IGV Options History — September 2020

In September 2020, IGV traded between $59.37 and $66.96. ATM implied volatility averaged 35.8%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.7% (HV 20d: 36.4%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.98.

Notable Days

  • 2020-09-03: Highest Volume — 60,690 contracts
  • 2020-09-03: Largest IV spike — 25.3% change
  • 2020-09-08: Highest IV Rank — 48.8%
  • 2020-09-03: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.47$59.37$66.96$66.34$62.26
Max Pain$63.90$62.00$65.00$62.00$62.00
ATM IV35.8%30.2%48.3%32.2%30.2%
Expected Move10.2%8.6%12.5%9.2%8.6%
HV 20d36.4%25.9%40.3%25.9%36.1%
HV 60d28.9%26.1%29.9%26.1%29.9%
IV Rank31.0%23.0%48.8%25.9%23.0%
IV Percentile75.1%53.6%90.9%71.4%53.6%
Term Structure3.1%1.0%6.2%3.3%6.2%
VWIV36.9%30.7%44.0%40.3%30.7%
Skew 25d7.7%4.9%10.2%4.9%6.5%
Skew 10d13.5%8.9%18.8%8.9%11.6%
Call IV 25d31.6%26.7%38.4%30.2%26.7%
Put IV 25d39.4%33.2%48.6%35.1%33.2%
Bid-Ask Spread %59.2227.0070.8747.7970.87
Gamma HHI0.110.060.240.080.10
Net GEX-9.7M-47.2M8.3M7.9M-140.4K
Net DEX-290.5M-707.5M-55.3M-671.6M-351.8M
Net VEX-2.9M-3.4M-2.4M-2.7M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.980.3722.172.701.14
Total Volume23,052.3811,51560,69027,4654,680
Total OI383,882.143312,810473,995356,940322,450

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$66.34$62.0032.2%9.2%25.9%25.9%40.3%4.9%3.3%7.9M-671.6M-2.7M2.7047.797,41520,050165,850191,090
2020-09-02$66.96$63.0034.9%10.0%25.9%29.8%37.1%6.0%2.1%8.3M-707.5M-2.8M4.2150.333,18513,420170,555184,670
2020-09-03$63.12$65.0043.8%12.5%34.5%42.4%44.0%10.2%2.1%-87.4K-431.7M-3.2M7.7527.006,94053,750170,555195,865
2020-09-04$61.65$65.0041.5%11.8%34.5%39.2%41.9%9.8%1.9%-5.0M-284.0M-3.4M10.7143.524,97053,205175,050218,665
2020-09-08$59.40$65.0048.3%12.2%36.7%48.8%39.6%10.0%1.0%-12.8M-103.2M-3.4M1.4352.447,86011,215178,015236,460
2020-09-09$61.02$65.0038.2%11.0%37.4%34.4%40.7%8.7%1.6%-7.9M-272.7M-3.3M6.3757.096,05538,540182,750234,520
2020-09-10$60.31$65.0037.5%10.8%37.7%33.4%36.3%9.1%2.5%-12.6M-187.0M-3.3M22.1760.662,40053,210184,390235,000
2020-09-11$59.37$65.0036.5%10.5%38.0%32.0%39.9%7.6%2.6%-27.4M-55.3M-3.3M2.4260.767,90519,135185,720261,520
2020-09-14$60.59$65.0033.7%9.7%38.5%28.1%37.6%7.4%2.8%-25.9M-201.1M-3.1M0.7862.663,8903,030183,480268,035
2020-09-15$61.38$65.0034.5%9.9%38.4%29.1%34.6%7.4%3.1%-18.7M-306.5M-3.0M0.6864.574,0052,720183,330269,425
2020-09-16$60.77$65.0034.4%9.9%38.5%29.1%34.9%7.4%2.8%-25.1M-252.6M-3.0M1.0661.709,80010,355185,350269,130
2020-09-17$59.58$65.0035.4%10.2%39.1%30.5%38.2%7.8%3.2%-47.2M-96.9M-3.1M2.8063.895,30014,855191,755272,990
2020-09-18$59.45$65.0035.6%10.2%38.4%30.8%36.8%7.8%2.7%-37.8M-80.5M-3.0M2.6462.156,27516,595190,970283,025
2020-09-21$60.44$64.0036.7%10.5%38.8%32.3%40.2%8.3%2.2%1.8M-314.9M-3.0M0.5361.2135,69018,925170,525183,990
2020-09-22$61.87$63.0032.5%9.3%39.7%26.3%33.6%7.3%4.1%-424.7K-318.3M-2.6M6.0463.281,5659,460139,085177,370
2020-09-23$60.47$63.0035.6%10.2%40.3%30.8%35.2%8.2%2.8%-658.4K-242.8M-2.6M0.8361.995,1304,235139,345173,465
2020-09-24$59.94$63.0035.3%10.1%35.3%30.3%34.8%8.0%2.9%-1.1M-206.4M-2.6M3.5863.821,6956,075143,285176,445
2020-09-25$61.58$63.0031.4%9.0%37.0%24.8%33.1%6.8%4.7%-141.6K-313.5M-2.6M4.3068.831,0304,430143,790177,830
2020-09-28$62.35$62.0031.5%9.0%37.2%24.8%32.8%6.4%5.1%381.7K-362.2M-2.5M0.3769.592,620970144,765178,815
2020-09-29$62.09$62.0031.7%9.1%37.2%25.2%32.1%6.5%4.8%-231.7K-340.1M-2.4M0.9969.52760755143,420178,780
2020-09-30$62.26$62.0030.2%8.6%36.1%23.0%30.7%6.5%6.2%-140.4K-351.8M-2.4M1.1470.872,1902,490143,325179,125