IGV Options History — September 2021

In September 2021, IGV traded between $80.03 and $85.72. ATM implied volatility averaged 21.1%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 5.8% (HV 20d: 15.2%). Max pain ranged from $82.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.51.

Notable Days

  • 2021-09-01: Highest Volume — 37,455 contracts
  • 2021-09-20: Largest IV spike — 34.0% change
  • 2021-09-20: Highest IV Rank — 44.8%
  • 2021-09-20: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.19$80.03$85.72$85.04$80.03
Max Pain$82.90$82.00$83.00$82.00$83.00
ATM IV21.1%15.8%27.7%17.2%25.9%
Expected Move6.1%4.9%7.9%4.9%7.4%
HV 20d15.2%12.3%20.7%12.3%20.5%
HV 60d14.7%13.8%17.0%13.9%16.9%
IV Rank19.4%0.0%44.8%2.9%38.0%
IV Percentile23.8%0.0%65.1%1.2%54.4%
Term Structure0.6%-2.1%2.8%2.8%-0.8%
VWIV23.2%19.2%28.3%19.6%25.5%
Skew 25d6.4%3.9%8.5%3.9%8.1%
Skew 10d12.0%7.7%15.8%7.7%14.1%
Call IV 25d18.8%15.8%23.4%15.8%22.0%
Put IV 25d25.2%19.8%31.8%19.8%30.1%
Bid-Ask Spread %63.7754.2774.9374.9369.55
Gamma HHI0.240.200.300.220.28
Net GEX19.8M2.6M28.2M27.1M26.0M
Net DEX-1.22B-1.52B-761.2M-1.47B-783.7M
Net VEX-5.8M-6.2M-5.3M-5.5M-6.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.510.3018.4118.410.86
Total Volume10,874.0482,46037,45537,4557,370
Total OI522,735.952488,160546,075488,160529,600

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$85.04$82.0017.2%4.9%12.3%2.9%19.6%3.9%2.8%27.1M-1.47B-5.5M18.4174.931,93035,525273,430214,730
2021-09-02$84.74$82.0017.5%5.6%12.3%4.1%20.8%5.5%1.1%26.7M-1.44B-5.5M0.4055.114,7601,900274,375215,830
2021-09-03$85.72$83.0015.8%5.4%12.6%0.0%21.8%5.1%1.5%20.3M-1.52B-5.5M11.0356.212,15023,725275,010238,460
2021-09-07$84.74$83.0018.4%5.7%13.6%7.9%19.2%5.3%0.8%19.5M-1.42B-5.6M0.3058.384,1551,260278,250236,655
2021-09-08$84.16$83.0020.2%5.8%13.0%13.3%23.6%5.4%1.2%11.8M-1.31B-6.0M1.9054.272,7855,305279,460252,990
2021-09-09$84.21$83.0020.7%5.9%12.8%18.4%23.0%5.8%0.8%12.7M-1.33B-5.9M0.8457.935,6804,775282,730253,215
2021-09-10$83.56$83.0021.0%6.0%12.9%19.4%25.0%6.1%0.7%9.0M-1.23B-6.0M2.2360.485,97013,290283,660254,210
2021-09-13$82.39$83.0022.0%6.3%14.0%23.4%24.6%6.8%0.4%2.6M-1.06B-6.1M2.1560.281,9704,235286,300256,175
2021-09-14$82.51$83.0020.9%6.0%13.6%19.1%22.8%6.5%0.7%6.2M-1.11B-6.1M5.0557.091,4207,170289,570256,145
2021-09-15$83.51$83.0019.2%5.5%13.8%12.6%23.7%6.1%1.4%8.9M-1.29B-5.8M2.6163.991,7604,600290,670255,405
2021-09-16$84.09$83.0019.2%5.5%13.9%12.8%22.5%5.8%1.6%14.6M-1.39B-5.6M4.4665.031,1855,290291,130253,315
2021-09-17$83.34$83.0020.7%5.9%14.4%18.2%22.1%6.4%1.1%26.4M-1.28B-5.7M3.4154.902,8809,830290,750252,520
2021-09-20$81.42$83.0027.7%7.9%16.4%44.8%28.3%8.5%-2.1%28.2M-991.7M-6.2M0.9663.973,5653,415280,525221,035
2021-09-21$82.28$83.0024.1%6.9%15.8%31.5%25.8%7.6%-0.7%26.1M-1.10B-6.0M1.6465.471,3352,185280,565227,985
2021-09-22$83.01$83.0021.7%6.2%16.0%22.1%23.8%7.2%0.6%25.2M-1.21B-5.8M1.9669.518301,630281,850229,315
2021-09-23$84.32$83.0019.7%5.6%17.0%14.6%22.0%5.9%1.6%26.0M-1.41B-5.4M5.2669.081,5558,185282,060230,090
2021-09-24$84.54$83.0018.6%5.3%16.9%10.4%22.8%5.9%1.7%26.1M-1.43B-5.3M3.3270.581,5105,020282,455230,960
2021-09-27$83.13$83.0020.5%5.9%17.0%17.8%22.2%6.1%0.8%23.9M-1.25B-5.5M0.6771.262,6401,770282,585236,530
2021-09-28$80.28$83.0026.6%7.6%20.7%40.7%24.8%8.0%-1.7%24.3M-804.5M-6.0M4.5068.434,90022,045283,215239,940
2021-09-29$80.04$83.0025.4%7.3%20.7%36.3%24.2%8.1%-0.8%23.7M-761.2M-6.0M1.8472.672,4154,435283,030240,730
2021-09-30$80.03$83.0025.9%7.4%20.5%38.0%25.5%8.1%-0.8%26.0M-783.7M-6.0M0.8669.553,9703,400284,775244,825