IGV Options History — January 2020

In January 2020, IGV traded between $47.32 and $50.57. ATM implied volatility averaged 18.4%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 7.9% (HV 20d: 10.4%). Max pain ranged from $46.00 to $49.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 4.80.

Notable Days

  • 2020-01-30: Highest Volume — 40,355 contracts
  • 2020-01-13: Largest IV spike — 34.6% change
  • 2020-01-27: Highest IV Rank — 35.3%
  • 2020-01-27: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.28$47.32$50.57$47.32$49.69
Max Pain$47.81$46.00$49.00$46.00$49.00
ATM IV18.4%14.9%23.2%18.0%22.0%
Expected Move5.3%4.7%6.6%5.2%6.3%
HV 20d10.4%9.4%13.7%9.5%13.7%
HV 60d11.9%9.9%14.7%14.7%11.1%
IV Rank16.7%3.3%35.3%15.3%30.7%
IV Percentile28.3%1.2%80.6%19.4%73.0%
Term Structure1.0%-0.3%1.9%0.3%0.3%
VWIV20.1%17.9%25.3%18.3%23.6%
Skew 25d5.5%4.1%7.3%4.8%7.2%
Skew 10d10.5%7.8%13.1%9.4%12.1%
Call IV 25d16.0%14.8%19.3%15.1%19.3%
Put IV 25d21.5%19.1%26.5%19.9%26.5%
Bid-Ask Spread %28.498.4985.8710.3785.87
Gamma HHI0.120.090.180.140.09
Net GEX-8.8M-14.4M-3.3M-12.5M-14.4M
Net DEX15.5M-44.0M106.5M41.0M92.9M
Net VEX-1.3M-1.7M-925.9K-1.1M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.801.1517.2311.442.11
Total Volume15,986.194,14040,3558,9558,155
Total OI333,432.857293,770409,220293,770335,040

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$47.32$46.0018.0%5.2%9.5%15.3%18.3%4.8%0.3%-12.5M41.0M-1.1M11.4410.377208,23541,280252,490
2020-01-03$47.33$46.0018.8%5.4%9.4%18.4%20.9%4.8%0.5%-12.6M43.6M-1.2M3.068.491,0203,12041,540257,740
2020-01-06$47.79$46.0017.5%5.2%9.7%13.4%20.7%6.2%1.2%-9.7M19.1M-1.1M3.6143.571,9807,14041,370257,410
2020-01-07$48.04$46.0017.4%5.3%9.8%13.1%21.4%6.2%1.3%-7.2M-2.8M-994.0K3.7641.533,63013,64042,490255,505
2020-01-08$48.59$46.0015.7%4.8%10.0%6.4%21.3%5.5%1.6%-5.0M-30.5M-959.7K2.2645.032,6756,04043,530262,855
2020-01-09$48.87$46.0015.9%4.9%9.5%7.1%19.0%5.8%1.3%-4.5M-41.2M-925.9K1.1547.916,5857,57544,370264,425
2020-01-10$48.80$47.0014.9%4.9%9.6%3.3%19.5%5.4%1.9%-4.3M-44.0M-974.6K17.2356.191,90032,74548,465270,395
2020-01-13$49.34$48.0020.1%5.5%9.9%23.2%18.7%5.6%1.6%-8.2M-8.0M-1.1M7.6051.151,46511,14048,545297,695
2020-01-14$49.29$48.0018.8%5.2%9.9%18.5%18.9%5.3%1.1%-8.7M2.1M-1.2M2.0929.8312,83526,81048,565305,765
2020-01-15$49.26$48.0018.1%5.2%9.8%15.7%18.6%5.3%1.1%-8.2M-1.0M-1.3M2.8619.667,08020,25560,235318,580
2020-01-16$49.82$48.0016.5%4.7%9.7%9.6%17.9%4.1%1.4%-9.7M-16.8M-1.3M2.0915.065,63011,75060,585333,805
2020-01-17$49.95$48.0016.8%4.8%9.6%10.5%18.7%4.3%1.8%-3.3M-34.3M-1.4M3.6718.463,30012,10567,330341,890
2020-01-21$50.22$49.0018.0%5.2%9.6%15.3%18.5%4.7%0.8%-8.0M13.2M-1.3M4.728.711,9359,13545,715268,715
2020-01-22$50.19$49.0017.7%5.1%9.7%14.1%18.1%4.5%1.1%-8.3M21.9M-1.4M4.6211.062,71012,51046,735275,650
2020-01-23$50.41$49.0017.6%5.1%9.7%13.9%19.0%4.9%1.3%-9.0M21.0M-1.4M5.1312.901,5057,72547,010281,375
2020-01-24$49.99$49.0019.0%5.5%10.5%19.2%19.3%5.6%0.9%-9.9M44.3M-1.5M2.8514.613,1458,95547,885281,735
2020-01-27$49.30$49.0023.2%6.6%12.1%35.3%24.0%7.3%-0.3%-13.0M106.5M-1.7M3.0433.042,1556,55549,550287,275
2020-01-28$50.12$49.0020.6%5.9%13.1%25.4%20.5%6.3%0.3%-9.5M43.3M-1.5M1.5816.724,1356,53050,035285,700
2020-01-29$50.08$49.0020.4%5.8%12.2%24.6%25.3%6.1%0.4%-9.4M36.8M-1.5M14.4714.3170010,13052,285290,465
2020-01-30$50.57$49.0018.5%5.3%12.3%17.2%21.0%6.5%1.1%-9.3M17.5M-1.5M1.4713.7816,36023,99552,560297,500
2020-01-31$49.69$49.0022.0%6.3%13.7%30.7%23.6%7.2%0.3%-14.4M92.9M-1.6M2.1185.872,6255,53041,565293,475