IGV Options History — December 2020

In December 2020, IGV traded between $66.44 and $72.85. ATM implied volatility averaged 25.9%, placing in the 16.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 7.4% (HV 20d: 18.5%). Max pain ranged from $60.00 to $64.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 3.75.

Notable Days

  • 2020-12-16: Highest Volume — 115,250 contracts
  • 2020-12-09: Largest IV spike — 9.7% change
  • 2020-12-09: Highest IV Rank — 20.4%
  • 2020-12-09: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.40$66.44$72.85$66.90$70.68
Max Pain$62.27$60.00$64.00$62.00$64.00
ATM IV25.9%23.8%28.4%27.1%23.8%
Expected Move7.5%6.8%8.1%7.8%6.8%
HV 20d18.5%14.9%30.2%30.2%16.4%
HV 60d25.6%24.5%28.0%28.0%24.5%
IV Rank16.7%12.8%20.4%18.6%12.8%
IV Percentile22.0%13.9%32.5%27.4%13.9%
Term Structure1.5%0.1%3.2%0.1%3.2%
VWIV28.2%23.4%33.7%29.9%28.3%
Skew 25d6.1%3.8%7.6%3.8%5.7%
Skew 10d11.7%7.8%15.4%7.8%11.3%
Call IV 25d23.7%22.1%26.0%26.0%22.5%
Put IV 25d29.8%27.6%32.9%29.8%28.2%
Bid-Ask Spread %75.0369.0480.7779.4780.55
Gamma HHI0.130.100.180.170.12
Net GEX29.7M26.7M34.3M31.3M27.1M
Net DEX-1.32B-1.51B-1.12B-1.17B-1.35B
Net VEX-4.1M-4.3M-3.9M-4.0M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.750.0430.841.2730.84
Total Volume14,712.0453,200115,2503,20029,295
Total OI429,380390,895463,570390,895434,825

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$66.90$62.0027.1%7.8%30.2%18.6%29.9%3.8%0.1%31.3M-1.17B-4.0M1.2779.471,4101,790285,735105,160
2020-12-02$66.44$62.0027.0%7.7%29.3%18.5%27.8%4.0%0.5%31.9M-1.13B-4.1M0.8680.777,2756,270286,320105,750
2020-12-03$67.00$60.0026.4%7.8%25.3%17.6%28.9%5.0%0.8%30.7M-1.18B-4.1M1.3669.843,8005,160291,765115,170
2020-12-04$67.56$60.0025.6%7.6%24.3%16.5%28.0%5.7%1.0%30.7M-1.22B-4.1M0.4269.305,8152,455292,360117,370
2020-12-07$67.90$60.0027.5%8.0%24.0%19.1%29.5%6.3%0.3%31.6M-1.26B-4.0M0.8671.762,8452,440294,590118,565
2020-12-08$68.45$60.0025.9%7.7%21.4%16.9%30.0%6.0%0.7%32.0M-1.31B-3.9M3.7569.043,44512,920294,685119,765
2020-12-09$66.82$61.0028.4%8.1%17.1%20.4%29.4%7.5%0.5%28.0M-1.12B-4.2M0.9572.653,2103,065294,745132,055
2020-12-10$67.70$61.0027.4%7.9%15.5%19.0%31.1%6.9%0.5%29.2M-1.21B-4.1M2.0372.031,9653,990295,615133,130
2020-12-11$67.86$61.0027.6%7.9%15.3%19.4%28.7%7.4%0.6%29.7M-1.23B-4.1M0.6071.055,8303,520296,240136,520
2020-12-14$68.35$61.0028.0%8.0%15.4%19.9%28.0%7.5%0.9%31.6M-1.29B-4.0M0.9072.504,2703,825300,190138,615
2020-12-15$68.48$61.0026.7%7.7%15.0%18.1%25.7%7.6%1.5%34.1M-1.31B-4.0M2.3772.421,8154,295302,615141,945
2020-12-16$69.66$61.0024.8%7.1%15.4%15.3%33.7%7.2%2.2%31.3M-1.41B-3.9M0.0474.97110,6954,555303,500144,480
2020-12-17$70.62$64.0024.7%7.1%15.4%15.2%26.3%6.7%2.0%34.3M-1.45B-4.3M1.4075.326,0408,445309,700147,395
2020-12-18$71.19$64.0025.5%7.3%14.9%16.4%27.7%7.3%2.4%32.1M-1.48B-4.3M3.6675.994,14515,180310,000153,570
2020-12-21$71.54$64.0025.5%7.3%14.9%16.3%29.0%7.0%1.7%27.3M-1.42B-4.3M0.9476.442,6852,520298,030133,075
2020-12-22$72.85$64.0025.3%7.3%15.4%16.0%26.6%6.2%2.1%26.7M-1.51B-4.2M0.7175.553,8052,700298,005134,495
2020-12-23$72.35$64.0024.9%7.2%15.9%15.5%28.1%5.6%1.9%26.7M-1.50B-4.1M2.1175.981,1152,350297,835136,165
2020-12-24$71.99$64.0024.5%7.0%16.0%13.8%23.4%5.1%2.1%26.9M-1.46B-4.1M0.3276.152,855915297,805137,285
2020-12-28$71.09$64.0025.2%7.2%16.6%14.9%26.2%5.1%1.6%27.6M-1.41B-4.0M4.0378.681,7907,220298,315137,130
2020-12-29$70.69$64.0024.4%7.0%16.8%13.7%28.2%5.7%2.7%26.7M-1.35B-4.1M22.8080.7188020,060298,180143,315
2020-12-30$70.74$64.0024.2%6.9%16.7%13.5%26.5%5.4%2.9%26.8M-1.35B-4.1M0.2979.453,8851,120298,095136,255
2020-12-31$70.68$64.0023.8%6.8%16.4%12.8%28.3%5.7%3.2%27.1M-1.35B-4.1M30.8480.5592028,375298,670136,155