IGV Options History — October 2022

In October 2022, IGV traded between $48.56 and $53.83. ATM implied volatility averaged 38.5%, placing in the 56.6% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 4.7% (HV 20d: 33.8%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2022-10-11: Highest Volume — 94,615 contracts
  • 2022-10-10: Largest IV spike — 9.1% change
  • 2022-10-11: Highest IV Rank — 74.2%
  • 2022-10-11: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.59$48.56$53.83$51.56$53.70
Max Pain$55.48$55.00$57.00$55.00$55.00
ATM IV38.5%34.8%44.6%36.9%36.5%
Expected Move11.0%10.0%12.0%10.6%10.5%
HV 20d33.8%31.0%35.3%32.9%33.0%
HV 60d31.8%30.7%33.1%32.0%30.9%
IV Rank56.6%45.8%74.2%51.9%50.8%
IV Percentile71.1%50.4%96.4%65.5%57.9%
Term Structure-1.6%-3.7%-0.2%-0.8%-1.4%
VWIV38.3%34.6%41.9%38.7%35.8%
Skew 25d5.7%4.3%7.3%5.7%4.7%
Skew 10d10.7%8.1%13.6%10.6%8.1%
Call IV 25d35.7%32.7%38.5%34.8%34.5%
Put IV 25d41.4%37.6%45.6%40.5%39.2%
Bid-Ask Spread %73.3168.6679.2474.8879.24
Gamma HHI0.110.080.240.090.08
Net GEX-3.0M-11.4M2.0M-2.8M-2.0M
Net DEX110.9M21.7M263.1M135.0M26.0M
Net VEX-1.1M-1.3M-934.7K-1.2M-934.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.261.700.820.28
Total Volume49,972.14335,97594,61539,59051,205
Total OI268,466.429194,700332,685253,105204,460

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-10-03$51.56$55.0036.9%10.6%32.9%51.9%38.7%5.7%-0.8%-2.8M135.0M-1.2M0.8274.8821,75517,835144,875108,230
2022-10-04$53.28$55.0035.8%10.3%35.3%48.6%35.6%5.5%-0.6%740.6K60.5M-1.3M0.7277.8422,44516,135145,905107,905
2022-10-05$53.83$55.0034.8%10.0%34.5%45.8%36.0%5.6%-0.2%1.9M36.8M-1.3M0.6978.6021,32514,650146,850108,065
2022-10-06$53.52$57.0036.1%10.3%34.4%49.5%36.0%6.5%-1.5%1.5M49.4M-1.3M0.7371.0627,43520,110147,620108,480
2022-10-07$51.19$57.0039.1%11.0%34.6%58.1%37.7%6.9%-1.6%-3.9M149.9M-1.2M0.7369.8423,84517,405152,005112,305
2022-10-10$50.03$56.0042.6%11.6%34.6%68.3%41.5%7.1%-2.8%-7.0M202.0M-1.1M1.7068.6620,72535,160151,285114,770
2022-10-11$48.89$56.0044.6%12.0%32.1%74.2%41.9%7.3%-3.7%-11.4M263.1M-1.1M0.6769.4856,63537,980152,160132,230
2022-10-12$49.24$56.0041.8%12.0%32.3%66.0%41.2%6.8%-3.3%-4.8M207.6M-1.2M0.8069.4421,48517,085186,300139,415
2022-10-13$49.78$56.0040.9%11.7%31.0%63.5%40.2%6.8%-2.8%-3.9M181.0M-1.2M0.6370.3029,47018,615186,770139,415
2022-10-14$48.56$56.0041.0%11.7%31.3%63.6%40.9%6.5%-3.0%-9.3M252.6M-1.1M0.6470.7523,19514,830185,440139,110
2022-10-17$50.32$56.0040.3%11.5%34.2%61.6%39.3%5.5%-2.8%-2.4M143.8M-1.1M0.6469.0331,35520,115185,645136,070
2022-10-18$51.10$55.0038.9%11.1%34.7%57.6%37.5%5.5%-2.4%2.0M87.5M-1.1M0.5471.4629,30515,930193,985137,915
2022-10-19$50.41$55.0040.0%11.5%34.6%60.8%39.5%5.7%-2.9%-1.1M138.8M-1.0M0.5573.3926,58514,635194,875135,690
2022-10-20$50.79$55.0038.5%11.0%34.6%56.7%39.2%5.4%-0.4%1.3M116.7M-1.0M0.3073.2350,57515,305195,590137,095
2022-10-21$51.81$55.0038.0%10.9%34.3%55.2%40.1%5.4%-0.6%-8.9M81.9M-972.3K0.4773.2338,10018,055170,675137,405
2022-10-24$52.26$55.0038.4%11.0%34.4%56.3%39.6%4.8%-1.1%-3.3M56.7M-982.8K0.3471.3440,04013,760108,19086,510
2022-10-25$53.52$55.0036.7%10.5%35.2%51.2%36.3%4.7%-1.1%-2.2M28.9M-977.6K0.2677.2142,38511,190110,80586,850
2022-10-26$52.74$55.0036.9%10.6%34.6%51.9%37.5%4.6%-1.0%-2.8M46.2M-984.8K0.3074.7938,61511,670113,84587,525
2022-10-27$52.98$55.0035.8%10.3%33.8%48.6%36.1%4.3%-0.3%-2.6M42.0M-960.8K0.2976.8938,93011,475114,02088,740
2022-10-28$53.81$55.0035.3%10.1%33.8%47.3%34.6%4.3%-0.2%-1.7M21.7M-961.5K0.2878.9140,65011,415113,83588,935
2022-10-31$53.70$55.0036.5%10.5%33.0%50.8%35.8%4.7%-1.4%-2.0M26.0M-934.7K0.2879.2439,85011,355115,01089,450