IGV Options History — November 2020

In November 2020, IGV traded between $60.23 and $67.17. ATM implied volatility averaged 30.3%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.9% (HV 20d: 33.2%). Max pain ranged from $59.00 to $62.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.75.

Notable Days

  • 2020-11-30: Highest Volume — 39,650 contracts
  • 2020-11-11: Largest IV drop — 14.4% change
  • 2020-11-02: Highest IV Rank — 40.2%
  • 2020-11-02: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.72$60.23$67.17$60.23$67.15
Max Pain$61.00$59.00$62.00$60.00$62.00
ATM IV30.3%25.2%42.3%42.3%27.2%
Expected Move8.6%7.2%12.1%12.1%7.8%
HV 20d33.2%24.4%36.6%24.4%30.3%
HV 60d31.4%28.5%33.0%29.4%28.5%
IV Rank23.2%15.9%40.2%40.2%18.8%
IV Percentile45.0%24.2%86.9%86.9%28.2%
Term Structure-0.6%-3.8%1.2%-3.8%0.1%
VWIV32.5%27.9%40.3%40.3%29.7%
Skew 25d6.4%5.0%8.4%7.4%5.3%
Skew 10d12.2%9.5%14.3%13.0%10.8%
Call IV 25d27.2%23.3%37.9%37.9%25.3%
Put IV 25d33.7%28.2%45.3%45.3%30.5%
Bid-Ask Spread %73.7965.2883.0581.0079.59
Gamma HHI0.180.150.200.180.18
Net GEX24.8M16.4M34.9M18.2M29.4M
Net DEX-941.6M-1.14B-542.4M-542.4M-1.14B
Net VEX-3.7M-3.9M-3.5M-3.9M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.750.0416.530.950.04
Total Volume13,208.51,23039,65010,18039,650
Total OI438,623363,715490,590432,000371,510

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$60.23$60.0042.3%12.1%24.4%40.2%40.3%7.4%-3.8%18.2M-542.4M-3.9M0.9581.005,2204,960259,195172,805
2020-11-03$61.90$60.0038.1%10.9%26.5%34.3%38.4%8.4%-2.9%21.9M-685.8M-3.8M0.7380.492,3751,725259,195172,805
2020-11-04$64.68$60.0034.0%9.8%30.0%28.5%36.1%5.9%-2.0%23.4M-929.0M-3.7M0.5883.056,8403,935259,580175,070
2020-11-05$66.10$59.0033.3%9.3%30.9%27.4%36.7%6.8%-1.2%22.7M-1.03B-3.6M1.6966.671,3952,360255,635174,635
2020-11-06$66.89$59.0030.3%8.8%30.5%23.2%36.2%7.4%-0.7%22.7M-1.08B-3.5M2.0565.283,0356,235254,765175,725
2020-11-09$65.00$59.0031.7%8.7%31.7%25.2%34.3%5.9%-1.4%23.2M-955.2M-3.5M11.4069.232,96033,735256,510178,610
2020-11-10$62.35$61.0034.6%9.4%34.5%29.3%33.8%6.9%-1.5%16.4M-667.0M-3.7M5.5968.594,51525,235258,695207,010
2020-11-11$63.96$60.0029.6%8.5%35.9%22.2%31.2%6.5%-0.7%19.3M-844.9M-3.7M0.9368.192,8352,625259,485204,635
2020-11-12$63.81$60.0030.4%8.7%35.9%23.4%32.3%6.8%-0.6%18.8M-827.8M-3.7M0.1370.5634,9454,470259,690204,405
2020-11-13$64.22$62.0029.0%8.3%35.9%21.3%29.5%6.7%-0.4%23.5M-924.8M-3.9M2.5472.601,8004,570278,265207,405
2020-11-16$63.84$62.0028.8%8.3%35.8%21.1%30.6%7.0%-0.1%22.8M-887.7M-3.9M0.5570.723,8702,145278,970208,170
2020-11-17$64.71$62.0028.6%8.2%36.2%20.8%32.9%6.9%-0.1%25.8M-998.1M-3.9M0.8471.614,6403,900282,280208,310
2020-11-18$64.42$62.0029.3%8.4%36.2%21.7%30.0%7.0%-0.5%25.5M-980.4M-3.8M0.6275.431,9501,205284,140206,090
2020-11-19$65.44$62.0028.0%8.0%36.6%19.9%30.7%6.5%0.1%30.4M-1.08B-3.7M2.9772.893,2909,770282,160206,455
2020-11-20$65.62$62.0026.6%7.6%36.5%17.9%29.7%6.1%0.0%34.9M-1.08B-3.8M0.9974.624,4404,395280,170208,465
2020-11-23$65.37$62.0026.9%7.7%35.2%18.4%31.7%5.9%0.6%29.1M-990.7M-3.7M16.5375.1496015,870264,43599,280
2020-11-24$65.39$62.0026.5%7.6%34.9%17.8%27.9%5.3%0.6%29.5M-991.3M-3.8M1.9577.039451,840265,630107,190
2020-11-25$66.19$62.0025.2%7.2%33.3%15.9%28.9%5.0%1.1%29.6M-1.06B-3.6M2.7674.272,2106,090265,995107,875
2020-11-27$67.17$62.0025.6%7.3%33.5%16.4%29.0%5.2%1.2%29.3M-1.14B-3.5M1.1078.93585645266,775104,440
2020-11-30$67.15$62.0027.2%7.8%30.3%18.8%29.7%5.3%0.1%29.4M-1.14B-3.5M0.0479.5938,0301,620266,950104,560