IGV Options History — July 2021

In July 2021, IGV traded between $77.20 and $81.58. ATM implied volatility averaged 20.6%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 6.3% (HV 20d: 14.3%). Max pain ranged from $67.00 to $77.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2021-07-09: Highest Volume — 28,860 contracts
  • 2021-07-09: Largest IV drop — 17.4% change
  • 2021-07-19: Highest IV Rank — 23.4%
  • 2021-07-19: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.54$77.20$81.58$78.14$80.63
Max Pain$67.90$67.00$77.00$76.00$67.00
ATM IV20.6%17.4%24.6%19.6%19.2%
Expected Move5.9%5.0%7.1%5.6%5.5%
HV 20d14.3%12.3%17.2%13.6%16.8%
HV 60d18.5%17.4%19.0%19.0%17.5%
IV Rank10.2%0.0%23.4%4.7%6.0%
IV Percentile8.0%0.0%26.2%2.8%4.0%
Term Structure1.1%-1.0%3.0%2.1%2.0%
VWIV22.2%19.4%26.3%19.4%20.9%
Skew 25d4.5%3.1%5.8%3.1%4.3%
Skew 10d8.9%6.0%11.3%6.0%8.1%
Call IV 25d18.8%16.2%21.6%17.3%17.7%
Put IV 25d23.3%19.5%27.4%20.5%22.0%
Bid-Ask Spread %72.4361.8881.6776.6875.96
Gamma HHI0.100.060.350.110.06
Net GEX21.1M1.4M56.5M35.2M2.3M
Net DEX-1.37B-1.58B-1.08B-1.36B-1.38B
Net VEX-3.6M-4.2M-3.1M-3.7M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.1912.947.181.58
Total Volume10,942.14386028,86010,6801,705
Total OI570,213.095537,725621,985547,045558,195

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-07-01$78.14$76.0019.6%5.6%13.6%4.7%19.4%3.1%2.1%35.2M-1.36B-3.7M7.1876.681,3059,375268,265278,780
2021-07-02$79.10$77.0017.4%5.0%12.4%0.0%20.3%3.3%3.0%36.7M-1.45B-3.4M1.3381.675,0906,755268,215285,635
2021-07-06$79.92$67.0020.2%6.1%12.6%9.2%23.3%4.6%0.5%35.2M-1.58B-3.1M0.2467.078,8052,110270,130291,045
2021-07-07$80.01$67.0021.0%6.2%12.6%11.9%23.4%4.5%-0.2%40.4M-1.57B-3.4M2.5568.015,31513,530276,195292,280
2021-07-08$79.25$67.0023.4%6.5%13.5%19.6%23.9%4.9%-1.0%36.0M-1.45B-3.7M0.1965.9812,2802,340279,895303,165
2021-07-09$79.72$67.0019.4%6.0%12.9%6.4%21.8%4.6%0.8%41.3M-1.53B-3.4M0.7469.3616,55512,305277,690304,105
2021-07-12$79.15$67.0021.6%6.1%13.2%13.7%24.9%4.3%0.9%36.4M-1.46B-3.4M9.8170.561,84018,050274,070314,795
2021-07-13$79.20$67.0022.6%6.2%12.9%16.9%24.5%4.7%1.3%32.9M-1.46B-3.5M12.9467.401,70522,065269,210330,070
2021-07-14$78.59$67.0020.8%6.0%12.4%11.1%21.8%4.3%1.7%32.3M-1.37B-3.6M3.8369.242,62510,055269,420341,100
2021-07-15$77.60$67.0021.3%6.1%13.4%12.9%22.5%4.2%0.5%18.4M-1.17B-4.0M1.3273.262,4803,265270,340351,355
2021-07-16$77.74$67.0021.3%6.1%12.3%12.6%21.8%4.8%0.7%56.5M-1.22B-3.8M1.7271.526,70511,560270,515351,470
2021-07-19$77.20$67.0024.6%7.1%12.6%23.4%26.3%5.8%-0.4%7.2M-1.08B-4.2M3.2571.445,51017,920243,175294,550
2021-07-20$79.22$67.0021.1%6.0%15.4%11.9%22.8%5.0%0.9%6.0M-1.24B-3.9M7.1076.691,51510,750243,255302,540
2021-07-21$79.36$67.0020.3%5.8%14.9%9.5%22.2%5.0%1.1%4.5M-1.23B-4.1M0.9871.16435425243,600311,505
2021-07-22$80.41$67.0020.2%5.8%15.5%9.0%21.2%4.7%1.0%5.4M-1.34B-3.8M0.7873.611,2951,015243,715311,640
2021-07-23$81.58$67.0017.9%5.1%16.0%1.8%20.3%4.1%1.9%4.6M-1.44B-3.6M1.1076.692,4002,640243,575312,285
2021-07-26$81.36$67.0019.7%5.7%16.1%7.7%21.5%4.2%1.4%4.6M-1.42B-3.6M1.5261.888301,265243,560312,285
2021-07-27$80.09$67.0021.5%6.2%16.9%13.3%23.1%4.6%1.0%1.4M-1.32B-3.7M0.6080.182,1501,280243,365313,835
2021-07-28$80.99$67.0019.5%5.6%17.2%7.0%20.6%4.7%1.7%3.0M-1.39B-3.6M0.3381.65925305243,705314,250
2021-07-29$81.02$67.0019.1%5.5%16.6%5.6%20.1%4.3%1.7%2.9M-1.39B-3.6M1.1671.05605700243,320314,375
2021-07-30$80.63$67.0019.2%5.5%16.8%6.0%20.9%4.3%2.0%2.3M-1.38B-3.5M1.5875.966601,045243,780314,415