IGV Options History — May 2021

In May 2021, IGV traded between $66.91 and $71.92. ATM implied volatility averaged 25.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 4.1% (HV 20d: 21.7%). Max pain ranged from $66.00 to $73.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 4.81.

Notable Days

  • 2021-05-17: Highest Volume — 157,635 contracts
  • 2021-05-12: Largest IV drop — 17.2% change
  • 2021-05-11: Highest IV Rank — 44.5%
  • 2021-05-19: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.35$66.91$71.92$71.24$71.92
Max Pain$70.20$66.00$73.00$66.00$69.00
ATM IV25.8%20.7%32.4%24.9%20.7%
Expected Move7.1%5.9%8.3%7.1%5.9%
HV 20d21.7%17.7%24.6%17.7%24.1%
HV 60d26.9%24.1%28.0%26.5%24.1%
IV Rank21.3%3.7%44.5%18.3%3.7%
IV Percentile23.0%0.4%76.6%11.9%0.4%
Term Structure-0.7%-5.1%1.1%-3.4%1.1%
VWIV26.8%22.7%34.4%25.3%22.7%
Skew 25d6.4%4.4%8.4%6.4%4.4%
Skew 10d12.4%7.9%17.6%11.5%7.9%
Call IV 25d22.3%19.2%25.5%21.9%19.2%
Put IV 25d28.6%23.6%33.4%28.3%23.6%
Bid-Ask Spread %63.8451.5478.9978.5267.45
Gamma HHI0.130.110.150.140.13
Net GEX18.6M-10.5M37.4M37.4M15.3M
Net DEX-551.9M-906.5M-89.8M-906.5M-771.5M
Net VEX-5.0M-5.4M-4.4M-4.9M-5.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.810.0322.591.372.19
Total Volume26,427.53,875157,6353,8754,225
Total OI630,291519,915778,495587,255572,060

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-05-03$71.24$66.0024.9%7.1%17.7%18.3%25.3%6.4%-3.4%37.4M-906.5M-4.9M1.3778.521,6352,240308,500278,755
2021-05-04$69.17$66.0028.2%8.1%20.5%29.7%27.9%7.7%-5.1%28.7M-557.8M-5.0M2.9577.587,43521,910308,915279,110
2021-05-05$68.98$66.0028.4%8.2%20.5%30.7%30.0%5.9%-5.1%27.3M-522.8M-5.0M1.6978.9914,78525,025308,885286,730
2021-05-06$68.29$73.0028.6%6.9%19.4%31.3%25.1%6.5%-0.7%22.2M-376.7M-5.0M1.3951.545,2007,230322,400305,585
2021-05-07$69.33$73.0026.2%6.4%20.3%22.9%24.8%6.8%0.6%29.1M-589.7M-5.0M2.8155.062,7857,825325,275308,040
2021-05-10$68.00$73.0029.3%7.2%20.9%33.6%27.2%5.8%-0.8%20.3M-308.8M-5.0M5.1957.511,1956,205324,850311,985
2021-05-11$68.43$73.0032.4%7.5%19.9%44.5%28.4%6.6%-0.7%22.8M-375.5M-4.8M2.7451.893,3209,095325,610316,935
2021-05-12$66.91$73.0026.8%7.7%20.7%25.0%30.1%7.5%-0.2%15.0M-92.6M-4.9M1.5460.236,4309,925326,495317,475
2021-05-13$67.01$73.0025.0%7.2%19.1%18.6%27.0%7.0%0.5%12.2M-89.8M-4.7M1.5767.443,9656,245325,290323,080
2021-05-14$68.52$73.0023.4%6.7%21.5%12.9%27.3%6.6%-0.2%21.3M-406.0M-4.7M1.2066.063,0953,720326,765321,265
2021-05-17$67.87$72.0025.8%7.4%21.1%21.4%26.7%7.3%-0.6%19.9M-289.6M-4.4M0.0369.07152,9054,730328,355323,735
2021-05-18$68.45$71.0026.5%7.6%21.5%23.9%30.6%7.2%0.1%23.9M-619.8M-5.3M2.1357.6614,03029,930379,865322,280
2021-05-19$68.06$69.0029.0%8.3%21.4%32.7%34.4%8.4%-2.0%21.1M-527.8M-5.4M8.2456.733,34527,550389,250346,230
2021-05-20$70.11$69.0026.2%7.5%24.4%22.7%27.0%6.8%-0.2%4.9M-896.6M-5.3M0.6957.2817,99512,470390,670368,860
2021-05-21$69.78$69.0024.8%7.1%23.7%17.7%26.8%6.4%0.3%-10.5M-859.1M-5.3M8.7259.614,52539,445401,560376,935
2021-05-24$71.02$69.0022.7%6.5%24.4%10.6%23.3%5.5%0.5%13.8M-679.5M-5.2M8.6063.672,21019,010254,215265,700
2021-05-25$71.11$69.0022.9%6.6%24.4%11.4%24.0%4.8%0.6%13.9M-689.7M-5.2M3.7864.961,9807,490254,410279,575
2021-05-26$71.64$69.0021.3%6.1%24.6%5.7%24.0%4.8%0.8%18.4M-768.4M-5.0M22.5967.981,02523,150255,685285,190
2021-05-27$71.24$69.0021.8%6.3%24.0%7.5%23.3%4.7%0.9%14.5M-709.1M-5.1M16.8167.5974512,525255,785303,515
2021-05-28$71.92$69.0020.7%5.9%24.1%3.7%22.7%4.4%1.1%15.3M-771.5M-5.1M2.1967.451,3252,900255,780316,280