IGV Options History — April 2021

In April 2021, IGV traded between $69.84 and $74.64. ATM implied volatility averaged 23.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.3% (HV 20d: 22.0%). Max pain ranged from $66.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 4.95.

Notable Days

  • 2021-04-13: Highest Volume — 58,610 contracts
  • 2021-04-20: Largest IV spike — 11.9% change
  • 2021-04-20: Highest IV Rank — 21.2%
  • 2021-04-05: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$72.83$69.84$74.64$69.84$72.16
Max Pain$66.05$66.00$67.00$67.00$66.00
ATM IV23.3%19.7%25.7%22.6%24.4%
Expected Move7.0%6.2%7.5%6.5%7.0%
HV 20d22.0%17.5%30.4%30.3%17.5%
HV 60d27.8%26.4%28.6%28.6%26.5%
IV Rank10.3%0.0%21.2%0.0%16.4%
IV Percentile4.5%0.0%15.1%0.0%7.9%
Term Structure-2.5%-4.3%4.0%4.0%-3.0%
VWIV26.8%23.2%33.2%25.2%25.3%
Skew 25d5.1%2.5%6.9%4.5%5.8%
Skew 10d9.5%-1.0%13.8%10.0%12.1%
Call IV 25d22.2%20.6%25.5%21.3%21.9%
Put IV 25d27.3%23.7%29.4%25.8%27.6%
Bid-Ask Spread %75.7062.6183.3679.2580.65
Gamma HHI0.140.120.180.130.13
Net GEX41.0M34.5M49.3M34.5M37.0M
Net DEX-1.21B-1.51B-850.6M-850.6M-1.04B
Net VEX-5.0M-5.6M-4.6M-5.6M-5.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.950.5221.462.602.90
Total Volume12,297.3811,76558,61015,7505,700
Total OI566,404.524519,295601,930536,160584,050

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-04-01$69.84$67.0022.6%6.5%30.3%0.0%25.2%4.5%4.0%34.5M-850.6M-5.6M2.6079.254,37011,380306,560229,600
2021-04-05$70.70$66.0024.5%7.5%30.4%6.5%31.5%3.9%-3.6%40.1M-988.2M-5.4M4.0562.952,0258,210308,545237,050
2021-04-06$71.17$66.0023.5%7.4%28.4%3.7%33.2%5.1%-3.8%42.7M-1.04B-5.4M4.8562.611,7058,270308,435246,230
2021-04-07$71.02$66.0022.3%7.3%24.8%0.0%30.0%3.8%-3.7%41.5M-1.03B-5.3M11.8664.9892510,975307,650249,465
2021-04-08$72.30$66.0021.4%7.2%25.1%0.0%27.7%4.1%-3.1%46.8M-1.21B-5.1M1.5368.828,62513,195308,235259,385
2021-04-09$72.61$66.0019.7%7.2%23.1%0.0%28.9%5.1%-2.4%43.5M-1.22B-5.2M2.3975.111,6253,885311,875271,380
2021-04-12$72.95$66.0021.4%7.3%22.4%6.1%27.2%4.1%-0.9%49.3M-1.30B-5.0M0.9975.652,1602,140312,345274,610
2021-04-13$74.20$66.0022.4%7.0%22.9%9.7%23.3%6.3%-1.8%43.7M-1.44B-4.8M1.4677.9423,85534,755312,120276,205
2021-04-14$73.29$66.0024.5%7.0%23.5%16.8%26.0%2.5%0.0%44.6M-1.34B-5.1M5.0778.482,19511,130312,025279,190
2021-04-15$74.64$66.0022.3%6.4%23.8%9.3%23.8%5.5%-2.2%42.2M-1.51B-4.8M1.1681.052,2202,570313,825286,705
2021-04-16$74.17$66.0021.5%6.2%19.5%6.4%23.2%3.0%-1.5%47.4M-1.44B-4.9M0.5283.365,3902,810312,325289,605
2021-04-19$72.98$66.0023.0%6.6%20.8%11.6%25.1%4.1%-2.9%43.1M-1.23B-4.9M21.4682.4081517,490296,820222,475
2021-04-20$72.45$66.0025.7%7.4%20.8%21.2%29.2%6.5%-3.5%39.0M-1.10B-5.1M5.9575.042,97017,670297,040229,935
2021-04-21$72.65$66.0023.4%6.7%20.7%13.1%23.3%6.9%-2.7%38.9M-1.11B-5.1M2.6774.033,4309,155298,945246,055
2021-04-22$72.72$66.0024.9%7.2%18.0%18.4%27.2%6.6%-2.6%37.1M-1.13B-5.1M1.1275.574,4955,020302,105254,340
2021-04-23$73.70$66.0023.1%6.6%17.9%12.0%26.7%6.7%-2.2%38.3M-1.24B-5.1M2.8075.814651,300305,920257,405
2021-04-26$74.45$66.0024.1%6.9%17.9%15.4%26.9%5.4%-4.3%38.4M-1.35B-4.7M8.6076.731,1559,935306,180257,315
2021-04-27$74.25$66.0024.4%7.0%17.9%16.5%26.2%5.7%-4.3%36.7M-1.32B-4.8M0.9978.401,1701,160306,575265,485
2021-04-28$74.15$66.0025.6%7.3%17.9%20.6%26.8%5.7%-4.2%37.3M-1.35B-4.6M4.3879.628353,655307,325265,525
2021-04-29$72.92$66.0023.5%6.8%17.9%13.6%27.1%5.2%-3.3%38.9M-1.16B-4.9M16.6481.344206,990308,075269,560
2021-04-30$72.16$66.0024.4%7.0%17.5%16.4%25.3%5.8%-3.0%37.0M-1.04B-5.0M2.9080.651,4604,240308,010276,040