IGV Options History — February 2021

In February 2021, IGV traded between $70.91 and $77.00. ATM implied volatility averaged 28.0%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.0% (HV 20d: 24.1%). Max pain ranged from $60.00 to $68.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 3.83.

Notable Days

  • 2021-02-19: Highest Volume — 109,225 contracts
  • 2021-02-25: Largest IV spike — 19.9% change
  • 2021-02-25: Highest IV Rank — 20.5%
  • 2021-02-25: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.58$70.91$77.00$71.57$71.29
Max Pain$64.53$60.00$68.00$60.00$68.00
ATM IV28.0%23.8%35.4%29.4%32.2%
Expected Move8.2%7.4%10.2%8.4%9.2%
HV 20d24.1%22.0%27.2%25.2%25.7%
HV 60d20.6%19.2%23.9%23.9%21.7%
IV Rank13.1%8.6%20.5%17.1%15.2%
IV Percentile27.3%5.6%73.0%36.9%56.7%
Term Structure0.4%-2.8%3.0%1.4%-1.7%
VWIV33.0%26.9%44.8%31.2%33.1%
Skew 25d7.7%5.8%10.1%8.0%10.1%
Skew 10d15.8%10.2%20.9%14.0%20.9%
Call IV 25d25.5%23.4%32.1%26.4%28.1%
Put IV 25d33.2%29.7%40.7%34.4%38.2%
Bid-Ask Spread %71.0263.6679.1076.2970.94
Gamma HHI0.120.070.210.130.14
Net GEX13.7M5.7M21.2M13.1M16.0M
Net DEX-1.41B-1.69B-743.8M-1.32B-778.5M
Net VEX-3.8M-5.2M-3.2M-3.7M-5.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.830.0427.000.520.95
Total Volume26,877.3681,720109,2252,3403,595
Total OI472,923.421423,390528,095448,875489,915

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-02-01$71.57$60.0029.4%8.4%25.2%17.1%31.2%8.0%1.4%13.1M-1.32B-3.7M0.5276.291,540800279,235169,640
2021-02-02$73.44$60.0026.6%7.6%25.6%12.7%30.0%5.8%2.1%10.7M-1.50B-3.4M1.9577.956,27012,250279,690169,450
2021-02-03$73.10$60.0025.9%7.4%25.7%11.6%26.9%6.8%3.0%11.1M-1.45B-3.4M0.3479.101,350455279,510173,885
2021-02-04$73.96$65.0024.5%8.0%24.2%9.5%39.8%7.4%0.4%10.4M-1.54B-3.2M1.8563.661,7453,220279,575174,000
2021-02-05$75.31$65.0023.8%7.9%23.3%8.6%32.1%8.1%0.7%11.7M-1.62B-3.2M0.0466.6557,0702,215279,765175,825
2021-02-08$75.46$65.0025.6%8.0%23.1%11.3%34.4%8.2%0.6%14.5M-1.61B-3.4M5.1564.303,11016,020282,645175,935
2021-02-09$76.37$65.0025.0%7.7%23.0%10.4%30.4%6.8%0.8%14.0M-1.65B-3.4M3.5467.831,4555,155284,325192,240
2021-02-10$75.92$65.0026.7%7.7%23.2%13.0%30.5%6.2%1.6%12.3M-1.65B-3.4M2.5573.071,3603,465284,275196,575
2021-02-11$76.48$65.0027.4%7.9%23.1%14.0%33.3%8.0%0.7%13.2M-1.68B-3.3M3.6277.401,0053,640284,480199,270
2021-02-12$76.93$65.0026.6%7.6%23.0%12.8%28.2%7.4%-0.1%15.0M-1.69B-3.2M1.8270.996101,110284,310201,750
2021-02-16$77.00$65.0028.6%8.2%22.5%15.8%34.8%7.6%-0.4%11.6M-1.68B-3.3M27.0066.521,39037,530284,230204,965
2021-02-17$76.13$65.0029.5%8.5%22.9%16.4%32.1%7.8%1.2%6.8M-1.62B-3.3M1.7769.801,8203,220284,365240,170
2021-02-18$76.22$65.0028.3%8.1%22.1%13.9%44.8%7.7%1.6%5.7M-1.58B-3.5M0.0568.09102,1654,855283,960240,970
2021-02-19$76.12$65.0027.2%7.8%22.0%11.6%32.6%7.6%1.3%21.0M-1.47B-4.2M0.0470.13105,3253,900284,920243,175
2021-02-22$73.84$65.0029.5%8.5%25.0%11.4%30.5%7.6%-0.3%20.2M-1.08B-4.9M1.3672.925,2957,215264,690158,700
2021-02-23$73.25$65.0030.4%8.7%25.1%12.2%33.3%8.4%-1.3%21.2M-1.03B-4.8M13.1870.754,12554,370269,220160,965
2021-02-24$73.67$66.0029.5%8.5%25.1%10.9%35.1%8.7%-0.7%18.1M-1.04B-5.0M6.7071.283,53523,690271,840184,710
2021-02-25$70.91$67.0035.4%10.2%27.2%20.5%33.7%8.6%-2.8%13.7M-743.8M-5.2M0.3471.6618,5506,245274,220198,150
2021-02-26$71.29$68.0032.2%9.2%25.7%15.2%33.1%10.1%-1.7%16.0M-778.5M-5.2M0.9570.941,8451,750286,810203,105