IGV Options History — November 2021

In November 2021, IGV traded between $83.08 and $89.28. ATM implied volatility averaged 23.5%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 7.7% (HV 20d: 15.8%). Max pain ranged from $78.00 to $86.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.83.

Notable Days

  • 2021-11-10: Highest Volume — 83,485 contracts
  • 2021-11-30: Largest IV spike — 13.2% change
  • 2021-11-30: Highest IV Rank — 79.6%
  • 2021-11-30: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.02$83.08$89.28$87.42$83.08
Max Pain$83.81$78.00$86.00$78.00$85.00
ATM IV23.5%18.9%31.4%20.2%31.4%
Expected Move6.8%5.4%9.0%5.8%9.0%
HV 20d15.8%11.9%22.2%13.4%22.2%
HV 60d18.8%17.7%20.8%17.9%20.8%
IV Rank38.7%13.0%79.6%16.4%79.6%
IV Percentile48.2%9.5%96.0%22.2%96.0%
Term Structure0.0%-2.5%1.5%0.9%-2.5%
VWIV24.7%21.1%31.4%22.3%31.4%
Skew 25d4.8%3.5%6.8%4.3%6.8%
Skew 10d9.4%7.3%12.9%8.9%12.9%
Call IV 25d21.8%18.1%28.6%18.3%28.6%
Put IV 25d26.6%21.7%35.4%22.6%35.4%
Bid-Ask Spread %64.1054.3082.3180.2764.54
Gamma HHI0.090.060.250.080.06
Net GEX12.1M-4.9M27.9M23.1M-4.9M
Net DEX-1.16B-1.64B-216.2M-1.41B-216.2M
Net VEX-3.4M-3.7M-3.0M-3.6M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.831.414.972.642.70
Total Volume52,90539,44583,48547,41048,855
Total OI497,097.143370,590570,395510,620414,005

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$87.42$78.0020.2%5.8%13.4%16.4%22.3%4.3%0.9%23.1M-1.41B-3.6M2.6480.2713,03534,375237,690272,930
2021-11-02$87.63$78.0019.3%5.5%12.6%13.0%21.1%4.1%1.3%22.0M-1.45B-3.4M3.1182.3112,11037,620238,585273,620
2021-11-03$87.72$78.0018.9%5.4%12.7%13.6%21.3%3.5%1.5%18.4M-1.47B-3.4M2.3581.5117,83541,915239,015277,585
2021-11-04$88.34$85.0020.8%6.2%12.0%25.2%23.5%4.6%0.2%16.7M-1.52B-3.5M2.5655.9518,92048,390242,535283,430
2021-11-05$87.83$83.0020.9%6.3%11.9%25.6%23.6%4.2%0.2%18.3M-1.47B-3.5M2.7155.3713,72037,250242,920282,180
2021-11-08$88.89$83.0021.9%6.5%12.1%30.8%23.3%4.7%0.2%17.2M-1.58B-3.4M2.6555.4714,09037,275243,785282,680
2021-11-09$89.28$83.0022.8%6.6%12.1%35.7%23.5%4.6%0.2%16.8M-1.60B-3.4M3.2156.9611,87538,060246,340286,145
2021-11-10$86.70$85.0025.4%7.3%15.8%48.9%26.9%5.3%-0.5%15.2M-1.33B-3.7M4.9755.8513,97569,510246,605287,330
2021-11-11$87.22$85.0023.7%6.8%14.9%40.3%25.1%4.8%0.2%-3.0M-1.34B-3.7M2.4454.3015,61038,030248,070315,655
2021-11-12$88.52$85.0021.8%6.2%15.6%30.2%24.1%4.3%0.7%4.7M-1.53B-3.5M4.8761.9612,85062,605250,595319,800
2021-11-15$88.03$85.0023.2%6.7%15.5%37.7%25.1%4.6%0.3%17.2M-1.53B-3.2M2.4763.2914,07534,825250,605297,065
2021-11-16$89.14$85.0022.3%6.4%15.8%33.1%23.7%4.4%0.4%19.3M-1.64B-3.0M2.8161.3512,07033,910249,545298,710
2021-11-17$88.47$85.0022.5%6.4%16.2%33.8%23.4%4.1%0.6%18.1M-1.53B-3.1M3.0462.6011,95536,325244,255306,765
2021-11-18$87.63$85.0022.4%6.4%16.4%33.4%22.6%3.8%0.4%15.8M-1.43B-3.2M2.3164.2016,32037,720244,185306,920
2021-11-19$87.91$85.0022.9%6.6%16.3%36.1%22.5%4.5%0.3%27.9M-1.47B-3.2M2.4163.6314,90035,945246,160308,130
2021-11-22$85.97$86.0024.4%7.0%18.0%43.9%24.6%4.8%0.2%5.3M-459.8M-3.3M1.4166.5118,16525,550140,530230,060
2021-11-23$83.95$86.0026.4%7.6%19.8%53.9%27.0%5.5%-0.7%3.2M-326.4M-3.5M2.8462.6414,01039,740147,410233,290
2021-11-24$84.28$85.0026.2%7.5%19.7%52.7%26.6%5.3%-0.5%-40.2K-329.0M-3.6M2.1562.9712,50526,940149,815246,185
2021-11-26$83.98$85.0029.0%8.3%19.4%67.2%28.5%6.7%-1.6%-566.6K-302.3M-3.7M2.5865.9911,31029,135150,735251,580
2021-11-29$85.40$85.0027.8%8.0%20.2%60.9%29.6%5.3%-1.6%3.6M-432.5M-3.4M3.2168.4511,33036,370150,665254,930
2021-11-30$83.08$85.0031.4%9.0%22.2%79.6%31.4%6.8%-2.5%-4.9M-216.2M-3.7M2.7064.5413,22035,635150,765263,240