IGV Options History — March 2020

In March 2020, IGV traded between $36.98 and $48.40. ATM implied volatility averaged 58.8%, placing in the 80.2% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 4.3% (HV 20d: 54.5%). Max pain ranged from $43.00 to $50.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 2.97.

Notable Days

  • 2020-03-06: Highest Volume — 75,385 contracts
  • 2020-03-05: Largest IV spike — 33.6% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.09$36.98$48.40$48.02$41.99
Max Pain$45.55$43.00$50.00$50.00$45.00
ATM IV58.8%36.7%84.2%39.7%53.1%
Expected Move16.4%10.5%24.1%11.4%15.2%
HV 20d54.5%30.7%74.3%30.9%72.4%
HV 60d35.0%20.1%45.8%20.1%45.8%
IV Rank80.2%55.6%100.0%69.6%55.6%
IV Percentile98.4%94.0%100.0%98.8%94.0%
Term Structure-6.7%-10.4%-2.8%-5.5%-5.5%
VWIV57.6%39.3%88.4%40.3%48.3%
Skew 25d18.8%13.6%26.8%15.6%16.5%
Skew 10d32.5%24.1%52.1%26.1%28.2%
Call IV 25d47.3%29.2%68.9%31.9%45.2%
Put IV 25d66.1%42.8%95.7%47.5%61.7%
Bid-Ask Spread %48.8218.9473.9529.4773.95
Gamma HHI0.100.070.140.090.11
Net GEX-16.6M-27.0M-8.0M-22.4M-9.3M
Net DEX544.9M282.5M821.0M318.7M367.0M
Net VEX-1.9M-2.0M-1.6M-1.9M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.0517.351.624.10
Total Volume21,865.4551,13075,3859,50016,790
Total OI392,740.909351,670467,710359,520353,375

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$48.02$50.0039.7%11.4%30.9%69.6%40.3%15.6%-5.5%-22.4M318.7M-1.9M1.6229.473,6255,87545,540313,980
2020-03-03$47.19$50.0043.3%12.4%30.8%79.3%46.9%16.2%-7.2%-24.1M383.8M-2.0M5.4625.073,04516,61545,020314,810
2020-03-04$48.40$50.0036.7%10.5%30.7%61.4%39.3%13.6%-3.9%-21.8M282.5M-1.9M0.2019.335,4301,06046,860314,265
2020-03-05$47.19$43.0049.0%11.9%31.5%94.8%43.2%16.3%-2.8%-21.7M367.9M-2.0M0.6018.943,1101,85549,240313,445
2020-03-06$45.49$43.0052.6%13.1%33.2%100.0%45.4%15.8%-4.2%-23.9M486.6M-2.0M3.4330.3117,03058,35551,235314,735
2020-03-09$42.87$45.0060.1%15.2%38.1%100.0%47.4%16.7%-5.2%-25.8M670.5M-2.0M2.2323.365,49512,25557,120342,300
2020-03-10$44.25$45.0057.9%14.0%40.2%95.1%50.3%15.8%-4.3%-27.0M585.5M-2.0M3.7325.163,62513,51055,585339,530
2020-03-11$42.27$45.0052.8%15.1%42.2%84.1%49.3%17.5%-4.8%-25.7M706.6M-2.0M0.2559.1253,52513,24554,785344,745
2020-03-12$38.93$45.0066.1%18.9%48.8%100.0%62.5%22.9%-8.3%-15.7M821.0M-2.0M3.0933.8314,56044,965107,020348,215
2020-03-13$40.61$45.0055.9%16.0%52.5%80.5%52.5%22.4%-4.1%-18.1M735.3M-2.0M1.4541.462,7253,960110,935330,035
2020-03-16$37.84$46.0073.2%21.0%55.8%100.0%77.7%26.1%-9.1%-13.0M810.9M-1.7M17.3567.962,81048,765110,805330,120
2020-03-17$39.44$46.0069.3%19.9%59.0%93.4%75.9%20.8%-5.5%-16.3M739.8M-1.9M2.0634.594,88010,035111,480338,380
2020-03-18$36.98$46.0084.2%24.1%61.0%100.0%88.4%26.8%-9.2%-11.1M817.2M-1.7M10.2459.323,89539,875111,760334,385
2020-03-19$39.48$45.0070.7%20.3%67.9%80.8%78.8%21.6%-8.2%-16.2M739.6M-1.9M4.3272.293,93517,000111,890348,850
2020-03-20$38.28$45.0066.4%19.0%68.1%74.7%61.2%22.5%-7.2%-17.7M820.8M-1.7M1.0663.7810,08010,695114,405353,305
2020-03-23$38.11$45.0064.4%18.5%68.0%71.8%60.0%17.1%-8.6%-10.7M531.0M-1.6M0.5165.0175038087,035264,635
2020-03-24$40.75$45.0056.7%16.3%73.5%60.8%53.0%16.2%-9.0%-9.9M423.3M-1.8M0.0568.473,73017587,445264,850
2020-03-25$41.10$45.0062.1%17.8%73.6%68.5%62.6%16.4%-10.4%-9.3M383.7M-1.9M0.4169.741,91078087,700264,950
2020-03-26$42.34$45.0059.6%17.1%74.3%65.0%57.9%18.1%-8.8%-8.5M334.6M-2.0M0.1262.892,63031088,630265,435
2020-03-27$41.82$45.0062.8%18.0%73.9%69.5%68.3%20.9%-9.3%-8.6M351.2M-2.0M2.2264.793,5607,89089,085265,620
2020-03-30$42.70$43.0056.3%16.1%72.4%60.2%58.6%17.8%-6.0%-8.0M311.3M-2.0M0.7965.103,5102,79092,495264,265
2020-03-31$41.99$45.0053.1%15.2%72.4%55.6%48.3%16.5%-5.5%-9.3M367.0M-1.8M4.1073.953,29013,50089,560263,815