IGV Options History — December 2019

In December 2019, IGV traded between $45.18 and $46.97. ATM implied volatility averaged 17.4%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 7.2% (HV 20d: 10.2%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 10.62.

Notable Days

  • 2019-12-26: Highest Volume — 66,120 contracts
  • 2019-12-09: Largest IV spike — 30.7% change
  • 2019-12-03: Highest IV Rank — 26.4%
  • 2019-12-03: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.01$45.18$46.97$45.60$46.56
Max Pain$44.76$43.00$46.00$44.00$46.00
ATM IV17.4%14.0%22.8%19.1%16.4%
Expected Move5.0%4.0%6.5%5.5%4.7%
HV 20d10.2%8.0%11.0%10.2%8.0%
HV 60d16.6%14.4%18.0%18.0%14.4%
IV Rank9.1%0.0%26.4%13.4%9.1%
IV Percentile16.4%0.0%64.7%23.8%6.7%
Term Structure1.4%-0.7%2.4%0.2%1.7%
VWIV19.3%15.1%26.9%24.5%18.7%
Skew 25d5.8%4.5%7.5%7.2%5.1%
Skew 10d10.9%8.2%14.7%13.9%9.8%
Call IV 25d14.8%12.7%18.3%17.3%15.1%
Put IV 25d20.6%17.3%25.8%24.5%20.3%
Bid-Ask Spread %27.9011.9843.6035.3412.16
Gamma HHI0.140.110.170.120.14
Net GEX-2.9M-16.6M1.5M-978.2K-16.6M
Net DEX-47.1M-108.7M82.0M-52.2M81.1M
Net VEX-1.1M-1.4M-982.0K-1.1M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.620.4275.376.5075.37
Total Volume15,05093066,12015,52011,455
Total OI281,940.238232,190320,405258,610290,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$45.60$44.0019.1%5.5%10.2%13.4%24.5%7.2%0.2%-978.2K-52.2M-1.1M6.5035.342,07013,45073,190185,420
2019-12-03$45.45$44.0022.8%6.5%10.4%26.4%26.9%7.5%-0.7%-2.9M-39.9M-1.1M10.2933.761,69517,44073,865195,780
2019-12-04$45.34$44.0020.5%5.9%10.4%18.3%21.9%6.3%0.2%-641.6K-49.1M-1.1M2.8642.892,1406,12574,615188,380
2019-12-05$45.37$43.0020.0%5.8%10.3%16.6%18.3%6.8%1.1%-544.8K-51.5M-1.1M2.1033.502,3604,95576,310192,915
2019-12-06$45.56$44.0015.8%4.9%10.3%1.9%20.8%6.5%1.7%1.1M-73.5M-1.1M1.5639.896651,03578,355195,860
2019-12-09$45.41$44.0020.6%5.6%10.2%18.8%20.9%6.8%0.8%748.5K-65.9M-1.0M1.1641.141,1051,28578,660196,450
2019-12-10$45.18$44.0020.3%5.6%10.5%17.8%17.7%6.9%0.9%-320.7K-51.2M-1.1M1.0540.5966069078,260196,640
2019-12-11$45.18$44.0019.1%5.5%10.3%13.5%22.8%6.6%1.0%264.4K-54.2M-1.0M15.0443.601,64524,73578,605196,850
2019-12-12$45.37$44.0018.6%5.3%10.4%11.8%20.4%7.0%1.1%-2.7M-49.0M-1.1M39.9538.2467026,76578,970217,775
2019-12-13$45.77$44.0016.1%4.6%10.7%3.0%18.3%6.2%1.9%-2.0M-71.5M-1.1M7.1339.431,0657,59578,860233,245
2019-12-16$46.20$45.0015.9%4.6%10.7%2.3%18.5%5.1%1.8%1.5M-86.2M-1.0M1.8328.652,8255,17073,550233,800
2019-12-17$45.95$45.0015.0%4.3%11.0%0.0%15.3%5.0%2.3%-584.3K-68.5M-1.0M0.5830.212,1801,26573,850236,970
2019-12-18$46.24$45.0015.6%4.5%10.4%2.1%20.6%5.0%2.0%-1.1M-83.8M-1.0M9.9924.042,70527,02574,830238,445
2019-12-19$46.45$45.0015.8%4.5%10.4%2.8%16.5%4.9%1.8%-1.7M-89.0M-1.0M5.3221.141,3056,94075,005244,095
2019-12-20$46.73$45.0014.0%4.0%10.4%0.0%15.1%4.5%2.4%-719.2K-108.7M-1.0M0.5914.702,0451,21575,795244,610
2019-12-23$46.77$46.0014.5%4.2%10.3%1.4%17.0%4.8%2.1%-3.3M-53.6M-982.0K15.6612.964256,65557,785174,405
2019-12-24$46.71$46.0014.1%4.0%9.8%0.1%18.3%4.8%2.4%-4.1M-46.0M-1.0M1.7815.7433559557,830180,315
2019-12-26$46.91$46.0015.3%4.4%9.6%4.4%16.8%4.6%1.8%-3.5M-53.5M-993.9K17.2412.593,62562,49557,955180,370
2019-12-27$46.97$46.0016.1%4.6%9.5%7.2%16.6%4.8%1.8%-8.6M-4.3M-1.4M0.4213.2633,10013,74060,435237,055
2019-12-30$46.48$46.0019.0%5.4%10.3%19.2%19.4%5.3%1.0%-15.3M82.0M-1.2M6.5311.981,70011,10040,140243,900
2019-12-31$46.56$46.0016.4%4.7%8.0%9.1%18.7%5.1%1.7%-16.6M81.1M-1.2M75.3712.1615011,30541,275249,325