IGV Options History — July 2020

In July 2020, IGV traded between $56.81 and $59.88. ATM implied volatility averaged 31.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.6% (HV 20d: 25.1%). Max pain ranged from $48.00 to $56.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 10.30.

Notable Days

  • 2020-07-31: Highest Volume — 107,610 contracts
  • 2020-07-13: Largest IV spike — 43.0% change
  • 2020-07-13: Highest IV Rank — 40.9%
  • 2020-07-14: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.25$56.81$59.88$58.06$58.82
Max Pain$49.91$48.00$56.00$56.00$53.00
ATM IV31.8%25.0%42.7%26.5%30.9%
Expected Move9.0%7.2%10.8%7.6%8.8%
HV 20d25.1%17.1%29.2%29.2%25.5%
HV 60d27.6%25.4%29.1%29.1%25.4%
IV Rank25.3%15.6%40.9%17.7%24.0%
IV Percentile70.3%57.9%88.5%61.9%65.9%
Term Structure0.3%-1.1%3.7%2.5%-0.0%
VWIV34.8%29.6%41.2%34.9%29.6%
Skew 25d8.2%5.7%9.6%7.3%9.1%
Skew 10d14.8%11.9%17.3%14.6%16.7%
Call IV 25d27.8%22.9%33.0%23.5%26.6%
Put IV 25d36.0%28.6%42.1%30.8%35.7%
Bid-Ask Spread %51.5533.1470.9045.3833.14
Gamma HHI0.110.080.200.100.10
Net GEX-3.0M-12.0M6.1M2.9M-10.9M
Net DEX-406.0M-513.2M-283.6M-447.1M-366.2M
Net VEX-1.8M-2.1M-1.6M-1.8M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.300.0789.344.740.07
Total Volume24,154.545890107,61018,520107,610
Total OI400,821.818303,295480,170368,205435,110

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$58.06$56.0026.5%7.6%29.2%17.7%34.9%7.3%2.5%2.9M-447.1M-1.8M4.7445.383,22515,295128,975239,230
2020-07-02$58.07$56.0025.0%7.2%27.0%15.6%31.5%5.7%3.7%3.2M-458.2M-1.7M2.8660.534,70013,450129,560251,170
2020-07-06$58.66$48.0027.8%8.4%26.8%19.6%31.4%9.0%1.2%3.3M-493.9M-1.6M3.5057.666,49522,700131,020262,320
2020-07-07$58.44$48.0031.0%9.1%26.7%24.1%33.6%8.6%0.5%3.7M-482.6M-1.7M5.2454.331,93010,120132,180264,680
2020-07-08$59.33$49.0030.5%9.0%27.0%23.5%40.9%8.9%1.2%1.5M-509.8M-1.7M8.7958.454,73041,555132,730273,965
2020-07-09$59.88$49.0031.5%9.1%26.5%24.9%34.4%9.5%1.0%-5.3M-513.2M-1.8M0.9563.919,6859,160136,855315,000
2020-07-10$59.54$49.0029.9%9.0%17.1%22.6%34.3%9.1%1.3%-6.8M-499.3M-1.9M5.0156.701,2206,115142,355323,060
2020-07-13$57.41$49.0042.7%10.5%22.9%40.9%35.2%8.6%-0.4%-11.8M-324.3M-2.1M1.7765.426,22511,035143,945326,365
2020-07-14$57.01$49.0042.1%10.8%22.5%40.0%37.9%9.3%-1.1%-12.0M-283.6M-2.1M2.4961.547,88519,660145,505329,545
2020-07-15$57.39$49.0036.0%10.3%21.9%31.3%37.4%9.0%-0.2%-10.9M-347.0M-2.1M1.8053.8011,61020,940147,965326,630
2020-07-16$56.81$49.0033.2%9.5%22.4%27.3%38.2%8.2%-0.8%-11.7M-294.0M-2.0M4.0269.462,0358,180148,215329,395
2020-07-17$57.29$49.0030.9%8.9%22.1%24.0%36.1%7.5%0.1%6.1M-372.6M-1.9M4.3670.906,05526,415148,920331,250
2020-07-20$59.48$49.0030.3%8.7%25.6%23.1%33.6%7.2%-0.2%2.2M-464.0M-1.7M2.1144.142,7855,880124,740178,555
2020-07-21$58.74$49.0030.8%8.8%25.8%23.9%32.6%7.5%-0.3%2.2M-433.3M-1.7M0.9343.441,6751,560126,435180,835
2020-07-22$58.85$49.0030.4%8.7%25.8%23.4%31.6%7.3%-0.3%2.1M-439.8M-1.7M0.4741.30605285126,650181,575
2020-07-23$57.71$49.0031.6%9.1%26.0%25.0%33.4%8.5%-0.5%1.5M-389.5M-1.8M1.6444.841,4752,420126,715181,690
2020-07-24$57.06$49.0033.4%9.6%26.3%27.6%41.2%8.6%-0.8%-2.6M-325.0M-1.9M55.5643.441,36075,560126,265199,920
2020-07-27$58.09$50.0031.0%8.9%27.0%24.2%33.4%7.8%-0.2%-5.6M-366.7M-1.9M9.5644.128708,315127,050262,910
2020-07-28$57.65$50.0031.6%9.0%26.8%25.0%33.3%7.4%-0.7%-6.9M-344.9M-1.9M15.8044.193054,820127,455269,375
2020-07-29$58.71$50.0029.6%8.5%26.7%22.2%30.7%7.0%0.1%-5.3M-400.8M-1.8M5.5140.474602,535127,505272,800
2020-07-30$58.54$50.0032.4%9.3%25.4%26.2%39.9%9.6%-0.3%-5.7M-376.6M-1.9M89.3436.9347041,990127,695273,965
2020-07-31$58.82$53.0030.9%8.8%25.5%24.0%29.6%9.1%-0.0%-10.9M-366.2M-1.9M0.0733.14100,9606,650127,825307,285