IGV Options History — May 2020

In May 2020, IGV traded between $46.61 and $53.20. ATM implied volatility averaged 31.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.8% (HV 20d: 34.2%). Max pain ranged from $46.00 to $51.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 4.94.

Notable Days

  • 2020-05-15: Highest Volume — 64,740 contracts
  • 2020-05-08: Largest IV drop — 23.0% change
  • 2020-05-13: Highest IV Rank — 32.2%
  • 2020-05-13: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.59$46.61$53.20$46.61$53.20
Max Pain$48.80$46.00$51.00$46.00$51.00
ATM IV31.3%25.7%36.7%36.4%28.0%
Expected Move9.0%7.9%10.5%10.4%8.0%
HV 20d34.2%26.8%43.0%43.0%26.9%
HV 60d52.8%51.4%53.7%52.4%51.4%
IV Rank24.7%16.5%32.2%31.9%19.9%
IV Percentile77.0%71.4%83.3%82.9%71.8%
Term Structure0.3%-1.3%1.7%-1.3%0.2%
VWIV34.1%28.5%45.1%45.1%28.5%
Skew 25d10.2%8.2%13.1%9.7%8.3%
Skew 10d18.2%14.7%22.1%19.2%16.3%
Call IV 25d26.6%24.0%32.5%32.5%24.0%
Put IV 25d36.8%32.2%43.3%42.2%32.2%
Bid-Ask Spread %26.2215.9942.6119.8330.37
Gamma HHI0.200.150.340.240.16
Net GEX-2.9M-14.0M2.9M-627.9K18.9K
Net DEX-157.1M-339.7M84.9M84.9M-216.6M
Net VEX-1.4M-1.6M-1.0M-1.5M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.940.1817.8517.850.37
Total Volume16,0111,01064,74023,1851,700
Total OI329,398.5186,305450,340410,310233,515

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$46.61$46.0036.4%10.4%43.0%31.9%45.1%9.7%-1.3%-627.9K84.9M-1.5M17.8519.831,23021,955105,545304,765
2020-05-04$47.54$48.0036.4%10.0%42.5%31.9%33.6%11.7%-0.2%2.4M3.2M-1.4M7.0315.998906,260105,555300,635
2020-05-05$48.54$48.0032.8%9.3%35.7%26.7%32.8%11.5%0.6%2.9M-84.2M-1.3M0.7824.975,4054,190105,880295,980
2020-05-06$49.22$47.0034.5%9.6%35.7%29.1%42.5%11.4%0.2%644.0K-132.4M-1.3M8.4218.521,78014,985108,630300,490
2020-05-07$50.39$47.0033.3%9.4%35.7%27.5%33.2%11.1%0.9%-3.7M-215.9M-1.2M2.5225.038,97022,570108,345306,400
2020-05-08$50.89$48.0025.7%8.5%35.7%16.5%32.4%10.6%1.7%-8.0M-264.1M-1.1M13.8124.641,22516,915111,185314,110
2020-05-11$51.79$48.0028.8%8.2%35.8%21.0%29.4%9.6%1.7%-11.7M-339.7M-1.0M1.5525.433,2305,010111,395329,075
2020-05-12$50.58$49.0032.3%8.8%35.0%26.1%30.7%10.1%0.2%-13.9M-239.0M-1.1M1.9523.224,3558,510110,800331,455
2020-05-13$49.11$49.0036.7%10.5%36.8%32.2%37.1%13.1%-0.7%-9.3M-89.1M-1.2M2.9916.718,25524,645110,880336,665
2020-05-14$49.49$49.0035.6%10.2%36.7%30.8%35.8%11.9%-0.8%-14.0M-110.6M-1.1M2.0023.437,22014,430112,430337,910
2020-05-15$50.32$49.0033.9%9.7%36.7%28.3%36.1%11.5%-0.2%-8.0M-191.1M-1.1M0.1821.1354,9559,785113,005335,100
2020-05-18$51.01$49.0029.0%8.3%36.9%21.4%33.5%9.6%0.4%2.8M-157.3M-1.5M5.0326.771,5057,57084,775101,530
2020-05-19$51.50$49.0030.6%8.8%31.9%23.7%34.6%9.6%0.2%2.0M-167.1M-1.6M3.3928.761,4855,03585,220107,890
2020-05-20$51.98$49.0029.3%8.4%30.7%21.7%34.9%9.4%0.3%1.8M-181.7M-1.5M15.4434.1497515,05585,800112,435
2020-05-21$51.72$50.0030.2%8.6%30.6%23.0%30.5%9.7%0.4%-481.5K-153.6M-1.6M0.7430.3558043086,090126,945
2020-05-22$52.13$50.0029.8%8.6%30.6%22.5%34.8%8.8%0.6%-145.9K-173.0M-1.6M2.9628.461,2603,72586,330127,190
2020-05-26$51.64$50.0027.8%8.0%30.6%19.6%32.0%8.2%1.0%255.1K-164.9M-1.5M1.5542.612,8804,47087,325124,760
2020-05-27$51.59$50.0027.7%7.9%29.2%19.5%32.9%8.5%0.8%-470.2K-158.4M-1.5M4.6939.212,80013,14089,100128,225
2020-05-28$52.51$50.0028.1%8.1%26.8%20.0%31.6%9.0%0.4%53.7K-191.5M-1.5M5.5524.881,6559,18590,360134,245
2020-05-29$53.20$51.0028.0%8.0%26.9%19.9%28.5%8.3%0.2%18.9K-216.6M-1.5M0.3730.371,24545590,710142,805