810106,830
2019-09-30$42.40$42.0022.0%6.3%18.5%23.6%21.6%6.6%0.6%-15.1M93.8M-623.1K1.0916.101,1051,21031,825139,265