IGV Options History — September 2022

In September 2022, IGV traded between $50.28 and $58.73. ATM implied volatility averaged 36.6%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 7.1% (HV 20d: 29.5%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 3.00.

Notable Days

  • 2022-09-30: Highest Volume — 79,740 contracts
  • 2022-09-12: Largest IV spike — 17.6% change
  • 2022-09-13: Highest IV Rank — 64.0%
  • 2022-09-27: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.71$50.28$58.73$55.15$50.33
Max Pain$57.05$55.00$60.00$60.00$55.00
ATM IV36.6%31.7%41.0%36.2%38.1%
Expected Move10.2%8.8%11.7%10.4%10.9%
HV 20d29.5%23.8%32.2%27.1%31.3%
HV 60d33.4%31.4%37.0%37.0%31.5%
IV Rank51.9%37.5%64.0%53.9%55.5%
IV Percentile66.9%42.9%86.5%65.9%73.0%
Term Structure-0.6%-2.3%1.0%-1.2%-0.3%
VWIV35.5%30.8%41.0%35.7%37.6%
Skew 25d6.1%5.3%6.9%5.5%6.0%
Skew 10d11.5%7.5%14.1%10.9%12.0%
Call IV 25d32.7%28.3%37.0%33.9%35.5%
Put IV 25d38.8%33.9%43.8%39.4%41.5%
Bid-Ask Spread %70.4061.3085.6682.7975.04
Gamma HHI0.110.080.230.080.10
Net GEX-8.6M-25.5M-2.3M-13.2M-4.4M
Net DEX163.3M9.2M307.7M231.5M170.4M
Net VEX-1.3M-1.4M-1.1M-1.4M-1.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.000.0515.002.120.36
Total Volume31,460.4762,35079,74015,48579,740
Total OI279,186.19187,295342,600314,160240,290

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$55.15$60.0036.2%10.4%27.1%53.9%35.7%5.5%-1.2%-13.2M231.5M-1.4M2.1282.794,96510,520160,900153,260
2022-09-02$54.86$60.0035.7%10.2%26.8%52.6%36.1%5.6%-0.9%-13.5M230.8M-1.4M1.5785.662,3703,730162,555152,605
2022-09-06$54.69$58.0038.4%10.1%26.7%59.6%33.0%6.9%-0.4%-14.3M238.1M-1.3M0.9663.2126,86025,780163,330153,320
2022-09-07$55.87$58.0035.0%9.6%28.1%47.2%33.6%6.3%-0.2%-13.2M177.5M-1.3M1.2361.3022,74028,075163,625152,850
2022-09-08$56.29$58.0034.4%9.4%23.8%45.2%35.2%6.3%-0.2%-12.5M149.8M-1.3M3.6665.112,3358,545165,405150,935
2022-09-09$58.23$58.0031.7%8.9%27.3%37.5%30.8%5.6%-0.2%-7.9M54.3M-1.4M0.7663.448,5406,520166,710152,800
2022-09-12$58.73$58.0037.3%8.8%26.4%53.5%31.0%5.5%-0.4%-4.2M9.2M-1.4M1.5967.384,8157,640173,305155,790
2022-09-13$56.08$58.0041.0%9.7%30.0%64.0%34.3%6.1%-0.5%-12.9M144.6M-1.3M1.2965.8325,22532,550174,875159,550
2022-09-14$56.24$58.0034.2%9.8%30.2%44.6%33.1%6.3%-0.5%-15.4M153.2M-1.3M1.4368.073,8055,450177,330165,005
2022-09-15$54.29$58.0034.8%10.0%31.9%46.2%35.5%6.2%1.0%-25.5M248.1M-1.2M13.1871.002,56033,730176,275162,445
2022-09-16$53.17$58.0035.0%10.0%32.2%47.0%34.8%6.0%-0.2%-8.0M307.7M-1.2M1.1965.7822,75027,130176,630165,970
2022-09-19$53.50$58.0035.0%10.0%32.0%46.8%35.2%5.3%-0.7%-4.7M115.6M-1.2M11.6266.652,32527,025101,26086,035
2022-09-20$52.92$58.0035.6%10.2%30.9%48.7%33.8%5.9%-1.0%-7.2M146.6M-1.2M0.0569.1733,7501,545101,86099,735
2022-09-21$52.10$55.0035.6%10.2%31.0%48.6%35.4%6.2%0.4%-3.3M133.3M-1.3M0.8472.811,2801,070133,52099,780
2022-09-22$51.68$55.0035.5%10.2%30.5%48.2%36.6%5.6%-0.7%-4.0M150.0M-1.3M2.5272.792,0605,195134,78099,960
2022-09-23$50.49$55.0037.8%10.8%30.8%54.8%37.4%5.9%-1.1%-4.9M180.8M-1.2M15.0071.511,72025,805136,175100,795
2022-09-26$50.28$55.0039.9%11.4%29.2%60.9%37.9%6.7%-1.9%-3.0M158.0M-1.1M1.4471.8320,87030,045136,62092,215
2022-09-27$50.42$55.0040.7%11.7%29.4%63.0%38.6%6.8%-2.3%-3.3M156.3M-1.2M0.8171.7121,69517,560137,13099,915
2022-09-28$51.77$55.0037.2%10.7%31.5%52.7%38.5%6.4%-0.6%-2.3M118.0M-1.2M0.6272.2522,11513,750137,745100,630
2022-09-29$50.74$55.0039.1%11.2%32.0%58.2%41.0%6.3%-1.6%-3.6M154.4M-1.2M0.7374.9521,07015,415136,955102,040
2022-09-30$50.33$55.0038.1%10.9%31.3%55.5%37.6%6.0%-0.3%-4.4M170.4M-1.2M0.3675.0458,71521,025137,205103,085