IGV Options History — October 2021

In October 2021, IGV traded between $78.50 and $87.74. ATM implied volatility averaged 21.9%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.2% (HV 20d: 23.1%). Max pain ranged from $78.00 to $83.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 2.26.

Notable Days

  • 2021-10-21: Highest Volume — 123,025 contracts
  • 2021-10-04: Largest IV spike — 23.0% change
  • 2021-10-04: Highest IV Rank — 49.9%
  • 2021-10-04: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.99$78.50$87.74$80.99$87.74
Max Pain$78.24$78.00$83.00$83.00$78.00
ATM IV21.9%19.5%29.0%23.6%19.5%
Expected Move6.2%5.6%7.5%6.8%5.6%
HV 20d23.1%18.2%25.9%21.2%18.5%
HV 60d18.1%16.9%18.6%16.9%17.9%
IV Rank22.9%13.7%49.9%29.4%13.7%
IV Percentile30.4%13.5%78.6%39.7%13.5%
Term Structure0.6%-1.2%1.6%0.3%1.3%
VWIV23.0%20.1%28.6%24.5%21.9%
Skew 25d5.7%4.3%7.3%7.1%4.5%
Skew 10d11.0%8.6%13.6%13.6%8.8%
Call IV 25d19.2%17.7%23.5%20.8%18.0%
Put IV 25d24.9%22.4%30.7%27.9%22.6%
Bid-Ask Spread %74.9770.3479.8271.2877.59
Gamma HHI0.190.070.300.280.07
Net GEX31.7M21.0M50.7M26.8M21.0M
Net DEX-1.31B-1.92B-558.5M-951.9M-1.44B
Net VEX-4.8M-6.0M-3.7M-5.9M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.260.385.401.492.64
Total Volume36,174.2864,630123,0256,20048,680
Total OI549,648.095501,460603,925528,660508,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$80.99$83.0023.6%6.8%21.2%29.4%24.5%7.1%0.3%26.8M-951.9M-5.9M1.4971.282,4903,710285,560243,100
2021-10-04$78.50$78.0029.0%7.5%22.9%49.9%26.1%7.3%-1.2%29.7M-558.5M-6.0M2.9570.6014,21541,990291,210244,095
2021-10-05$79.93$78.0024.6%7.0%24.0%33.0%25.3%6.8%-0.4%31.0M-796.8M-5.8M0.3870.956,1652,315288,900244,000
2021-10-06$80.17$78.0025.0%7.0%24.1%34.8%24.7%7.0%-0.4%23.0M-818.1M-5.9M1.0370.6915,09015,615298,765272,595
2021-10-07$81.42$78.0022.8%6.5%24.9%26.4%23.6%6.8%0.4%23.0M-1.06B-5.7M0.6573.633,5702,330298,715273,085
2021-10-08$80.89$78.0021.1%6.4%24.9%19.8%23.2%6.6%0.9%33.1M-1.02B-5.7M5.4073.432,55013,765306,490271,040
2021-10-11$80.84$78.0025.2%6.5%24.4%35.4%24.9%6.7%0.3%32.8M-1.01B-5.6M1.7070.341,9853,380306,240271,300
2021-10-12$81.42$78.0027.3%6.7%24.6%43.2%23.2%6.6%-0.1%32.7M-1.13B-5.4M2.2773.982,5255,740305,405279,860
2021-10-13$83.10$78.0021.8%6.2%25.3%22.4%23.3%6.0%0.7%34.8M-1.40B-5.2M3.7274.574,65017,315306,055287,295
2021-10-14$84.49$78.0021.0%6.0%25.9%19.6%23.4%5.7%0.6%45.0M-1.63B-4.8M3.6972.454,85517,920306,975289,895
2021-10-15$84.76$78.0019.6%5.6%25.7%14.3%20.9%5.2%1.1%50.7M-1.69B-4.6M1.0173.572,3052,325308,425295,500
2021-10-18$85.65$78.0020.0%5.7%24.2%15.8%20.9%5.5%1.0%42.2M-1.72B-4.4M0.5276.2022,36511,705296,725247,705
2021-10-19$86.42$78.0020.3%5.8%24.2%16.7%22.4%5.1%0.7%38.0M-1.85B-4.1M4.0175.916,42025,715296,895248,210
2021-10-20$86.34$78.0020.1%5.8%24.1%16.0%22.3%5.0%1.1%42.0M-1.84B-4.5M3.2577.4510,92035,490309,625262,870
2021-10-21$87.01$78.0019.6%5.6%23.6%14.3%28.6%5.1%1.2%38.5M-1.92B-4.4M0.4378.7786,15536,870309,870264,000
2021-10-22$86.55$78.0019.6%5.6%23.8%14.1%20.1%5.1%1.6%26.4M-1.31B-4.1M2.2478.1919,99544,815237,735266,510
2021-10-25$87.17$78.0019.7%5.7%22.9%14.8%20.1%4.8%1.2%22.1M-1.36B-3.8M2.6478.8116,21042,840233,225268,235
2021-10-26$87.08$78.0019.6%5.6%18.2%14.1%21.6%4.6%1.4%23.5M-1.34B-3.8M2.3278.5318,17542,195233,125268,515
2021-10-27$86.29$78.0020.5%5.9%18.7%17.8%21.1%4.3%0.9%24.5M-1.29B-3.9M2.6877.6014,30038,390237,830269,310
2021-10-28$86.94$78.0019.9%5.7%18.6%15.4%21.3%4.5%0.9%23.7M-1.34B-3.9M2.4879.8214,82536,790237,455271,555
2021-10-29$87.74$78.0019.5%5.6%18.5%13.7%21.9%4.5%1.3%21.0M-1.44B-3.7M2.6477.5913,38035,300237,280271,430