IGV Options History — August 2020

In August 2020, IGV traded between $57.44 and $64.97. ATM implied volatility averaged 29.7%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.4% (HV 20d: 24.4%). Max pain ranged from $56.00 to $61.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 6.18.

Notable Days

  • 2020-08-26: Highest Volume — 63,250 contracts
  • 2020-08-27: Largest IV spike — 12.0% change
  • 2020-08-11: Highest IV Rank — 26.5%
  • 2020-08-27: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.57$57.44$64.97$60.31$64.83
Max Pain$59.57$56.00$61.00$56.00$61.00
ATM IV29.7%27.2%32.6%31.3%32.0%
Expected Move8.6%7.8%9.3%9.0%9.2%
HV 20d24.4%20.4%27.4%26.7%25.2%
HV 60d25.1%24.4%26.7%25.5%25.9%
IV Rank22.4%18.7%26.5%24.6%25.6%
IV Percentile61.9%53.6%73.4%67.5%71.4%
Term Structure2.6%-0.1%4.5%-0.1%2.4%
VWIV32.1%28.4%37.7%36.2%33.3%
Skew 25d8.0%5.9%9.8%8.5%6.2%
Skew 10d15.0%11.5%17.9%16.2%11.5%
Call IV 25d26.5%24.2%29.7%27.4%29.5%
Put IV 25d34.5%31.6%37.0%35.8%35.8%
Bid-Ask Spread %28.9815.5441.1428.4041.14
Gamma HHI0.110.090.130.110.09
Net GEX-5.3M-19.3M5.2M-3.5M1.8M
Net DEX-335.7M-490.8M-138.4M-370.0M-476.7M
Net VEX-2.3M-2.6M-1.9M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.180.0649.111.830.09
Total Volume20,520.7143,64063,2506,43543,000
Total OI428,001.905292,460531,015438,670315,735

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$60.31$56.0031.3%9.0%26.7%24.6%36.2%8.5%-0.1%-3.5M-370.0M-2.3M1.8328.402,2704,165127,915310,755
2020-08-04$60.01$56.0030.4%8.7%26.8%23.3%37.2%8.0%0.7%-5.5M-345.1M-2.3M15.1126.711,37020,700128,775322,895
2020-08-05$60.29$56.0029.0%8.3%26.3%21.4%30.1%7.3%1.2%-4.2M-361.8M-2.3M0.0625.7311,905680129,330323,350
2020-08-06$60.57$60.0027.2%8.4%26.1%18.7%31.4%8.8%3.5%-3.4M-365.2M-2.3M12.1815.543,28039,965130,320323,935
2020-08-07$59.16$60.0029.7%8.9%27.4%22.3%31.6%9.8%3.4%-7.5M-278.8M-2.5M6.9523.004,65532,330131,970318,435
2020-08-10$58.19$60.0030.0%8.9%24.7%22.7%30.0%9.4%3.6%-13.9M-199.3M-2.5M3.3423.356,31021,095132,205326,565
2020-08-11$57.44$60.0032.6%9.3%25.1%26.5%33.0%9.5%2.4%-19.3M-138.4M-2.6M8.8828.542,31020,515135,330335,325
2020-08-12$57.91$60.0029.9%8.6%25.1%22.6%29.0%9.2%2.9%-18.4M-178.7M-2.5M0.6223.942,5901,615135,390341,950
2020-08-13$58.70$60.0030.4%8.7%25.2%23.3%33.7%8.6%3.0%-11.8M-263.4M-2.4M6.3424.253,02019,140136,080341,375
2020-08-14$58.30$60.0030.5%8.7%25.3%23.4%29.1%8.5%3.5%-16.9M-217.7M-2.4M0.6124.892,2551,385135,685354,625
2020-08-17$59.14$60.0029.0%8.3%21.9%21.3%31.0%7.8%4.4%-5.5M-316.7M-2.3M6.4332.439456,075138,170354,950
2020-08-18$59.85$60.0027.2%7.8%21.8%18.8%28.5%7.4%4.5%5.0M-384.3M-2.1M0.5331.542,4401,300135,680357,990
2020-08-19$59.85$60.0028.4%8.1%21.8%20.5%32.2%8.2%3.9%4.4M-377.5M-2.1M49.1127.381,05551,810135,045358,780
2020-08-20$61.04$60.0028.1%8.1%21.3%20.1%30.5%8.4%2.1%5.2M-424.7M-2.2M0.9028.303,4553,125135,055393,990
2020-08-21$60.45$60.0029.0%8.3%21.2%21.4%28.4%7.7%2.3%-4.4M-380.9M-2.2M0.5631.784,3552,445134,785396,230
2020-08-24$60.60$60.0028.8%8.3%20.5%21.1%33.1%8.2%1.8%-8.5M-263.0M-2.3M1.0628.133,5003,725108,480183,980
2020-08-25$61.33$60.0028.7%8.2%20.4%20.9%34.7%7.8%2.1%-6.8M-306.3M-2.2M6.3933.801,81011,570110,945185,670
2020-08-26$64.56$60.0029.1%8.3%26.2%21.5%33.3%7.0%2.3%-2.3M-447.6M-1.9M1.7433.2423,08040,170111,785190,560
2020-08-27$64.46$61.0032.6%9.3%26.2%26.5%37.7%6.9%1.9%2.0M-463.6M-2.1M4.7238.671,9609,260127,245180,595
2020-08-28$64.97$61.0030.5%8.7%26.2%23.4%30.4%5.9%3.5%2.8M-490.8M-2.0M2.3037.884,3359,965128,185181,975
2020-08-31$64.83$61.0032.0%9.2%25.2%25.6%33.3%6.2%2.4%1.8M-476.7M-2.1M0.0941.1439,6003,400127,200188,535