IGV Options History — June 2022

In June 2022, IGV traded between $51.25 and $59.92. ATM implied volatility averaged 38.6%, placing in the 60.2% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 6.5% (HV 20d: 45.1%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.29.

Notable Days

  • 2022-06-10: Highest Volume — 78,845 contracts
  • 2022-06-13: Largest IV spike — 16.0% change
  • 2022-06-13: Highest IV Rank — 75.7%
  • 2022-06-13: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.73$51.25$59.92$57.70$53.97
Max Pain$55.24$55.00$60.00$60.00$55.00
ATM IV38.6%33.8%44.4%38.1%39.1%
Expected Move10.9%9.7%12.7%10.9%11.2%
HV 20d45.1%38.3%50.3%49.7%47.8%
HV 60d42.5%40.6%44.3%41.9%43.7%
IV Rank60.2%47.5%75.7%58.9%61.5%
IV Percentile80.6%69.4%96.8%80.2%81.3%
Term Structure-0.7%-2.6%0.5%-2.2%-0.9%
VWIV38.6%33.5%46.2%39.4%39.4%
Skew 25d6.6%5.0%8.8%6.6%5.0%
Skew 10d12.4%9.4%16.7%12.8%9.4%
Call IV 25d35.2%30.6%40.2%35.3%36.8%
Put IV 25d41.7%37.3%49.0%41.9%41.7%
Bid-Ask Spread %63.6453.8085.4785.4769.51
Gamma HHI0.080.060.170.060.07
Net GEX-3.8M-14.1M1.6M-156.5K-5.1M
Net DEX223.1M52.1M466.3M158.3M218.0M
Net VEX-1.9M-2.3M-1.6M-2.2M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.290.493.341.020.72
Total Volume47,997.38137,52078,84547,80556,345
Total OI310,637.381264,050361,440323,995282,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$57.70$60.0038.1%10.9%49.7%58.9%39.4%6.6%-2.2%-156.5K158.3M-2.2M1.0285.4723,62524,180164,950159,045
2022-06-02$59.92$55.0036.3%9.8%50.3%54.1%38.1%7.0%0.4%1.5M52.1M-2.3M1.1453.8019,06521,770162,425158,900
2022-06-03$58.63$55.0036.6%10.1%45.9%55.1%36.4%7.0%0.2%1.1M117.8M-2.2M1.0858.7021,06022,790162,835158,630
2022-06-06$58.72$55.0039.6%10.2%44.7%63.0%37.8%7.0%0.0%393.3K127.1M-2.2M1.1857.4021,41025,285162,805164,000
2022-06-07$59.66$55.0037.7%9.8%39.4%57.8%37.4%6.8%0.2%1.3M77.9M-2.2M1.3255.1317,21522,645163,270163,470
2022-06-08$59.41$55.0033.8%9.7%39.4%47.5%33.5%6.7%0.5%1.6M88.8M-2.1M1.2460.4317,71021,990163,590163,475
2022-06-09$58.08$55.0035.3%10.1%38.3%51.4%35.9%6.7%-0.0%-49.0K169.8M-2.1M1.3561.2916,92022,860164,410164,305
2022-06-10$55.47$55.0038.3%11.0%42.3%59.4%40.0%7.4%-0.6%-3.9M294.4M-1.9M3.3461.9718,17060,675165,540164,750
2022-06-13$52.15$55.0044.4%12.7%43.4%75.7%46.2%8.8%-2.4%-10.3M453.4M-1.8M1.8458.8617,78532,765166,040183,015
2022-06-14$52.49$55.0042.9%12.3%42.7%71.6%43.5%7.9%-1.6%-9.9M426.1M-1.8M1.5859.8917,18527,195167,280176,955
2022-06-15$53.96$55.0039.5%11.3%43.6%62.6%40.3%6.8%-1.5%-7.9M349.7M-1.8M1.1865.0218,46521,760167,310175,165
2022-06-16$51.25$55.0043.7%12.5%45.3%73.9%44.5%8.0%-2.6%-13.1M466.3M-1.6M1.5160.2523,94036,195167,975174,980
2022-06-17$52.50$55.0041.2%11.8%45.4%67.1%39.6%6.3%-0.8%-14.1M423.5M-1.8M1.3864.9724,32033,595175,390186,050
2022-06-21$53.55$55.0038.0%10.9%46.1%58.8%38.3%6.0%-0.7%-6.5M258.3M-1.9M1.2763.1216,51021,010121,015151,730
2022-06-22$53.48$55.0039.4%11.3%45.9%62.3%38.8%5.6%-1.2%-5.7M243.4M-1.8M1.4665.0016,13023,625122,105143,540
2022-06-23$55.42$55.0037.7%10.8%46.7%58.0%36.1%5.4%-0.5%-2.7M173.8M-1.9M0.9365.7620,19018,860123,145140,905
2022-06-24$57.53$55.0035.6%10.2%47.6%52.3%35.3%5.6%0.1%549.4K90.8M-2.0M0.9163.9920,91519,080123,640141,370
2022-06-27$56.84$55.0037.0%10.6%47.3%56.1%37.3%5.9%-0.7%127.4K107.8M-1.9M1.3368.0916,29521,600125,970140,935
2022-06-28$54.74$55.0038.3%11.0%47.8%59.6%37.1%5.9%-0.8%-3.5M190.2M-1.8M0.4967.8948,02523,550129,030141,865
2022-06-29$54.77$55.0037.9%10.9%47.7%58.3%35.2%5.4%-0.5%-3.8M198.2M-1.9M0.7069.8332,50522,730138,550150,195
2022-06-30$53.97$55.0039.1%11.2%47.8%61.5%39.4%5.0%-0.9%-5.1M218.0M-1.8M0.7269.5132,70023,645140,535142,295