IGV Options History — February 2022

In February 2022, IGV traded between $63.54 and $72.62. ATM implied volatility averaged 36.2%, placing in the 66.6% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 1.3% (HV 20d: 37.4%). Max pain ranged from $68.00 to $74.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 1.82.

Notable Days

  • 2022-02-15: Highest Volume — 87,965 contracts
  • 2022-02-03: Largest IV spike — 16.7% change
  • 2022-02-28: Highest IV Rank — 80.7%
  • 2022-02-28: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.84$63.54$72.62$71.33$68.00
Max Pain$68.68$68.00$74.00$74.00$68.00
ATM IV36.2%29.3%40.5%33.7%40.5%
Expected Move10.2%8.4%11.6%9.7%11.6%
HV 20d37.4%32.9%43.2%34.9%42.4%
HV 60d33.4%31.0%36.3%31.0%35.4%
IV Rank66.6%44.0%80.7%58.4%80.7%
IV Percentile94.0%79.8%98.0%94.0%98.0%
Term Structure-2.4%-4.7%-0.5%-1.6%-4.7%
VWIV35.6%30.7%40.4%34.6%40.4%
Skew 25d7.6%6.3%9.2%6.8%7.0%
Skew 10d15.0%11.5%17.9%14.0%15.3%
Call IV 25d32.3%27.1%37.3%30.6%37.3%
Put IV 25d39.9%33.7%45.0%37.4%44.3%
Bid-Ask Spread %52.8241.5681.2080.3159.68
Gamma HHI0.100.050.410.080.05
Net GEX-11.9M-58.3M7.7M-2.3M-3.4M
Net DEX260.0M8.3M653.4M123.3M158.3M
Net VEX-3.0M-3.3M-2.4M-3.2M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.565.620.812.04
Total Volume47,128.15830,95587,96562,86032,065
Total OI378,384.474270,295465,400360,725292,215

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$71.33$74.0033.7%9.7%34.9%58.4%34.6%6.8%-1.6%-2.3M123.3M-3.2M0.8180.3134,72028,140166,415194,310
2022-02-02$70.68$73.0032.1%9.2%34.3%53.1%32.7%6.3%-1.0%-2.8M162.8M-3.2M0.7781.2037,27528,525190,135200,970
2022-02-03$67.97$68.0037.4%9.9%32.9%70.7%30.9%7.6%-2.5%-13.2M364.7M-3.1M0.6541.5639,90025,810190,875201,755
2022-02-04$70.41$68.0036.1%9.6%35.7%66.2%35.3%7.6%-1.9%-2.8M167.3M-3.3M1.9642.0815,15529,770196,485203,725
2022-02-07$69.85$68.0036.9%9.7%35.7%68.8%33.8%7.9%-1.7%-7.3M226.0M-3.1M2.2345.119,74021,760195,735203,795
2022-02-08$70.48$68.0035.1%9.5%35.9%62.9%33.1%7.6%-1.6%-4.6M179.5M-3.1M2.6644.829,64025,670195,980203,115
2022-02-09$72.62$68.0029.3%8.4%36.8%44.0%30.7%6.6%-0.5%7.7M8.3M-3.1M2.3647.409,98023,555195,960209,140
2022-02-10$71.42$68.0032.9%9.4%37.2%55.8%33.4%7.4%-2.3%-2.2M119.8M-3.1M1.0745.8717,91519,100196,185212,775
2022-02-11$69.18$68.0037.1%10.6%36.0%69.5%35.2%8.3%-3.8%-14.7M317.6M-3.0M1.0649.1519,65520,835203,705215,935
2022-02-14$69.07$68.0038.6%11.1%36.0%74.4%36.2%9.2%-4.6%-16.7M317.4M-2.9M1.2844.6814,05018,010201,760216,545
2022-02-15$70.42$68.0034.6%9.9%36.2%61.2%37.7%8.2%-2.3%-11.2M212.8M-2.8M2.4851.7625,29562,670201,750216,940
2022-02-16$70.06$69.0033.3%9.5%36.2%57.1%34.8%7.7%-1.9%-21.2M288.8M-3.1M1.3152.3623,03030,220210,515254,885
2022-02-17$67.11$69.0037.1%10.6%39.2%69.5%37.7%7.8%-1.9%-34.8M525.3M-2.8M1.9451.4216,85532,710210,610230,410
2022-02-18$65.75$68.0037.0%10.6%38.7%69.4%38.2%8.2%-1.7%-58.3M653.4M-2.7M3.1748.1110,71534,000210,900229,445
2022-02-22$65.20$68.0039.0%11.2%38.5%75.8%38.9%8.3%-2.9%-11.3M311.2M-2.6M1.8352.6810,95020,005121,175151,370
2022-02-23$63.54$68.0040.3%11.6%38.6%80.0%39.9%8.1%-3.2%-12.0M372.4M-2.4M5.6254.159,46553,195120,085150,210
2022-02-24$67.16$68.0040.0%11.5%43.2%79.1%37.9%7.2%-3.7%-12.1M271.6M-3.1M0.5652.1228,89016,210121,260181,330
2022-02-25$67.65$68.0036.7%10.5%43.2%68.1%35.9%7.0%-2.8%-3.3M158.6M-2.9M0.7859.2122,41517,540137,380153,525
2022-02-28$68.00$68.0040.5%11.6%42.4%80.7%40.4%7.0%-4.7%-3.4M158.3M-2.8M2.0459.6810,53521,530138,230153,985