IGV Options History — March 2022

In March 2022, IGV traded between $60.42 and $70.97. ATM implied volatility averaged 35.7%, placing in the 60.0% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 7.1% (HV 20d: 42.7%). Max pain ranged from $68.00 to $75.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 1 of 23 days. Put/call ratio averaged 1.57.

Notable Days

2022-03-17: Highest Volume — 57,380 contracts
2022-03-07: Largest IV spike — 16.3% change
2022-03-07: Highest IV Rank — 100.0%
2022-03-07: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$66.29	$60.42	$70.97	$67.64	$69.28
Max Pain	$71.48	$68.00	$75.00	$68.00	$73.00
ATM IV	35.7%	28.2%	49.7%	42.3%	30.1%
Expected Move	10.4%	7.9%	14.2%	12.1%	8.5%
HV 20d	42.7%	39.2%	46.9%	39.5%	41.9%
HV 60d	36.8%	34.1%	39.2%	35.2%	39.0%
IV Rank	60.0%	36.6%	100.0%	86.7%	42.2%
IV Percentile	85.8%	68.7%	100.0%	98.4%	74.2%
Term Structure	-1.6%	-5.3%	0.2%	-5.3%	-0.5%
VWIV	36.9%	28.4%	48.0%	40.8%	34.6%
Skew 25d	7.3%	4.6%	10.6%	8.9%	5.6%
Skew 10d	13.3%	5.9%	17.9%	16.3%	10.6%
Call IV 25d	31.5%	25.4%	38.6%	38.6%	27.9%
Put IV 25d	38.8%	30.9%	47.5%	47.5%	33.5%
Bid-Ask Spread %	71.11	59.25	76.55	60.35	74.83
Gamma HHI	0.07	0.05	0.19	0.05	0.06
Net GEX	-9.0M	-15.3M	-1.4M	-3.7M	-8.0M
Net DEX	235.4M	6.1M	500.0M	163.9M	101.0M
Net VEX	-2.6M	-2.8M	-2.1M	-2.8M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.57	0.92	2.59	2.23	2.59
Total Volume	41,828.696	32,685	57,380	32,685	57,075
Total OI	291,142.391	247,770	336,595	292,995	282,390

Daily Data (23 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-03-01	$67.64	$68.00	42.3%	12.1%	39.5%	86.7%	40.8%	8.9%	-5.3%	-3.7M	163.9M	-2.8M	2.23	60.35	10,120	22,565	138,480	154,515
2022-03-02	$69.06	$68.00	38.2%	10.9%	40.2%	73.1%	39.3%	8.1%	-2.0%	-1.4M	95.8M	-2.8M	2.30	59.25	11,445	26,295	138,910	149,740
2022-03-03	$66.74	$68.00	39.0%	11.2%	41.7%	75.7%	39.9%	10.6%	-2.4%	-5.6M	201.4M	-2.7M	2.13	73.42	15,585	33,225	137,755	150,260
2022-03-04	$65.42	$68.00	42.7%	12.2%	40.0%	87.9%	39.4%	8.7%	-2.4%	-8.2M	276.8M	-2.6M	0.92	64.79	19,755	18,160	139,025	152,910
2022-03-07	$63.14	$68.00	49.7%	14.2%	39.2%	100.0%	48.0%	9.3%	-3.7%	-9.8M	374.2M	-2.4M	1.36	66.17	14,215	19,305	143,960	154,950
2022-03-08	$62.33	$68.00	41.9%	14.1%	39.3%	76.9%	47.7%	9.7%	-3.9%	-11.2M	413.7M	-2.3M	1.37	70.67	17,780	24,405	144,010	158,200
2022-03-09	$65.38	$68.00	38.2%	12.8%	43.4%	66.0%	43.9%	8.8%	-1.7%	-9.4M	298.1M	-2.6M	1.31	69.61	17,545	23,020	145,800	163,465
2022-03-10	$64.14	$68.00	38.4%	12.5%	41.8%	66.6%	42.6%	9.1%	-1.8%	-11.2M	360.3M	-2.5M	1.25	74.23	16,820	20,980	146,415	163,975
2022-03-11	$62.45	$68.00	39.0%	12.7%	42.3%	68.5%	43.7%	8.9%	-1.7%	-12.6M	422.0M	-2.3M	1.31	76.55	16,700	21,875	146,835	164,095
2022-03-14	$60.42	$75.00	42.4%	11.3%	42.4%	78.3%	40.8%	9.2%	-2.9%	-12.7M	500.0M	-2.1M	1.59	68.90	17,025	27,140	147,525	164,610
2022-03-15	$61.90	$74.00	39.1%	10.6%	43.8%	68.9%	40.5%	8.0%	-2.1%	-12.9M	443.5M	-2.3M	1.38	67.42	18,695	25,815	150,585	166,240
2022-03-16	$64.13	$74.00	34.7%	9.8%	45.3%	55.8%	37.8%	6.9%	-0.6%	-13.9M	356.1M	-2.5M	1.56	71.70	19,505	30,520	153,285	169,605
2022-03-17	$66.05	$74.00	33.7%	9.5%	46.9%	52.8%	36.2%	6.7%	-0.7%	-12.4M	261.6M	-2.6M	1.21	70.99	25,930	31,450	154,030	173,205
2022-03-18	$67.82	$74.00	30.8%	8.9%	45.5%	44.3%	33.1%	6.3%	0.2%	-15.3M	146.7M	-2.6M	2.04	72.63	18,840	38,405	158,235	178,360
2022-03-21	$67.08	$74.00	31.7%	8.9%	45.1%	46.8%	32.1%	6.4%	-0.4%	-7.5M	176.3M	-2.6M	1.72	73.40	12,650	21,725	97,770	150,760
2022-03-22	$69.04	$74.00	29.7%	8.4%	46.0%	41.0%	29.7%	5.4%	-0.1%	-4.4M	93.6M	-2.7M	1.71	73.42	17,755	30,335	98,310	149,460
2022-03-23	$67.66	$74.00	30.9%	8.6%	45.5%	44.6%	30.5%	5.7%	-1.1%	-10.0M	179.4M	-2.6M	1.22	74.83	16,605	20,215	98,480	162,805
2022-03-24	$68.33	$74.00	30.3%	8.6%	41.3%	42.6%	30.4%	5.4%	-0.4%	-8.9M	149.4M	-2.6M	1.38	74.42	14,230	19,570	99,335	163,465
2022-03-25	$67.29	$73.00	30.3%	8.6%	41.6%	42.7%	30.3%	4.6%	-0.3%	-10.9M	194.0M	-2.6M	1.45	73.69	13,505	19,515	100,690	163,870
2022-03-28	$69.02	$73.00	28.9%	8.2%	42.5%	38.7%	29.1%	4.7%	-0.2%	-7.1M	100.1M	-2.6M	1.47	74.49	13,845	20,310	101,720	165,410
2022-03-29	$70.97	$73.00	28.2%	7.9%	43.5%	36.6%	28.4%	5.5%	-0.8%	-2.2M	6.1M	-2.6M	1.35	74.27	19,165	25,860	104,195	166,990
2022-03-30	$69.40	$73.00	30.3%	8.4%	43.8%	42.8%	30.1%	6.3%	-0.9%	-8.1M	100.5M	-2.6M	1.33	75.42	15,725	20,855	108,000	173,645
2022-03-31	$69.28	$73.00	30.1%	8.5%	41.9%	42.2%	34.6%	5.6%	-0.5%	-8.0M	101.0M	-2.6M	2.59	74.83	15,905	41,170	108,130	174,260