IGV Options History — June 2020

In June 2020, IGV traded between $52.58 and $56.84. 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 above realized volatility by 5.4% (HV 20d: 26.0%). Max pain ranged from $51.00 to $56.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 5.31.

Notable Days

  • 2020-06-04: Highest Volume — 69,500 contracts
  • 2020-06-11: Largest IV spike — 25.0% change
  • 2020-06-11: Highest IV Rank — 33.3%
  • 2020-06-11: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.87$52.58$56.84$54.05$56.68
Max Pain$52.50$51.00$56.00$51.00$56.00
ATM IV31.3%25.3%37.4%28.5%28.0%
Expected Move9.0%7.2%10.7%8.2%8.0%
HV 20d26.0%21.9%28.3%22.8%28.2%
HV 60d39.6%32.0%51.2%51.2%32.0%
IV Rank24.7%16.0%33.3%20.6%20.0%
IV Percentile74.5%65.1%83.7%72.2%65.1%
Term Structure0.1%-1.5%1.8%-0.6%1.8%
VWIV35.8%27.2%43.6%37.2%32.4%
Skew 25d9.5%7.0%12.2%8.7%8.1%
Skew 10d16.9%13.9%21.8%15.7%14.3%
Call IV 25d27.1%22.0%32.3%24.4%25.1%
Put IV 25d36.6%29.0%44.4%33.1%33.2%
Bid-Ask Spread %31.1517.8150.6921.1143.97
Gamma HHI0.120.100.180.160.10
Net GEX-105.8K-6.0M3.9M703.4K736.4K
Net DEX-272.4M-388.6M-118.2M-251.5M-362.6M
Net VEX-1.8M-2.1M-1.4M-1.4M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.310.5219.746.156.07
Total Volume24,488.8647,75569,50033,80510,325
Total OI317,497.955235,690365,900235,690365,900

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$54.05$51.0028.5%8.2%22.8%20.6%37.2%8.7%-0.6%703.4K-251.5M-1.4M6.1521.114,72529,08091,015144,675
2020-06-02$53.79$51.0026.4%7.6%22.7%17.6%34.5%8.0%0.4%458.2K-242.8M-1.5M19.7423.5274514,70594,590149,280
2020-06-03$54.17$51.0025.3%7.2%22.0%16.0%27.4%7.0%0.9%385.1K-257.0M-1.4M8.2727.889257,65094,800150,010
2020-06-04$52.76$51.0027.8%8.1%24.5%19.6%30.6%9.6%1.1%-2.5M-182.8M-1.6M2.2517.8121,38048,12095,095157,930
2020-06-05$53.58$51.0025.7%7.3%23.8%16.6%27.2%8.6%1.1%-2.6M-213.6M-1.7M1.1722.4623,62527,560108,645194,890
2020-06-08$54.36$51.0028.4%7.9%24.0%20.5%28.7%8.5%0.2%-1.3M-262.6M-1.9M1.2523.6524,78030,965123,835222,590
2020-06-09$54.36$52.0031.7%8.5%23.4%25.1%36.0%8.7%0.1%-1.9M-256.4M-1.7M9.1525.623,02527,665112,120206,455
2020-06-10$55.37$52.0029.9%8.6%21.9%22.6%37.0%8.8%0.3%403.4K-312.4M-1.7M6.3833.294,86031,010112,840206,985
2020-06-11$52.58$51.0037.4%10.7%27.3%33.3%43.0%12.1%-1.5%-6.0M-118.2M-2.0M7.2925.822,03514,835112,505206,490
2020-06-12$52.90$51.0036.4%10.4%27.2%31.9%41.8%12.2%-1.0%-4.9M-145.4M-2.0M2.8638.234,65013,280112,375203,420
2020-06-15$53.91$51.0035.2%10.1%27.4%30.2%43.6%11.7%-0.6%-1.9M-215.0M-1.9M6.0125.083,34520,095113,205211,780
2020-06-16$54.80$51.0033.9%9.7%27.5%28.3%39.6%10.0%-0.5%1.2M-279.2M-1.8M3.4221.753,66012,535115,245214,720
2020-06-17$54.94$51.0033.7%9.7%27.5%28.0%38.8%9.8%-0.2%2.2M-286.6M-1.8M4.9827.601,9459,680115,755218,795
2020-06-18$55.69$51.0032.3%9.3%27.6%26.0%37.4%9.5%0.5%3.7M-318.3M-1.8M3.4825.733,01510,490115,520225,145
2020-06-19$55.90$53.0031.5%9.0%27.4%24.9%36.8%9.5%1.0%3.9M-327.4M-1.8M2.3538.652,3155,440115,410234,510
2020-06-22$56.71$53.0031.6%9.0%27.7%25.0%35.2%9.4%0.4%2.2M-336.0M-1.7M0.5236.3618,1609,390108,030197,925
2020-06-23$56.84$53.0030.9%8.9%27.2%24.1%34.5%8.7%0.7%3.9M-388.6M-1.9M5.1437.997,14036,695124,350206,070
2020-06-24$55.82$56.0034.1%9.8%28.3%28.5%35.2%10.0%-0.4%461.9K-305.7M-2.1M2.2839.534,74510,835124,780217,070
2020-06-25$56.21$56.0033.2%9.5%27.9%27.4%36.0%9.2%0.2%303.1K-326.3M-2.0M6.1639.731,5209,360125,815222,245
2020-06-26$56.18$56.0035.6%10.2%27.7%30.8%38.0%10.8%-1.1%-163.0K-318.6M-2.1M3.5238.903,02010,645126,775224,360
2020-06-29$55.60$56.0031.9%9.2%27.6%25.5%36.4%9.5%0.6%-1.5M-285.3M-2.1M8.4950.699257,855128,110232,895
2020-06-30$56.68$56.0028.0%8.0%28.2%20.0%32.4%8.1%1.8%736.4K-362.6M-1.9M6.0743.971,4608,865128,340237,560