IGV Options History — April 2020

In April 2020, IGV traded between $39.41 and $48.27. ATM implied volatility averaged 42.5%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 13.9% (HV 20d: 56.4%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 5.03.

Notable Days

  • 2020-04-21: Highest Volume — 40,200 contracts
  • 2020-04-29: Largest IV drop — 12.0% change
  • 2020-04-01: Highest IV Rank — 64.2%
  • 2020-04-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.77$39.41$48.27$39.93$48.22
Max Pain$45.95$45.00$46.00$45.00$46.00
ATM IV42.5%33.0%59.1%59.1%35.5%
Expected Move12.1%9.4%16.9%16.9%10.2%
HV 20d56.4%40.2%74.6%73.1%40.2%
HV 60d50.1%46.7%52.3%46.8%52.0%
IV Rank40.6%27.0%64.2%64.2%30.6%
IV Percentile88.2%81.0%95.6%95.6%82.5%
Term Structure-4.4%-10.1%-0.5%-6.0%-1.2%
VWIV45.6%32.6%62.1%62.1%33.0%
Skew 25d12.2%8.9%17.6%17.6%9.9%
Skew 10d21.0%16.1%30.1%30.1%17.3%
Call IV 25d35.9%28.5%50.9%50.9%30.2%
Put IV 25d48.1%37.5%68.5%68.5%40.1%
Bid-Ask Spread %37.8818.3271.7371.7324.83
Gamma HHI0.170.080.240.090.22
Net GEX-5.7M-14.0M354.3K-10.7M-194.8K
Net DEX187.2M-55.5M523.1M470.3M-46.9M
Net VEX-1.7M-1.9M-1.4M-1.7M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.030.1017.374.232.71
Total Volume12,083.5712,98540,20026,9456,765
Total OI414,071.667365,315463,425366,420405,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$39.93$45.0059.1%16.9%73.1%64.2%62.1%17.6%-6.0%-10.7M470.3M-1.7M4.2371.735,15521,79092,160274,260
2020-04-02$39.95$46.0052.5%14.1%72.9%54.8%52.2%15.7%-10.1%-12.8M492.3M-1.7M1.7855.236,55011,67597,705290,945
2020-04-03$39.41$46.0049.0%14.0%72.2%49.8%40.5%15.2%-8.7%-14.0M523.1M-1.7M0.6359.802,9351,835103,395301,720
2020-04-06$42.37$46.0044.9%12.4%74.6%44.0%49.2%14.0%-7.0%-9.7M361.9M-1.8M2.3659.625,58513,170105,985314,610
2020-04-07$42.38$46.0047.9%12.7%73.7%48.3%51.7%13.5%-7.6%-10.9M374.0M-1.9M1.7861.501,7203,055106,785334,700
2020-04-08$43.40$46.0042.5%12.2%72.3%40.6%42.7%12.3%-6.7%-7.8M293.3M-1.9M2.1562.051,2302,645107,310333,250
2020-04-09$43.92$46.0041.1%11.8%65.3%38.6%52.7%12.4%-5.4%-6.7M254.9M-1.9M6.7262.231,97513,265107,455332,390
2020-04-13$43.98$46.0041.7%11.9%63.9%39.4%39.3%11.9%-6.4%-6.1M251.5M-1.8M0.1028.825,445550108,110336,555
2020-04-14$45.91$46.0038.2%10.9%58.8%34.4%39.6%10.4%-4.8%-1.6M78.1M-1.8M2.3221.475,89513,690113,395336,505
2020-04-15$45.52$46.0040.7%11.7%57.9%38.0%42.7%10.7%-5.8%-4.0M121.4M-1.8M1.6427.421,4152,325115,015346,455
2020-04-16$45.98$46.0041.8%12.0%51.4%39.5%47.6%11.5%-5.2%-2.1M73.6M-1.8M3.6722.221,9056,990115,110346,335
2020-04-17$46.77$46.0039.3%11.3%47.3%36.0%45.9%10.4%-4.6%-1.0M-3.6M-1.7M3.2828.585,01016,435115,705347,720
2020-04-20$46.92$46.0043.7%12.5%45.0%42.3%48.9%13.2%-3.5%-5.2M70.4M-1.7M4.2324.448703,68093,590271,725
2020-04-21$44.84$46.0046.4%13.3%48.9%46.1%50.3%13.2%-2.9%-6.9M197.7M-1.7M3.8256.668,34531,85593,865273,025
2020-04-22$46.23$46.0043.0%12.3%44.6%41.3%50.8%11.4%-2.2%-6.3M122.9M-1.7M14.0618.323454,85099,295293,245
2020-04-23$45.91$46.0041.5%11.9%44.8%39.2%50.2%11.7%-1.5%-5.9M141.9M-1.7M15.7720.3470011,04099,650291,435
2020-04-24$46.46$46.0038.1%10.9%44.0%34.3%45.2%12.1%-1.1%-3.8M98.8M-1.6M13.9320.922002,785100,080295,080
2020-04-27$47.36$46.0035.5%10.2%43.8%30.6%44.6%10.1%-0.8%-1.2M19.7M-1.5M17.3722.884607,990100,525294,290
2020-04-28$46.39$46.0037.4%10.7%44.4%33.3%36.4%9.8%-1.5%-2.1M91.2M-1.5M2.0420.854,5309,260100,380296,540
2020-04-29$48.27$46.0033.0%9.4%45.4%27.0%32.6%8.9%-0.5%354.3K-55.5M-1.4M0.9625.623,9953,840104,205299,380
2020-04-30$48.22$46.0035.5%10.2%40.2%30.6%33.0%9.9%-1.2%-194.8K-46.9M-1.4M2.7124.831,8254,940105,115300,505