IGV Options History — January 2021

In January 2021, IGV traded between $68.16 and $72.05. ATM implied volatility averaged 28.6%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 8.7% (HV 20d: 19.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 3.94.

Notable Days

2021-01-26: Highest Volume — 61,750 contracts
2021-01-11: Largest IV spike — 31.8% change
2021-01-27: Highest IV Rank — 25.7%
2021-01-27: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.45	$68.16	$72.05	$69.37	$69.83
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	28.6%	22.9%	35.1%	30.5%	33.7%
Expected Move	8.3%	7.5%	10.1%	8.4%	9.7%
HV 20d	19.9%	17.8%	23.5%	17.9%	23.5%
HV 60d	24.7%	23.7%	25.4%	24.5%	24.0%
IV Rank	17.7%	11.5%	25.7%	22.5%	23.6%
IV Percentile	33.9%	11.5%	71.8%	47.2%	66.3%
Term Structure	1.0%	-0.7%	2.1%	0.4%	0.3%
VWIV	31.7%	27.8%	37.5%	33.0%	34.9%
Skew 25d	7.2%	5.6%	10.6%	7.9%	9.4%
Skew 10d	13.4%	10.2%	21.3%	15.6%	18.5%
Call IV 25d	25.9%	24.1%	30.8%	25.2%	29.2%
Put IV 25d	33.0%	29.8%	41.4%	33.1%	38.6%
Bid-Ask Spread %	69.04	61.00	76.34	62.81	76.34
Gamma HHI	0.11	0.09	0.17	0.12	0.14
Net GEX	14.8M	6.5M	19.5M	16.9M	14.7M
Net DEX	-1.27B	-1.39B	-1.05B	-1.20B	-1.14B
Net VEX	-3.9M	-4.3M	-3.4M	-4.1M	-4.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.94	0.22	19.45	6.42	6.99
Total Volume	17,982.368	560	61,750	35,340	23,000
Total OI	468,048.158	416,345	521,460	459,330	446,380

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$69.37	$60.00	30.5%	8.4%	17.9%	22.5%	33.0%	7.9%	0.4%	16.9M	-1.20B	-4.1M	6.42	62.81	4,765	30,575	298,805	160,525
2021-01-05	$69.67	$60.00	28.9%	8.3%	17.8%	20.2%	34.7%	8.7%	0.4%	9.6M	-1.17B	-4.3M	2.66	61.00	4,750	12,650	301,400	194,970
2021-01-06	$68.16	$60.00	29.5%	8.4%	19.6%	21.1%	31.5%	7.1%	0.4%	6.5M	-1.05B	-4.3M	6.20	63.95	6,775	42,030	303,215	197,265
2021-01-07	$69.99	$60.00	23.8%	7.7%	21.6%	12.9%	28.7%	5.9%	1.1%	14.1M	-1.30B	-4.0M	1.42	66.14	3,205	4,560	305,015	190,635
2021-01-08	$70.92	$60.00	22.9%	7.7%	19.8%	11.5%	29.7%	5.6%	0.9%	18.3M	-1.39B	-4.0M	8.86	65.00	2,115	18,735	304,790	189,645
2021-01-11	$70.42	$60.00	30.2%	8.6%	19.7%	22.0%	31.1%	6.4%	0.2%	17.8M	-1.35B	-3.9M	0.60	66.94	3,145	1,895	304,625	188,055
2021-01-12	$70.57	$60.00	26.8%	8.3%	19.7%	15.2%	32.7%	6.4%	0.6%	19.5M	-1.36B	-3.9M	19.45	66.36	1,460	28,390	305,085	187,560
2021-01-13	$70.38	$60.00	28.4%	8.1%	19.6%	17.6%	32.2%	6.5%	1.0%	17.8M	-1.33B	-4.0M	2.56	70.13	1,345	3,445	305,180	214,265
2021-01-14	$70.18	$60.00	28.8%	8.3%	19.7%	18.1%	30.1%	6.7%	1.5%	15.7M	-1.31B	-3.9M	2.14	70.72	1,105	2,360	304,260	215,540
2021-01-15	$69.59	$60.00	29.0%	8.3%	19.1%	18.4%	30.6%	7.2%	1.4%	17.5M	-1.22B	-4.0M	1.40	69.69	3,995	5,585	304,250	217,210
2021-01-19	$70.60	$60.00	27.3%	7.8%	19.1%	15.6%	31.8%	7.0%	1.8%	15.9M	-1.24B	-3.8M	5.55	71.83	1,180	6,545	271,525	144,820
2021-01-20	$72.05	$60.00	26.3%	7.5%	20.3%	13.0%	27.8%	5.8%	2.1%	13.6M	-1.38B	-3.4M	2.89	70.73	2,490	7,185	272,180	149,725
2021-01-21	$71.80	$60.00	26.3%	7.5%	20.2%	13.0%	28.9%	5.7%	2.1%	12.8M	-1.36B	-3.5M	0.47	71.22	685	320	273,550	156,010
2021-01-22	$71.90	$60.00	26.5%	7.6%	19.1%	13.3%	29.1%	5.8%	2.1%	12.4M	-1.37B	-3.5M	0.78	69.87	315	245	273,625	156,195
2021-01-25	$71.41	$60.00	28.3%	8.1%	19.1%	15.4%	29.0%	6.9%	1.2%	12.5M	-1.32B	-3.6M	1.41	71.52	1,690	2,380	273,715	156,270
2021-01-26	$71.21	$60.00	28.3%	8.1%	19.1%	15.4%	37.5%	7.1%	1.6%	14.0M	-1.28B	-3.7M	0.22	71.19	50,645	11,105	274,175	158,005
2021-01-27	$69.39	$60.00	35.1%	10.1%	20.7%	25.7%	35.4%	10.6%	-0.7%	16.8M	-1.07B	-4.1M	3.61	72.01	9,210	33,235	274,290	167,425
2021-01-28	$71.13	$60.00	32.2%	9.2%	22.6%	21.3%	33.1%	9.5%	0.7%	14.0M	-1.27B	-3.9M	1.21	74.39	3,875	4,675	283,260	169,470
2021-01-29	$69.83	$60.00	33.7%	9.7%	23.5%	23.6%	34.9%	9.4%	0.3%	14.7M	-1.14B	-4.0M	6.99	76.34	2,880	20,120	280,655	165,725