IGV Options History — August 2021

In August 2021, IGV traded between $80.47 and $85.13. ATM implied volatility averaged 18.9%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.4% (HV 20d: 14.5%). Max pain ranged from $67.00 to $82.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 5.22.

Notable Days

  • 2021-08-05: Highest Volume — 164,180 contracts
  • 2021-08-27: Largest IV drop — 12.7% change
  • 2021-08-19: Highest IV Rank — 16.8%
  • 2021-08-19: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.16$80.47$85.13$80.51$84.59
Max Pain$78.27$67.00$82.00$67.00$82.00
ATM IV18.9%16.2%22.5%19.8%16.8%
Expected Move5.5%4.7%6.4%5.7%4.8%
HV 20d14.5%11.7%16.6%16.3%12.9%
HV 60d15.2%13.8%17.3%17.3%13.9%
IV Rank5.6%0.0%16.8%7.8%1.7%
IV Percentile6.4%0.0%24.2%6.7%0.8%
Term Structure1.9%0.3%2.9%1.7%2.7%
VWIV21.7%17.9%25.8%22.8%17.9%
Skew 25d4.8%3.6%6.3%4.5%4.2%
Skew 10d9.5%7.3%12.9%8.1%8.3%
Call IV 25d17.6%15.0%20.3%18.5%15.8%
Put IV 25d22.4%18.9%26.5%23.0%20.0%
Bid-Ask Spread %62.6950.8274.8571.1574.85
Gamma HHI0.250.060.360.060.22
Net GEX29.4M2.0M44.7M2.0M28.3M
Net DEX-1.32B-1.51B-1.10B-1.37B-1.44B
Net VEX-5.3M-6.1M-3.4M-3.5M-5.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.220.0239.120.350.83
Total Volume23,204.5453,475164,1803,4754,010
Total OI557,114.091418,515647,570558,680482,510

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-08-02$80.51$67.0019.8%5.7%16.3%7.8%22.8%4.5%1.7%2.0M-1.37B-3.5M0.3571.152,570905243,860314,820
2021-08-03$80.60$67.0018.6%5.3%15.9%4.1%20.3%4.2%2.2%2.1M-1.38B-3.4M0.3270.582,625850243,745315,365
2021-08-04$81.69$67.0018.5%5.3%16.6%3.6%19.6%4.2%2.1%4.2M-1.45B-3.4M0.0273.8376,3801,495244,915315,000
2021-08-05$82.23$76.0018.4%5.9%16.2%3.5%22.9%5.4%1.6%6.0M-1.10B-3.4M0.0251.56161,6352,545198,185315,435
2021-08-06$81.93$76.0017.3%5.6%16.2%0.0%21.8%4.8%2.0%25.3M-1.51B-4.5M1.8650.821,6153,010273,425316,240
2021-08-09$81.98$76.0017.8%5.7%15.9%1.5%21.7%4.9%2.0%43.7M-1.36B-5.8M3.5055.021,0503,675281,145317,970
2021-08-10$81.00$77.0018.6%6.0%16.6%4.2%21.3%4.9%1.5%43.1M-1.25B-5.8M5.0856.663,10515,765281,330320,495
2021-08-11$80.72$77.0020.2%5.8%16.4%9.3%22.8%4.9%1.8%42.5M-1.22B-5.8M1.7257.551,6802,895281,550323,680
2021-08-12$81.57$82.0019.5%5.6%15.8%7.0%22.4%4.6%2.3%38.1M-1.28B-5.8M3.7155.269753,615283,610336,440
2021-08-13$81.75$82.0018.8%5.4%15.8%4.9%20.4%4.5%2.9%38.1M-1.30B-5.8M1.2353.338,14010,015283,620337,785
2021-08-16$81.06$82.0019.7%5.7%16.0%7.8%22.9%4.5%2.3%38.8M-1.23B-5.7M1.6458.444,0306,595283,725337,960
2021-08-17$80.47$82.0021.6%6.2%13.7%13.7%23.9%5.8%1.4%35.1M-1.13B-6.1M1.6460.693,1055,100290,900346,775
2021-08-18$80.63$80.0021.6%6.2%13.7%13.9%25.8%6.2%1.5%35.8M-1.16B-6.0M4.3362.181,1905,150292,685347,845
2021-08-19$80.89$80.0022.5%6.4%12.9%16.8%23.9%6.3%0.3%34.6M-1.20B-6.1M7.1356.632,18515,570294,005349,520
2021-08-20$81.82$80.0020.1%5.8%12.5%8.9%23.0%5.5%1.4%44.7M-1.35B-5.8M7.1259.854,00028,475294,325353,245
2021-08-23$83.09$81.0018.5%5.3%13.6%3.8%20.6%5.0%1.9%35.5M-1.30B-5.6M7.1565.783,75026,830268,090150,425
2021-08-24$83.57$81.0018.0%5.2%12.1%2.3%19.9%4.4%2.0%32.0M-1.35B-5.8M5.3566.902,78014,870270,055172,920
2021-08-25$83.91$81.0018.0%5.2%11.7%2.4%22.0%4.7%1.8%33.3M-1.38B-5.7M39.1270.3592536,185271,495182,505
2021-08-26$83.51$82.0018.6%5.3%11.9%4.2%21.9%5.3%1.5%31.2M-1.33B-6.0M4.1667.801,0754,470273,115193,885
2021-08-27$84.78$82.0016.2%4.7%12.6%0.0%19.3%4.2%2.6%25.4M-1.44B-5.8M12.3369.491,61519,905273,150212,680
2021-08-30$85.13$82.0016.8%4.8%12.5%1.6%19.9%3.6%2.6%26.6M-1.50B-5.5M6.1470.411,98012,160273,470212,610
2021-08-31$84.59$82.0016.8%4.8%12.9%1.7%17.9%4.2%2.7%28.3M-1.44B-5.7M0.8374.852,1901,820273,910208,600