IGV Options History — June 2021

In June 2021, IGV traded between $70.61 and $79.04. ATM implied volatility averaged 20.3%, placing in the 4.2% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 2.7% (HV 20d: 17.6%). Max pain ranged from $69.00 to $76.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.64.

Notable Days

  • 2021-06-23: Highest Volume — 39,035 contracts
  • 2021-06-04: Largest IV drop — 9.6% change
  • 2021-06-01: Highest IV Rank — 11.3%
  • 2021-06-01: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.03$70.61$79.04$71.42$78.21
Max Pain$71.64$69.00$76.00$69.00$76.00
ATM IV20.3%18.2%22.9%22.9%19.6%
Expected Move5.8%5.2%6.6%6.6%5.6%
HV 20d17.6%13.6%23.7%23.7%14.5%
HV 60d20.7%18.9%24.2%24.2%19.0%
IV Rank4.2%0.0%11.3%11.3%4.9%
IV Percentile1.9%0.0%5.2%5.2%2.8%
Term Structure1.1%0.2%1.9%0.2%1.9%
VWIV22.3%19.2%25.0%23.6%21.1%
Skew 25d4.6%3.1%6.0%4.4%3.1%
Skew 10d9.6%7.0%11.7%8.2%7.3%
Call IV 25d18.7%17.2%20.8%20.8%18.2%
Put IV 25d23.3%20.9%26.4%25.2%21.3%
Bid-Ask Spread %67.8856.0276.9770.0576.57
Gamma HHI0.150.110.530.130.11
Net GEX33.9M5.7M146.2M12.5M33.6M
Net DEX-1.11B-1.44B-585.5M-710.5M-1.37B
Net VEX-4.1M-5.0M-3.4M-4.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.640.143.551.803.55
Total Volume14,674.77393039,0353,16031,500
Total OI561,957.045497,535632,775574,375532,020

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-06-01$71.42$69.0022.9%6.6%23.7%11.3%23.6%4.4%0.2%12.5M-710.5M-4.9M1.8070.051,1302,030256,045318,330
2021-06-02$71.34$69.0022.4%6.4%21.0%9.6%23.6%4.3%0.4%11.9M-693.3M-4.9M1.6772.972,0303,380255,905319,880
2021-06-03$70.61$70.0022.7%6.5%21.4%10.6%24.6%6.0%0.2%5.7M-585.5M-5.0M1.0257.666,3856,520257,025321,765
2021-06-04$72.16$71.0020.5%6.2%22.2%3.0%24.1%5.3%0.6%18.1M-803.5M-4.7M0.1458.219,2251,330252,120316,720
2021-06-07$72.60$70.0021.0%6.1%21.7%4.7%24.4%5.7%0.6%24.7M-884.0M-4.6M0.1756.022,855480255,395317,005
2021-06-08$72.99$70.0021.1%6.1%20.2%5.1%23.8%5.6%1.0%27.9M-939.8M-4.4M1.4359.492,1803,115256,085316,950
2021-06-09$72.95$70.0021.6%6.2%20.2%6.6%24.4%5.5%1.0%26.3M-919.3M-4.4M3.2461.761,3454,360255,720318,780
2021-06-10$74.06$70.0020.0%5.7%18.2%1.1%23.3%4.8%1.1%31.0M-1.05B-4.2M2.8162.012,5207,085254,255322,820
2021-06-11$74.83$70.0019.1%5.5%18.2%0.0%20.3%4.7%1.4%34.3M-1.16B-4.0M1.4163.364,1455,845255,160321,365
2021-06-14$75.61$70.0019.8%5.7%17.2%2.6%22.1%5.0%1.1%30.5M-1.24B-3.9M0.3765.5618,5856,965257,470327,775
2021-06-15$74.73$70.0020.3%5.8%17.4%4.4%20.3%4.4%1.0%36.0M-1.17B-4.0M0.1968.0429,8255,595272,480334,015
2021-06-16$74.47$70.0021.3%6.1%17.6%7.7%23.3%4.6%0.7%44.8M-1.13B-4.2M2.9168.861,1753,420293,415337,855
2021-06-17$75.70$72.0020.2%5.8%17.7%3.8%25.0%4.7%1.2%60.2M-1.30B-4.0M3.2967.882,8859,490285,850339,585
2021-06-18$75.94$72.0021.3%6.1%15.2%7.6%24.1%5.1%1.0%146.2M-1.32B-4.0M0.6166.3420,52012,455285,245347,530
2021-06-21$76.06$72.0020.7%5.9%14.9%5.6%21.5%4.8%1.2%24.7M-1.15B-3.9M1.8569.401,5002,775249,890247,645
2021-06-22$76.99$72.0019.2%5.5%14.4%0.3%20.8%4.4%1.5%27.8M-1.23B-3.7M2.6071.651,3653,545250,130249,865
2021-06-23$77.04$72.0019.2%5.5%14.4%0.3%22.9%4.4%1.6%28.7M-1.25B-3.6M2.5174.2811,12027,915251,120248,910
2021-06-24$77.64$73.0018.2%5.2%14.4%0.0%19.3%3.8%1.5%27.7M-1.30B-3.6M1.4175.167,35010,340250,910256,515
2021-06-25$77.65$76.0018.2%5.2%14.0%0.0%19.2%3.8%1.9%28.4M-1.29B-3.6M0.5875.31590340257,380264,515
2021-06-28$78.59$76.0018.4%5.3%14.2%0.9%20.1%3.5%1.6%31.4M-1.40B-3.4M1.3475.903,7655,035257,505264,615
2021-06-29$79.04$76.0019.0%5.5%13.6%2.8%19.9%3.6%1.7%32.7M-1.44B-3.4M1.2676.9717,18521,645260,215269,275
2021-06-30$78.21$76.0019.6%5.6%14.5%4.9%21.1%3.1%1.9%33.6M-1.37B-3.6M3.5576.576,92524,575262,705269,315