IGV Options History — October 2020

In October 2020, IGV traded between $60.54 and $67.04. ATM implied volatility averaged 32.5%, placing in the 26.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.9% (HV 20d: 23.6%). Max pain ranged from $55.00 to $63.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.70.

Notable Days

  • 2020-10-29: Highest Volume — 155,150 contracts
  • 2020-10-12: Largest IV spike — 33.5% change
  • 2020-10-30: Highest IV Rank — 38.5%
  • 2020-10-30: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.48$60.54$67.04$63.28$60.54
Max Pain$55.95$55.00$63.00$63.00$60.00
ATM IV32.5%24.0%41.1%30.3%41.1%
Expected Move9.8%8.7%11.8%8.7%11.8%
HV 20d23.6%17.1%36.5%36.5%24.9%
HV 60d28.9%27.9%30.1%29.9%29.7%
IV Rank26.3%14.2%38.5%23.2%38.5%
IV Percentile63.5%36.5%84.1%54.4%84.1%
Term Structure0.3%-3.9%6.5%6.5%-3.9%
VWIV35.8%30.5%43.9%30.5%40.6%
Skew 25d6.4%4.1%8.7%5.0%7.9%
Skew 10d11.1%7.6%14.2%8.7%13.9%
Call IV 25d30.9%27.0%36.9%27.6%36.9%
Put IV 25d37.3%32.6%44.8%32.6%44.8%
Bid-Ask Spread %72.9664.9880.7074.6380.65
Gamma HHI0.090.070.200.090.20
Net GEX4.2M-268.6K10.5M832.9K10.5M
Net DEX-521.6M-665.5M-361.9M-417.4M-409.1M
Net VEX-2.3M-3.4M-2.1M-2.4M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.035.830.590.06
Total Volume16,721.1361,475155,1509,87058,020
Total OI335,994.545302,390379,315323,405379,315

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$63.28$63.0030.3%8.7%36.5%23.2%30.5%5.0%6.5%832.9K-417.4M-2.4M0.5974.636,2053,665143,155180,250
2020-10-02$62.36$63.0031.0%8.9%30.3%24.2%31.0%4.6%6.5%-268.6K-361.9M-2.4M0.7075.143,4302,390145,410181,635
2020-10-05$63.11$55.0029.9%10.4%29.3%22.6%39.6%8.4%0.4%1.2M-427.4M-2.5M0.5664.982,7801,555157,750182,430
2020-10-06$62.71$55.0030.8%10.5%25.8%23.9%36.6%8.2%0.7%637.0K-408.4M-2.5M0.8465.713,9953,350157,625181,965
2020-10-07$64.04$55.0028.1%10.2%25.1%20.1%37.8%8.7%0.2%2.5M-489.9M-2.4M5.2665.832,51513,220157,550181,655
2020-10-08$64.03$55.0025.9%9.9%24.6%16.9%38.7%7.8%0.1%178.0K-475.8M-2.4M5.8366.489605,595157,500188,840
2020-10-09$65.22$55.0024.0%9.2%24.1%14.2%35.2%7.7%0.6%3.3M-571.8M-2.2M3.4767.752,3108,025157,435192,775
2020-10-12$66.34$55.0032.1%9.7%23.9%25.7%37.4%7.3%-0.3%5.1M-634.1M-2.2M4.0166.453,89015,605156,655198,210
2020-10-13$67.04$55.0031.0%9.4%23.8%24.2%34.7%7.1%0.3%5.5M-665.5M-2.1M2.0565.271,5903,260156,580206,155
2020-10-14$66.46$55.0032.8%9.4%23.7%26.7%34.1%6.4%0.4%3.8M-638.1M-2.1M0.5667.703,0901,725156,390207,225
2020-10-15$66.13$55.0034.2%9.8%22.2%28.7%35.5%5.6%-0.1%3.4M-635.1M-2.1M3.8871.982,5559,910157,280207,370
2020-10-16$66.55$55.0032.8%9.4%22.0%26.7%33.9%6.4%0.7%5.6M-661.8M-2.1M0.5977.194,6702,775157,605214,320
2020-10-19$65.83$55.0033.1%9.5%22.4%27.1%34.7%5.3%0.6%5.7M-567.0M-2.1M1.4875.222,4103,565144,255158,135
2020-10-20$65.63$55.0032.6%9.3%21.4%26.4%33.3%4.4%0.4%5.5M-562.2M-2.2M1.4275.431,3001,845146,070160,895
2020-10-21$65.31$55.0032.5%9.3%19.4%26.3%33.2%5.5%0.3%5.5M-547.9M-2.2M1.4076.421,8602,610146,860162,115
2020-10-22$65.00$55.0032.2%9.2%19.1%25.9%31.8%4.1%-0.1%5.5M-551.9M-2.1M0.5177.513,4001,740147,965163,855
2020-10-23$65.39$55.0032.9%9.4%17.1%26.9%31.4%6.3%0.3%6.1M-559.2M-2.1M0.2180.701,220255149,265164,520
2020-10-26$63.69$55.0034.8%10.0%19.6%29.7%35.8%5.4%-0.5%5.6M-493.6M-2.1M0.6575.966,4554,170149,100164,595
2020-10-27$64.54$55.0034.1%9.8%19.9%28.6%36.0%5.4%-1.0%5.7M-524.0M-2.2M1.9476.871,4402,795153,355166,830
2020-10-28$62.67$55.0040.8%11.7%22.8%38.1%40.8%6.6%-3.0%5.8M-435.9M-2.2M1.3779.024,4506,115154,110169,565
2020-10-29$62.73$55.0038.3%11.0%22.0%34.6%43.9%7.0%-2.0%5.6M-436.8M-2.2M0.0378.25151,1504,000157,070170,240
2020-10-30$60.54$60.0041.1%11.8%24.9%38.5%40.6%7.9%-3.9%10.5M-409.1M-3.4M0.0680.6554,6553,365207,775171,540