IGV Options History — August 2022

In August 2022, IGV traded between $56.49 and $63.48. ATM implied volatility averaged 31.3%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.5% (HV 20d: 31.8%). Max pain ranged from $57.00 to $60.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 2.41.

Notable Days

2022-08-31: Highest Volume — 64,440 contracts
2022-08-10: Largest IV drop — 13.4% change
2022-08-31: Highest IV Rank — 53.3%
2022-08-31: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.28	$56.49	$63.48	$59.01	$56.49
Max Pain	$59.61	$57.00	$60.00	$57.00	$60.00
ATM IV	31.3%	28.7%	35.9%	31.8%	35.9%
Expected Move	9.0%	8.2%	10.3%	9.1%	10.3%
HV 20d	31.8%	26.2%	35.8%	35.3%	26.2%
HV 60d	38.8%	36.9%	43.9%	43.9%	36.9%
IV Rank	40.9%	34.2%	53.3%	42.3%	53.3%
IV Percentile	46.2%	32.9%	65.1%	49.6%	65.1%
Term Structure	0.8%	-1.1%	2.0%	0.1%	-1.1%
VWIV	32.3%	27.0%	41.0%	33.4%	41.0%
Skew 25d	5.5%	4.7%	6.6%	5.1%	5.9%
Skew 10d	11.1%	9.6%	13.1%	10.2%	12.6%
Call IV 25d	28.9%	26.6%	32.5%	29.7%	32.5%
Put IV 25d	34.4%	31.5%	38.9%	34.9%	38.5%
Bid-Ask Spread %	82.96	80.29	85.93	83.67	85.93
Gamma HHI	0.08	0.07	0.14	0.08	0.08
Net GEX	2.2M	-9.9M	11.3M	483.1K	-8.9M
Net DEX	-51.2M	-248.4M	167.7M	4.8M	159.1M
Net VEX	-1.8M	-2.0M	-1.5M	-1.8M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.41	0.02	10.44	0.64	1.76
Total Volume	22,164.13	1,790	64,440	42,370	64,440
Total OI	318,894.348	277,600	362,120	315,225	299,745

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
2022-08-01	$59.01	$57.00	31.8%	9.1%	35.3%	42.3%	33.4%	5.1%	0.1%	483.1K	4.8M	-1.8M	0.64	83.67	25,775	16,595	152,880	162,345
2022-08-02	$59.25	$57.00	32.4%	9.3%	34.4%	43.7%	33.1%	5.5%	0.2%	1.7M	-12.7M	-1.9M	0.54	84.57	30,110	16,240	159,885	162,935
2022-08-03	$61.09	$57.00	30.9%	8.9%	35.8%	39.9%	31.3%	5.2%	0.4%	6.3M	-112.7M	-2.0M	0.48	85.21	32,335	15,430	162,935	163,180
2022-08-04	$60.77	$60.00	30.8%	9.0%	35.6%	39.5%	32.8%	5.8%	0.5%	6.5M	-107.6M	-1.9M	0.74	82.42	27,830	20,645	163,410	163,650
2022-08-05	$61.11	$60.00	29.7%	8.7%	35.5%	36.7%	32.9%	6.0%	1.5%	6.8M	-117.4M	-2.0M	0.71	81.13	30,460	21,560	164,095	167,635
2022-08-08	$61.23	$60.00	32.4%	9.1%	34.7%	44.0%	32.8%	6.1%	0.3%	5.5M	-110.3M	-1.9M	0.58	80.29	29,485	17,060	162,350	170,510
2022-08-09	$60.31	$60.00	33.4%	9.3%	31.5%	46.4%	33.2%	5.6%	0.5%	3.7M	-64.8M	-1.9M	2.17	80.54	565	1,225	163,445	171,155
2022-08-10	$62.66	$60.00	28.9%	8.3%	33.2%	34.6%	29.9%	5.3%	2.0%	9.8M	-198.7M	-1.9M	0.80	82.03	2,035	1,625	163,595	171,505
2022-08-11	$61.80	$60.00	30.0%	8.6%	33.6%	37.5%	29.9%	5.1%	1.5%	8.1M	-155.8M	-1.8M	0.71	81.94	2,195	1,560	162,945	171,690
2022-08-12	$63.00	$60.00	28.8%	8.3%	33.3%	34.4%	31.2%	5.1%	2.0%	11.2M	-223.4M	-1.8M	1.27	82.06	2,340	2,965	163,345	172,100
2022-08-15	$63.48	$60.00	29.2%	8.4%	33.0%	35.4%	30.4%	5.1%	1.8%	11.3M	-248.4M	-1.8M	10.44	80.31	1,120	11,695	163,520	172,350
2022-08-16	$63.22	$60.00	28.9%	8.3%	32.2%	34.5%	31.2%	4.7%	1.5%	10.2M	-235.3M	-1.8M	2.45	82.08	760	1,860	163,845	180,545
2022-08-17	$62.37	$60.00	29.0%	8.3%	31.1%	35.0%	30.0%	4.8%	2.0%	7.6M	-180.4M	-1.7M	0.92	84.08	1,215	1,120	163,845	181,645
2022-08-18	$62.07	$60.00	28.7%	8.2%	31.0%	34.2%	27.0%	4.9%	1.3%	6.6M	-179.0M	-1.7M	0.02	83.28	47,000	950	163,680	181,890
2022-08-19	$60.59	$60.00	29.1%	8.4%	31.5%	35.3%	30.1%	5.0%	1.6%	2.8M	-91.1M	-1.7M	3.03	82.49	1,530	4,630	180,490	181,630
2022-08-22	$58.83	$60.00	32.6%	9.4%	33.0%	44.4%	35.1%	5.7%	0.5%	-2.8M	59.1M	-1.7M	4.45	82.48	1,765	7,850	149,845	127,755
2022-08-23	$58.89	$60.00	32.6%	9.4%	31.0%	44.4%	33.4%	5.9%	0.3%	-2.5M	55.7M	-1.6M	1.81	83.83	4,745	8,610	150,520	127,730
2022-08-24	$59.40	$60.00	32.0%	9.2%	26.8%	42.9%	32.6%	5.7%	0.4%	-2.9M	51.9M	-1.6M	8.46	83.70	925	7,825	148,685	132,505
2022-08-25	$59.59	$60.00	29.8%	8.5%	26.4%	36.9%	30.4%	5.5%	1.3%	-3.9M	59.5M	-1.6M	1.55	82.73	1,365	2,110	149,125	139,215
2022-08-26	$57.59	$60.00	32.6%	9.3%	28.8%	44.4%	32.8%	5.5%	0.5%	-8.1M	138.4M	-1.6M	2.54	84.58	1,235	3,135	149,765	139,580
2022-08-29	$56.96	$60.00	34.6%	9.9%	29.0%	49.7%	32.8%	5.9%	-0.6%	-9.9M	164.5M	-1.5M	0.23	83.84	11,745	2,695	149,755	140,430
2022-08-30	$56.64	$60.00	34.8%	10.0%	28.9%	50.3%	36.4%	6.6%	-0.8%	-9.2M	167.7M	-1.5M	9.20	84.85	2,100	19,315	160,275	140,610
2022-08-31	$56.49	$60.00	35.9%	10.3%	26.2%	53.3%	41.0%	5.9%	-1.1%	-8.9M	159.1M	-1.5M	1.76	85.93	23,345	41,095	160,095	139,650