IGV Options History — November 2019

In November 2019, IGV traded between $43.41 and $46.45. ATM implied volatility averaged 19.0%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.1% (HV 20d: 14.9%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 6.77.

Notable Days

  • 2019-11-05: Highest Volume — 128,970 contracts
  • 2019-11-11: Largest IV spike — 17.0% change
  • 2019-11-06: Highest IV Rank — 22.7%
  • 2019-11-06: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.79$43.41$46.45$43.43$46.39
Max Pain$43.40$43.00$44.00$43.00$44.00
ATM IV19.0%17.0%21.8%20.0%18.2%
Expected Move5.5%4.9%6.1%5.7%5.2%
HV 20d14.9%7.6%21.7%21.7%7.6%
HV 60d18.8%17.6%20.9%20.9%17.6%
IV Rank13.2%6.1%22.7%16.7%10.3%
IV Percentile22.9%6.3%50.0%29.8%15.5%
Term Structure0.4%-0.3%1.0%0.7%0.7%
VWIV20.9%17.3%24.9%23.0%18.7%
Skew 25d5.6%4.7%6.5%4.7%5.4%
Skew 10d10.6%8.6%11.8%9.1%10.0%
Call IV 25d16.5%14.3%18.1%17.1%15.3%
Put IV 25d22.1%19.0%24.3%21.8%20.7%
Bid-Ask Spread %23.1112.6440.8523.2421.81
Gamma HHI0.190.110.300.280.14
Net GEX-10.6M-28.4M1.5M-18.9M1.5M
Net DEX-19.4M-99.3M59.2M33.0M-99.3M
Net VEX-798.3K-1.1M-701.4K-857.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.770.2122.616.081.74
Total Volume18,728.75740128,97010,160740
Total OI299,810.5199,540407,620312,745258,440

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$43.43$43.0020.0%5.7%21.7%16.7%23.0%4.7%0.7%-18.9M33.0M-857.4K6.0823.241,4358,72553,040259,705
2019-11-04$43.41$43.0021.0%6.0%21.7%20.2%21.1%5.9%-0.3%-17.6M23.7M-802.9K2.8114.731,7304,85553,275262,460
2019-11-05$43.63$43.0020.6%5.8%20.1%18.6%24.8%6.2%0.0%-16.2M14.7M-801.9K20.7112.645,940123,03053,930263,930
2019-11-06$43.50$43.0021.8%6.1%20.0%22.7%22.8%6.0%-0.2%-28.4M59.2M-925.7K3.0915.071,0603,28057,005304,400
2019-11-07$43.56$43.0018.6%5.7%20.0%11.6%23.8%5.2%0.0%-25.7M35.4M-861.7K5.8320.723,44020,07058,155303,410
2019-11-08$43.92$43.0017.7%5.7%18.7%8.8%19.5%5.9%0.1%-21.4M5.2M-874.4K0.3416.123,3451,13559,385321,025
2019-11-11$43.97$43.0020.8%5.7%18.6%19.3%23.2%5.8%0.0%-18.4M-11.0M-807.8K5.0616.941,9459,84060,580321,630
2019-11-12$44.25$43.0020.2%5.7%18.5%17.3%24.9%6.0%0.2%-10.3M-48.8M-751.4K22.6117.082,11547,81060,110324,680
2019-11-13$44.37$43.0020.3%5.8%16.1%17.6%20.8%5.9%0.1%-11.8M-37.3M-762.2K0.3713.823,1801,17560,470338,430
2019-11-14$44.46$43.0020.2%5.8%16.0%17.5%20.5%6.1%0.2%-6.3M-65.4M-734.8K11.5017.2597011,15561,325336,200
2019-11-15$44.86$43.0017.8%5.1%14.1%9.0%19.0%5.0%0.8%-14.1M-80.6M-762.8K1.0821.217,0207,61561,070346,550
2019-11-18$45.04$43.0017.9%5.1%14.1%9.4%18.0%5.3%0.9%-3.8M-11.4M-745.1K6.1919.841,0756,65039,850159,690
2019-11-19$45.59$44.0017.2%4.9%11.4%7.0%20.7%5.4%0.9%-3.6M-22.2M-743.6K3.4529.131,8906,52040,810164,195
2019-11-20$45.73$44.0018.3%5.2%11.4%10.7%19.4%6.0%0.6%-3.7M-22.1M-755.2K2.0830.512,2704,72540,800164,955
2019-11-21$45.52$44.0018.4%5.3%9.7%11.1%23.9%6.5%0.7%-4.0M-14.7M-766.4K22.4933.412655,96041,430166,710
2019-11-22$45.48$44.0019.7%5.6%9.8%15.5%19.3%6.3%0.6%-3.6M-17.1M-757.3K2.8037.975,51515,46041,505169,340
2019-11-25$45.97$44.0017.0%4.9%9.9%6.1%18.8%5.4%1.0%-3.2M-31.3M-775.8K2.2640.851,1502,59546,810183,080
2019-11-26$46.26$44.0017.0%4.9%9.7%6.3%18.3%5.3%1.0%-2.1M-44.5M-715.2K14.6433.531,00014,64546,550183,220
2019-11-27$46.45$44.0017.6%5.0%8.7%8.3%17.3%4.7%0.7%-1.3M-53.6M-701.4K0.2126.3227,3805,86546,895181,165
2019-11-29$46.39$44.0018.2%5.2%7.6%10.3%18.7%5.4%0.7%1.5M-99.3M-1.1M1.7421.8127047073,175185,265