IGV Options History — October 2019

In October 2019, IGV traded between $41.06 and $43.62. ATM implied volatility averaged 21.9%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.0% (HV 20d: 21.9%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 14.74.

Notable Days

  • 2019-10-30: Highest Volume — 171,445 contracts
  • 2019-10-02: Largest IV spike — 18.4% change
  • 2019-10-08: Highest IV Rank — 41.9%
  • 2019-10-02: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.41$41.06$43.62$41.96$42.96
Max Pain$43.04$42.00$44.00$42.00$43.00
ATM IV21.9%18.0%27.3%22.8%21.1%
Expected Move6.3%5.2%7.7%6.5%6.0%
HV 20d21.9%18.7%25.2%18.7%22.4%
HV 60d22.0%20.5%23.2%20.5%21.6%
IV Rank23.3%9.7%41.9%26.4%20.4%
IV Percentile42.8%11.9%69.0%50.4%41.7%
Term Structure0.5%-0.8%1.8%0.5%0.0%
VWIV24.0%19.9%28.5%22.1%22.8%
Skew 25d6.5%4.8%8.3%7.0%5.7%
Skew 10d11.4%9.4%14.8%12.0%11.3%
Call IV 25d18.8%16.1%22.6%19.6%18.7%
Put IV 25d25.4%22.1%29.7%26.6%24.4%
Bid-Ask Spread %15.277.6732.3212.6823.22
Gamma HHI0.230.120.420.160.30
Net GEX-27.0M-59.9M-7.0M-17.1M-23.9M
Net DEX147.6M11.6M399.9M120.2M86.7M
Net VEX-879.5K-1.4M-555.4K-647.7K-970.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.740.64108.552.806.80
Total Volume33,4251,585171,4454,7553,745
Total OI273,882.174167,170445,320173,975310,390

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$41.96$42.0022.8%6.5%18.7%26.4%22.1%7.0%0.5%-17.1M120.2M-647.7K2.8012.681,2503,50532,350141,625
2019-10-02$41.29$42.0027.0%7.7%18.8%40.9%25.9%7.1%-0.8%-18.8M157.5M-675.9K3.8910.153,41513,29532,655142,400
2019-10-03$41.95$43.0024.3%7.1%18.9%31.5%25.2%8.3%0.2%-15.7M110.1M-637.5K9.5510.741,51014,42033,335140,440
2019-10-04$42.76$43.0020.8%6.3%20.4%19.6%23.9%8.1%1.0%-11.5M62.1M-586.0K6.377.671,99012,67534,135133,035
2019-10-07$42.94$43.0023.3%6.6%19.4%28.1%25.6%8.2%0.3%-12.0M56.3M-579.3K6.277.771,67010,46535,445138,795
2019-10-08$42.05$43.0027.3%7.3%20.5%41.9%26.6%8.3%-0.3%-16.2M111.2M-671.7K5.8710.042,71015,89536,435147,685
2019-10-09$42.48$43.0025.4%7.3%20.5%35.5%28.5%8.0%-0.2%-13.0M80.0M-654.0K45.1310.8228012,63537,005143,650
2019-10-10$42.52$43.0022.7%6.5%20.4%25.9%27.8%7.7%0.5%-14.5M86.9M-677.8K1.889.244,0907,68536,995155,170
2019-10-11$43.43$43.0021.8%6.3%21.6%22.9%21.6%7.0%0.8%-8.5M22.9M-590.4K2.5320.632,7206,88038,790160,665
2019-10-14$43.26$44.0021.7%6.2%21.6%22.5%21.9%6.9%0.6%-9.6M39.2M-617.5K1.1017.3575583038,650170,175
2019-10-15$43.62$44.0018.0%5.2%21.7%9.7%22.7%6.0%1.8%-7.0M11.6M-555.4K8.2018.441,0308,45038,725170,375
2019-10-16$42.59$44.0019.3%5.5%23.3%14.3%24.6%6.2%1.3%-15.7M86.5M-656.1K17.6412.986,680117,83538,455177,355
2019-10-17$42.45$43.0020.6%5.9%23.2%18.6%19.9%6.2%1.2%-33.8M161.6M-942.4K7.6615.521,93014,78038,975277,895
2019-10-18$41.67$43.0020.9%6.0%24.0%19.7%23.1%6.0%0.8%-41.7M295.1M-1.0M8.8513.8610,50092,92038,770289,345
2019-10-21$41.87$43.0020.7%5.9%24.1%19.1%24.1%5.7%0.7%-42.8M258.4M-1.2M42.9011.151,04044,61534,935294,440
2019-10-22$41.06$43.0022.2%6.4%23.9%24.1%22.8%5.9%0.3%-57.6M399.9M-1.4M6.4710.312,47516,01035,105334,725
2019-10-23$41.19$43.0021.7%6.2%23.6%22.7%23.8%6.0%0.5%-59.9M394.1M-1.4M21.6612.191,82539,52535,545344,425
2019-10-24$42.17$43.0021.1%6.0%25.2%20.3%21.2%5.5%0.5%-43.8M232.1M-1.2M0.6421.668,1055,18535,940317,440
2019-10-25$42.37$43.0020.2%5.8%23.5%17.3%23.6%4.9%0.7%-40.7M191.7M-1.1M4.1120.0311,90048,85041,470320,415
2019-10-28$42.78$43.0020.1%5.8%23.3%17.0%24.1%5.3%0.2%-37.1M146.4M-1.2M13.5221.902,03027,44051,670359,485
2019-10-29$42.68$43.0021.0%6.0%23.0%20.0%25.3%5.4%-0.0%-45.4M186.2M-1.3M6.7020.491,53010,25552,130386,525
2019-10-30$43.35$43.0020.3%5.8%22.6%17.8%25.9%4.8%1.0%-34.6M98.4M-1.1M108.5532.321,565169,88052,735392,585
2019-10-31$42.96$43.0021.1%6.0%22.4%20.4%22.8%5.7%0.0%-23.9M86.7M-970.4K6.8023.224803,26552,975257,415