IGV Options History — December 2021

In December 2021, IGV traded between $76.79 and $81.81. ATM implied volatility averaged 30.6%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 3.0% (HV 20d: 33.6%). Max pain ranged from $74.00 to $85.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.73.

Notable Days

  • 2021-12-03: Highest Volume — 119,710 contracts
  • 2021-12-15: Largest IV drop — 26.6% change
  • 2021-12-03: Highest IV Rank — 100.0%
  • 2021-12-03: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$79.65$76.79$81.81$79.97$79.74
Max Pain$77.77$74.00$85.00$85.00$77.00
ATM IV30.6%24.1%40.3%34.3%24.1%
Expected Move8.4%6.9%11.6%9.8%6.9%
HV 20d33.6%25.5%37.1%25.5%32.4%
HV 60d25.5%22.1%27.1%22.1%25.3%
IV Rank62.1%33.5%100.0%94.4%33.5%
IV Percentile84.0%52.8%100.0%98.8%52.8%
Term Structure0.0%-4.9%1.5%-3.7%1.5%
VWIV32.1%24.4%40.7%34.2%28.9%
Skew 25d6.5%4.4%9.7%6.9%4.4%
Skew 10d13.3%9.3%20.3%12.5%9.5%
Call IV 25d26.7%22.4%35.6%30.6%22.4%
Put IV 25d33.2%26.8%45.3%37.6%26.8%
Bid-Ask Spread %74.7464.9481.2066.2381.20
Gamma HHI0.070.050.240.050.07
Net GEX-25.4M-76.0M-11.6M-12.0M-19.8M
Net DEX57.6M-193.9M408.6M42.0M-110.1M
Net VEX-3.6M-4.1M-3.1M-3.8M-3.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.731.837.363.644.70
Total Volume64,952.72743,630119,71062,92085,345
Total OI498,326.364416,195603,630416,195519,170

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-12-01$79.97$85.0034.3%9.8%25.5%94.4%34.2%6.9%-3.7%-12.0M42.0M-3.8M3.6466.2313,55049,370152,305263,890
2021-12-02$81.05$85.0032.9%9.4%26.2%86.9%34.6%7.3%-2.8%-13.8M-24.0M-3.9M3.1266.6915,88049,480153,930275,285
2021-12-03$77.38$85.0040.3%11.6%29.8%100.0%40.7%9.7%-4.9%-23.8M325.7M-4.1M3.3564.9427,49092,220158,635288,660
2021-12-06$78.09$74.0036.2%9.2%30.3%83.1%32.7%7.8%0.6%-26.3M246.8M-3.9M2.4869.4413,11532,470164,080303,255
2021-12-07$80.97$74.0028.9%8.0%33.3%53.5%29.2%6.6%1.1%-16.9M-44.2M-3.7M1.8373.6316,64030,380164,670302,975
2021-12-08$81.81$74.0027.2%7.6%33.6%46.5%30.0%5.8%0.9%-11.6M-171.4M-3.5M4.1975.4312,11050,755167,665303,875
2021-12-09$80.28$77.0032.4%8.2%32.7%67.6%32.5%6.4%0.4%-26.7M74.2M-3.8M3.9475.3111,92046,920168,160328,425
2021-12-10$81.07$77.0029.2%7.8%32.9%54.5%32.2%6.0%0.7%-25.6M-1.4M-3.8M1.9475.4015,32029,735168,910343,170
2021-12-13$81.27$77.0033.2%7.8%32.3%70.7%31.1%5.8%0.7%-27.7M-26.1M-3.6M2.8072.3912,29534,440168,875349,580
2021-12-14$78.29$77.0040.3%8.9%34.4%99.8%32.6%7.8%-0.6%-46.1M340.6M-3.7M5.3474.5117,74094,700169,565354,375
2021-12-15$80.02$79.0029.6%8.5%35.1%56.1%32.1%6.4%0.5%-39.6M197.2M-4.1M1.8677.8621,37039,665183,760419,870
2021-12-16$77.78$77.0032.6%9.3%36.1%68.4%32.8%7.3%-0.8%-47.8M406.1M-3.9M1.9876.0614,64528,985187,165366,250
2021-12-17$77.80$77.0032.7%9.4%36.1%68.8%36.9%7.6%0.3%-76.0M408.6M-3.9M3.2377.4816,81054,340189,145371,780
2021-12-20$76.79$77.0034.4%9.9%36.0%75.8%34.8%7.9%-1.0%-24.2M239.3M-3.8M4.1873.558,76536,680150,290313,400
2021-12-21$78.64$77.0028.9%8.3%37.1%53.5%37.0%7.0%0.7%-21.6M68.0M-3.6M4.6276.0913,82563,890150,675316,490
2021-12-22$79.34$77.0028.2%8.1%36.7%50.5%38.2%6.3%0.5%-20.9M-2.5M-3.7M7.3677.098,41561,905154,415346,950
2021-12-23$80.22$77.0026.6%7.6%36.9%43.9%30.6%6.1%1.0%-17.6M-80.0M-3.5M5.0378.7511,04555,510154,570348,125
2021-12-27$80.94$77.0025.9%7.4%37.1%41.2%28.5%5.3%1.4%-12.3M-193.9M-3.1M3.7377.6112,97048,355153,850352,110
2021-12-28$80.37$77.0026.1%7.5%36.5%42.0%27.1%5.2%1.3%-16.4M-143.5M-3.2M5.0777.569,14546,320157,625352,510
2021-12-29$80.07$77.0025.2%7.2%35.3%38.1%25.7%4.9%1.5%-19.1M-113.0M-3.2M4.1778.7811,49047,890157,770352,525
2021-12-30$80.37$77.0024.9%7.1%32.7%36.9%24.4%4.9%1.5%-14.2M-170.3M-3.1M3.4678.2814,60050,465159,375355,075
2021-12-31$79.74$77.0024.1%6.9%32.4%33.5%28.9%4.4%1.5%-19.8M-110.1M-3.1M4.7081.2014,96070,385161,620357,550