IGV Options History — July 2022

In July 2022, IGV traded between $53.18 and $59.11. ATM implied volatility averaged 35.6%, placing in the 52.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 4.2% (HV 20d: 39.8%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.96.

Notable Days

  • 2022-07-22: Highest Volume — 82,520 contracts
  • 2022-07-11: Largest IV spike — 26.9% change
  • 2022-07-12: Highest IV Rank — 82.6%
  • 2022-07-05: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.15$53.18$59.11$54.79$59.11
Max Pain$56.90$55.00$57.00$55.00$57.00
ATM IV35.6%29.7%47.0%36.2%29.7%
Expected Move9.9%8.5%10.8%10.4%8.5%
HV 20d39.8%33.3%46.6%45.9%35.4%
HV 60d43.9%43.6%44.3%43.7%44.3%
IV Rank52.4%36.7%82.6%53.8%36.7%
IV Percentile65.3%42.5%98.4%68.7%42.5%
Term Structure-0.1%-1.0%1.4%1.4%1.1%
VWIV34.6%31.2%38.5%35.6%31.2%
Skew 25d6.1%4.6%7.3%4.6%4.9%
Skew 10d11.6%8.0%13.8%8.0%9.4%
Call IV 25d31.8%27.5%34.6%34.6%27.5%
Put IV 25d37.9%32.4%41.2%39.2%32.4%
Bid-Ask Spread %76.7670.0882.6370.0882.63
Gamma HHI0.080.060.100.070.09
Net GEX-2.4M-8.5M6.8M-3.7M1.2M
Net DEX128.5M-5.3M257.0M191.3M-5.3M
Net VEX-1.8M-2.0M-1.7M-1.8M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.341.460.900.83
Total Volume48,535.7533,45582,52073,04045,055
Total OI305,925261,540349,530285,155314,085

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-07-01$54.79$55.0036.2%10.4%45.9%53.8%35.6%4.6%1.4%-3.7M191.3M-1.8M0.9070.0838,37534,665142,670142,485
2022-07-05$56.18$57.0039.7%10.8%46.5%63.1%36.7%7.0%-0.8%2.1M105.0M-2.0M1.2670.5423,59029,635163,100153,865
2022-07-06$56.41$57.0038.1%10.6%46.6%58.9%35.5%7.3%-0.4%3.7M92.3M-2.0M1.4672.9718,83527,580167,780154,495
2022-07-07$57.36$57.0035.9%10.1%46.6%53.2%35.4%6.8%-0.0%6.8M53.9M-2.0M1.3171.2317,67523,105167,605155,360
2022-07-08$57.18$57.0033.1%9.8%46.6%45.7%32.2%7.0%-0.1%6.3M65.5M-2.0M1.2874.0617,36022,210167,730154,720
2022-07-11$56.20$57.0042.0%10.3%46.3%69.3%35.0%6.8%-0.4%1.5M121.0M-1.9M1.4173.2217,51524,695167,150155,440
2022-07-12$54.00$57.0047.0%10.8%45.6%82.6%38.3%7.3%-0.7%-6.3M225.7M-1.7M1.2574.5027,09033,895167,550157,745
2022-07-13$53.66$57.0037.1%10.6%39.8%56.3%36.1%6.7%-1.0%-3.7M239.9M-1.7M0.8676.8822,51019,315182,300167,230
2022-07-14$53.18$57.0037.3%10.7%39.9%56.8%35.7%6.2%-0.4%-8.5M257.0M-1.7M1.2677.1014,79018,665177,720166,280
2022-07-15$54.43$57.0034.7%10.0%39.5%50.0%34.0%6.2%-0.0%-5.1M207.8M-1.7M1.1677.8415,74018,200178,260164,610
2022-07-18$54.10$57.0035.6%10.2%34.6%52.3%33.5%6.2%-0.5%-8.4M216.5M-1.7M0.7478.9719,82514,720117,200144,340
2022-07-19$55.72$57.0033.6%9.6%35.1%47.0%38.5%6.0%-0.1%-6.1M149.9M-1.7M1.4378.4717,99025,690122,770144,625
2022-07-20$57.69$57.0032.6%9.4%36.4%44.5%32.9%5.4%0.1%-3.1M68.9M-1.8M0.5677.5031,49517,520124,325142,220
2022-07-21$58.47$57.0032.9%9.4%36.5%45.1%31.9%5.5%-0.0%-1.5M35.9M-1.9M0.4877.3029,50014,120136,755142,580
2022-07-22$57.33$57.0033.0%9.5%35.5%45.4%31.8%5.6%0.5%-3.2M85.8M-1.8M0.3479.5161,62520,895136,490143,370
2022-07-25$56.49$57.0034.4%9.9%33.3%49.1%32.8%5.8%-0.4%-5.2M136.9M-1.8M0.3880.4637,94514,420142,230148,710
2022-07-26$54.93$57.0036.3%10.4%34.5%54.3%37.9%6.6%-1.0%-8.0M197.1M-1.7M0.9779.7831,28530,425142,470148,530
2022-07-27$57.52$57.0032.1%9.2%35.7%43.0%35.2%5.1%0.5%-4.3M88.9M-1.8M0.6980.4727,16518,685144,785160,980
2022-07-28$58.34$57.0031.4%9.0%35.9%41.2%32.7%5.0%0.5%-1.6M36.3M-1.8M0.6381.6828,84518,065146,565161,375
2022-07-29$59.11$57.0029.7%8.5%35.4%36.7%31.2%4.9%1.1%1.2M-5.3M-1.8M0.8382.6324,59520,460152,655161,430