IGV Options History — March 2021

In March 2021, IGV traded between $65.61 and $73.07. ATM implied volatility averaged 29.1%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 4.3% (HV 20d: 33.4%). Max pain ranged from $67.00 to $68.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 2.67.

Notable Days

2021-03-24: Highest Volume — 166,280 contracts
2021-03-10: Largest IV drop — 10.0% change
2021-03-08: Highest IV Rank — 19.4%
2021-03-04: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$68.29	$65.61	$73.07	$73.07	$68.52
Max Pain	$67.22	$67.00	$68.00	$68.00	$67.00
ATM IV	29.1%	24.6%	34.8%	28.6%	24.6%
Expected Move	8.2%	7.1%	9.1%	8.2%	7.1%
HV 20d	33.4%	25.5%	37.4%	26.2%	31.4%
HV 60d	26.6%	22.2%	28.4%	22.2%	28.4%
IV Rank	11.6%	4.9%	19.4%	9.3%	4.9%
IV Percentile	34.1%	3.6%	72.6%	28.6%	3.6%
Term Structure	0.5%	-2.2%	3.0%	-2.2%	3.0%
VWIV	30.2%	27.6%	35.3%	30.7%	30.1%
Skew 25d	6.9%	4.6%	9.4%	7.0%	4.6%
Skew 10d	14.2%	10.2%	18.4%	15.6%	11.1%
Call IV 25d	25.8%	23.9%	28.1%	26.1%	23.9%
Put IV 25d	32.7%	28.5%	36.6%	33.0%	28.5%
Bid-Ask Spread %	67.12	53.50	79.52	74.76	75.18
Gamma HHI	0.16	0.12	0.26	0.16	0.12
Net GEX	14.6M	-968.1K	38.5M	20.3M	26.7M
Net DEX	-511.0M	-1.02B	-55.6M	-1.02B	-667.6M
Net VEX	-5.0M	-5.7M	-4.3M	-4.9M	-5.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.67	0.23	9.52	0.44	1.51
Total Volume	30,591.739	2,590	166,280	6,985	28,175
Total OI	514,332.391	399,000	569,785	490,970	512,020

Daily Data (23 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
2021-03-01	$73.07	$68.00	28.6%	8.2%	26.2%	9.3%	30.7%	7.0%	-2.2%	20.3M	-1.02B	-4.9M	0.44	74.76	4,860	2,125	287,725	203,245
2021-03-02	$71.99	$68.00	28.1%	8.1%	25.5%	8.5%	33.1%	7.1%	-1.6%	20.0M	-930.8M	-4.9M	6.19	77.37	4,835	29,935	289,230	202,985
2021-03-03	$68.79	$68.00	30.9%	8.9%	28.4%	13.0%	34.3%	8.3%	-1.8%	6.4M	-443.5M	-5.0M	9.52	79.52	4,825	45,930	291,510	230,585
2021-03-04	$66.87	$67.00	33.6%	9.1%	29.8%	17.5%	31.9%	8.8%	-0.9%	3.9M	-184.7M	-4.9M	0.23	61.34	108,585	25,345	293,385	238,890
2021-03-05	$67.39	$67.00	32.7%	8.6%	29.5%	16.0%	35.3%	9.4%	0.1%	4.8M	-269.5M	-5.1M	1.86	63.99	6,915	12,860	304,885	231,075
2021-03-08	$65.61	$67.00	34.8%	8.8%	29.2%	19.4%	31.5%	8.3%	1.8%	-968.1K	-55.6M	-4.8M	1.86	62.81	5,710	10,625	305,770	236,065
2021-03-09	$68.40	$67.00	32.6%	8.5%	33.8%	15.8%	28.2%	8.4%	0.3%	5.3M	-440.4M	-5.2M	1.23	60.48	4,745	5,850	308,760	241,470
2021-03-10	$67.87	$67.00	29.3%	8.4%	33.3%	10.5%	29.5%	7.5%	0.5%	3.6M	-370.3M	-5.1M	1.21	55.30	1,360	1,650	309,295	237,475
2021-03-11	$69.92	$67.00	28.2%	8.1%	35.6%	8.7%	29.3%	7.4%	0.6%	10.8M	-681.3M	-5.1M	0.80	53.50	2,695	2,145	309,045	238,285
2021-03-12	$68.99	$67.00	29.3%	8.4%	35.5%	10.5%	28.6%	7.0%	0.1%	4.3M	-532.4M	-5.0M	2.33	59.33	2,175	5,070	309,150	239,020
2021-03-15	$69.42	$67.00	28.7%	8.2%	35.5%	9.4%	28.6%	6.2%	0.3%	6.6M	-630.6M	-4.9M	0.43	62.34	1,810	780	310,485	240,625
2021-03-16	$69.65	$67.00	27.2%	7.8%	35.5%	7.0%	28.3%	6.6%	0.8%	8.8M	-675.7M	-4.8M	1.46	62.69	3,470	5,050	311,165	240,795
2021-03-17	$69.08	$68.00	27.0%	7.7%	35.5%	6.7%	29.2%	5.5%	1.0%	4.0M	-600.1M	-4.8M	0.93	66.98	7,840	7,315	312,615	240,535
2021-03-18	$66.75	$68.00	29.5%	8.4%	36.9%	10.7%	31.2%	7.7%	0.8%	4.3M	-227.1M	-4.6M	3.00	63.96	5,795	17,390	314,850	245,160
2021-03-19	$67.45	$67.00	29.1%	8.3%	37.4%	13.0%	30.6%	6.1%	0.7%	17.5M	-318.1M	-4.6M	4.29	55.85	5,600	24,000	317,300	252,485
2021-03-22	$68.46	$67.00	27.2%	7.8%	36.9%	9.9%	28.4%	5.9%	0.5%	38.5M	-660.3M	-4.5M	5.30	72.21	1,185	6,285	277,635	121,365
2021-03-23	$68.35	$67.00	28.3%	8.1%	36.9%	13.0%	30.9%	6.5%	-0.4%	37.1M	-640.9M	-4.5M	7.79	72.66	910	7,090	278,080	123,390
2021-03-24	$66.68	$67.00	29.1%	8.3%	37.4%	15.5%	30.6%	7.2%	0.9%	28.3M	-464.1M	-4.3M	0.52	66.39	109,600	56,680	278,465	127,300
2021-03-25	$66.38	$67.00	29.3%	8.4%	35.3%	16.2%	30.0%	6.4%	0.8%	29.1M	-515.2M	-5.7M	0.57	67.63	61,425	34,935	336,130	174,470
2021-03-26	$67.15	$67.00	26.8%	7.7%	35.6%	9.9%	27.6%	4.8%	1.7%	20.6M	-498.7M	-5.6M	2.15	74.00	3,730	8,005	292,990	202,420
2021-03-29	$67.03	$67.00	27.6%	7.9%	34.1%	11.8%	27.9%	5.5%	2.3%	18.8M	-475.0M	-5.6M	2.49	78.86	2,100	5,225	294,915	208,150
2021-03-30	$66.86	$67.00	26.8%	7.7%	33.8%	10.7%	29.0%	5.8%	2.1%	18.2M	-447.0M	-5.6M	5.29	76.70	1,745	9,230	295,980	212,470
2021-03-31	$68.52	$67.00	24.6%	7.1%	31.4%	4.9%	30.1%	4.6%	3.0%	26.7M	-667.6M	-5.6M	1.51	75.18	11,235	16,940	296,820	215,200