IGV Options History — February 2020

In February 2020, IGV traded between $46.01 and $53.35. ATM implied volatility averaged 24.1%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 5.0% (HV 20d: 19.0%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 3.40.

Notable Days

  • 2020-02-27: Highest Volume — 59,170 contracts
  • 2020-02-24: Largest IV spike — 30.2% change
  • 2020-02-27: Highest IV Rank — 100.0%
  • 2020-02-28: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.99$46.01$53.35$50.39$46.01
Max Pain$48.84$48.00$50.00$49.00$50.00
ATM IV24.1%18.2%50.9%22.5%50.9%
Expected Move7.0%5.2%14.6%6.4%14.6%
HV 20d19.0%14.3%26.5%14.3%26.5%
HV 60d13.8%11.4%18.2%11.4%18.2%
IV Rank36.3%15.9%100.0%32.6%100.0%
IV Percentile56.2%25.0%100.0%77.0%100.0%
Term Structure-1.3%-10.0%1.4%-0.4%-10.0%
VWIV26.3%17.9%52.2%23.8%52.2%
Skew 25d7.8%5.4%16.8%7.0%16.8%
Skew 10d14.0%10.1%28.2%12.1%28.2%
Call IV 25d20.5%15.7%42.5%18.3%42.5%
Put IV 25d28.3%21.6%59.3%25.3%59.3%
Bid-Ask Spread %25.0615.2042.3017.0542.30
Gamma HHI0.100.090.120.090.09
Net GEX-13.1M-23.9M-6.7M-12.1M-22.9M
Net DEX46.2M-116.9M445.6M44.4M445.6M
Net VEX-1.3M-2.1M-951.9K-1.4M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.7210.581.632.88
Total Volume16,046.3162,13059,1703,75031,815
Total OI362,393.421329,030401,530336,695354,150

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$50.39$49.0022.5%6.4%14.3%32.6%23.8%7.0%-0.4%-12.1M44.4M-1.4M1.6317.051,4252,32541,565295,130
2020-02-04$51.71$49.0018.4%5.3%16.2%16.9%22.0%5.6%1.4%-8.7M-28.6M-1.2M2.5015.205,57513,95042,670296,810
2020-02-05$50.96$50.0018.8%5.4%17.5%18.2%17.9%5.4%0.8%-11.6M9.1M-1.3M5.5415.382,33012,90544,745310,340
2020-02-06$51.41$48.0018.6%5.7%17.3%17.7%20.9%6.1%-0.4%-10.7M-13.9M-1.3M1.6130.288151,31543,870314,405
2020-02-07$51.38$48.0019.5%5.9%17.3%21.0%21.0%6.7%-0.5%-11.2M-5.0M-1.3M0.8233.302,1001,72043,895314,595
2020-02-10$51.91$48.0018.7%5.7%17.5%18.0%22.2%6.3%-0.3%-9.3M-38.3M-1.2M2.2833.181,7854,07044,900314,750
2020-02-11$51.94$48.0018.5%5.6%17.3%17.1%20.6%6.6%-0.3%-8.4M-47.6M-1.1M1.7527.892,6104,56545,625314,060
2020-02-12$52.27$48.0018.7%5.4%17.3%18.0%21.4%5.7%0.3%-9.0M-65.9M-1.1M2.8520.519502,71047,440317,655
2020-02-13$52.40$48.0019.4%5.6%17.2%20.8%21.5%6.0%-0.2%-8.5M-77.3M-1.0M1.5019.724,2056,30047,535319,590
2020-02-14$52.80$48.0018.2%5.2%17.0%15.9%21.3%6.1%0.5%-8.0M-91.9M-1.0M5.4316.142,00010,86048,450324,110
2020-02-18$53.01$48.0018.8%5.4%17.0%18.5%19.5%6.4%0.3%-8.7M-93.3M-1.0M1.5216.301,2751,93547,660335,075
2020-02-19$53.35$48.0019.3%5.5%17.0%20.3%21.9%5.8%-0.0%-6.7M-116.9M-951.9K2.2819.123,8908,86548,050335,245
2020-02-20$52.76$49.0019.8%5.7%17.7%22.2%20.5%7.0%0.1%-11.9M-73.4M-1.1M2.4225.125,68013,76547,760343,415
2020-02-21$51.53$49.0022.5%6.5%20.0%32.7%22.8%8.2%-0.4%-17.6M42.0M-1.4M0.7229.828,4706,09549,200352,330
2020-02-24$50.19$50.0029.3%8.4%22.0%59.0%32.7%10.2%-2.5%-17.8M161.6M-1.6M6.3235.293,43021,67534,865294,165
2020-02-25$48.74$50.0032.3%9.3%23.9%70.6%39.8%10.6%-2.9%-20.5M244.0M-1.8M9.2026.534,94545,49036,725302,925
2020-02-26$48.83$50.0031.9%9.2%23.1%69.2%31.8%9.7%-3.7%-21.7M237.2M-1.8M2.7221.571,0402,82539,600325,235
2020-02-27$47.27$50.0041.1%11.8%25.6%100.0%46.1%12.2%-6.2%-23.9M345.5M-2.0M10.5831.485,11054,06039,670327,265
2020-02-28$46.01$50.0050.9%14.6%26.5%100.0%52.2%16.8%-10.0%-22.9M445.6M-2.1M2.8842.308,20023,61540,480313,670