IGV Options History — January 2022

In January 2022, IGV traded between $65.78 and $78.60. ATM implied volatility averaged 34.5%, placing in the 70.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.8% (HV 20d: 28.8%). Max pain ranged from $74.00 to $79.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 2.07.

Notable Days

  • 2022-01-05: Highest Volume — 149,065 contracts
  • 2022-01-05: Largest IV spike — 18.2% change
  • 2022-01-24: Highest IV Rank — 100.0%
  • 2022-01-26: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.23$65.78$78.60$78.60$70.72
Max Pain$76.20$74.00$79.00$77.00$74.00
ATM IV34.5%23.5%46.4%23.5%35.7%
Expected Move9.8%6.7%13.3%6.7%10.2%
HV 20d28.8%26.7%34.6%28.2%34.6%
HV 60d27.9%25.3%30.9%25.3%30.9%
IV Rank70.3%31.3%100.0%31.3%65.1%
IV Percentile89.9%50.0%100.0%50.0%96.4%
Term Structure-2.5%-6.0%1.6%1.6%-2.0%
VWIV34.0%22.9%43.7%22.9%37.6%
Skew 25d7.0%4.1%10.3%4.1%7.5%
Skew 10d14.1%9.0%21.3%9.7%14.1%
Call IV 25d31.3%22.0%42.4%22.0%33.0%
Put IV 25d38.3%26.1%52.7%26.1%40.5%
Bid-Ask Spread %74.6370.1084.4282.1873.58
Gamma HHI0.100.060.250.070.07
Net GEX-38.4M-81.9M-3.9M-32.0M-3.9M
Net DEX585.9M34.4M1.40B34.4M155.5M
Net VEX-3.1M-3.8M-2.7M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.305.033.371.51
Total Volume94,00139,390149,06595,12042,570
Total OI548,604.75293,195733,640554,075357,255

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-01-03$78.60$77.0023.5%6.7%28.2%31.3%22.9%4.1%1.6%-32.0M34.4M-3.2M3.3782.1821,78573,335164,840389,235
2022-01-04$76.86$77.0024.5%7.0%29.1%35.4%25.0%4.4%1.2%-37.2M217.5M-3.2M2.7184.4228,08576,100173,205392,525
2022-01-05$73.25$77.0029.0%8.3%30.3%53.6%31.9%6.0%0.2%-47.1M648.1M-3.3M5.0382.5924,705124,360174,495391,085
2022-01-06$73.23$79.0031.6%8.7%29.8%64.4%32.7%6.3%-1.7%-61.5M821.4M-3.8M4.5071.6219,09585,980182,260450,560
2022-01-07$72.70$78.0031.4%8.6%29.4%63.6%31.1%6.5%-2.4%-50.9M734.9M-3.5M4.4670.1019,08585,195190,570415,880
2022-01-10$72.90$78.0033.8%9.0%29.0%73.5%33.6%6.3%-3.1%-48.1M658.7M-3.3M2.2771.0341,59094,315193,535405,540
2022-01-11$74.47$78.0031.9%8.6%30.4%65.5%35.3%5.9%-1.7%-26.3M330.1M-3.3M1.9770.9030,43060,000211,020405,780
2022-01-12$74.38$78.0028.6%8.2%27.8%52.2%27.6%6.1%-0.9%-21.1M318.8M-3.2M1.2273.9750,35061,655221,645410,655
2022-01-13$71.38$76.0030.9%8.9%29.4%61.4%30.0%6.6%-2.0%-50.8M802.7M-3.3M2.7374.7124,84067,780239,315420,950
2022-01-14$71.47$77.0031.2%9.0%28.3%62.8%28.7%6.1%-2.3%-56.0M792.1M-3.2M0.8672.1259,56051,280238,920428,760
2022-01-18$70.18$76.0033.5%9.6%28.6%72.2%34.8%7.1%-3.9%-70.6M974.8M-2.9M2.3372.6726,45061,640269,385428,245
2022-01-19$70.54$76.0032.4%9.3%28.7%67.5%30.8%6.7%-3.3%-66.4M894.8M-2.8M0.9773.8048,23546,910270,100426,330
2022-01-20$70.04$76.0033.6%9.6%26.7%72.5%31.5%6.8%-1.7%-81.9M975.9M-2.8M1.4074.7160,75584,905279,780430,650
2022-01-21$68.16$75.0037.5%10.7%27.1%88.4%34.3%7.7%-2.6%-61.1M1.40B-2.7M2.0376.4733,02066,915283,905449,735
2022-01-24$68.73$75.0043.9%12.6%26.9%100.0%42.3%9.0%-4.7%-10.2M317.1M-2.9M0.7971.5133,67526,615126,360166,835
2022-01-25$67.06$75.0045.6%13.1%26.8%100.0%43.7%9.2%-6.0%-10.2M383.0M-2.9M0.5171.7936,63518,680151,405175,955
2022-01-26$65.78$74.0046.4%13.3%27.0%100.0%41.9%10.3%-5.7%-9.3M433.5M-2.9M0.3076.3987,47526,150176,975178,100
2022-01-27$66.23$74.0044.6%12.8%27.6%94.2%42.0%9.2%-5.7%-12.9M459.1M-2.9M1.1174.1219,18021,295159,370186,190
2022-01-28$67.82$74.0040.8%11.7%29.7%81.6%41.8%7.8%-3.8%-11.1M361.5M-3.1M1.2973.8417,21522,175163,440191,305
2022-01-31$70.72$74.0035.7%10.2%34.6%65.1%37.6%7.5%-2.0%-3.9M155.5M-3.2M1.5173.5816,98025,590165,235192,020