IGV Options History — November 2022

In November 2022, IGV traded between $48.30 and $54.95. ATM implied volatility averaged 36.0%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 4.1% (HV 20d: 40.1%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2022-11-02: Highest Volume — 86,865 contracts
2022-11-28: Largest IV spike — 9.8% change
2022-11-08: Highest IV Rank — 60.9%
2022-11-02: Largest Expected Move — 11.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.05	$48.30	$54.95	$52.84	$54.10
Max Pain	$52.57	$51.00	$55.00	$55.00	$53.00
ATM IV	36.0%	32.3%	41.1%	36.4%	34.8%
Expected Move	10.2%	9.3%	11.3%	10.4%	10.0%
HV 20d	40.1%	31.5%	45.4%	31.5%	45.4%
HV 60d	34.8%	31.0%	37.2%	31.0%	37.2%
IV Rank	44.1%	29.2%	60.9%	50.5%	37.5%
IV Percentile	52.0%	25.0%	85.3%	57.5%	41.7%
Term Structure	-1.7%	-4.4%	-0.8%	-1.2%	-3.6%
VWIV	35.7%	31.4%	41.1%	34.9%	34.6%
Skew 25d	4.9%	4.3%	6.3%	4.3%	4.7%
Skew 10d	9.2%	7.5%	12.1%	7.9%	8.2%
Call IV 25d	33.0%	29.7%	36.6%	34.5%	32.2%
Put IV 25d	38.0%	33.9%	42.7%	38.8%	37.0%
Bid-Ask Spread %	66.16	48.81	84.80	79.49	77.59
Gamma HHI	0.12	0.08	0.22	0.09	0.11
Net GEX	-3.7M	-15.7M	4.8M	-2.6M	4.8M
Net DEX	39.4M	-93.2M	241.8M	41.4M	-58.7M
Net VEX	-1.1M	-1.2M	-895.4K	-932.4K	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.25	1.03	0.27	0.53
Total Volume	57,109.762	780	86,865	52,585	16,490
Total OI	265,657.857	205,345	319,400	205,345	247,200

Daily Data (21 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
2022-11-01	$52.84	$55.00	36.4%	10.4%	31.5%	50.5%	34.9%	4.3%	-1.2%	-2.6M	41.4M	-932.4K	0.27	79.49	41,535	11,050	115,735	89,610
2022-11-02	$50.70	$55.00	39.2%	11.3%	34.3%	58.7%	41.1%	6.1%	-1.7%	-4.7M	86.9M	-895.4K	1.03	84.80	42,845	44,020	116,180	90,320
2022-11-03	$49.34	$53.00	39.8%	10.8%	35.4%	60.2%	39.6%	6.3%	-1.8%	-11.3M	165.3M	-955.6K	0.50	55.02	46,835	23,275	119,015	112,515
2022-11-04	$48.30	$52.00	38.2%	10.5%	32.8%	53.0%	36.7%	4.9%	-1.4%	-15.7M	241.8M	-1.1M	0.64	52.94	45,355	28,930	117,475	150,975
2022-11-07	$49.02	$51.00	39.4%	10.3%	32.4%	56.7%	37.0%	4.7%	-1.4%	-14.8M	190.3M	-1.1M	0.47	53.93	49,390	23,130	119,935	152,080
2022-11-08	$49.81	$51.00	41.1%	10.5%	31.9%	60.9%	36.9%	4.4%	-1.8%	-12.5M	143.8M	-1.2M	0.50	48.81	43,655	21,880	128,195	151,955
2022-11-09	$48.62	$52.00	37.3%	10.7%	33.0%	48.8%	37.8%	4.6%	-1.5%	-14.2M	197.8M	-1.2M	0.45	59.24	45,180	20,535	128,610	154,150
2022-11-10	$52.77	$52.00	34.7%	10.0%	44.1%	40.8%	37.5%	4.7%	-1.9%	-6.0M	16.1M	-1.2M	0.69	62.10	46,280	31,750	130,665	154,245
2022-11-11	$54.35	$52.00	34.5%	9.9%	43.8%	40.2%	34.4%	4.7%	-1.0%	-1.3M	-43.9M	-1.2M	0.63	61.53	53,240	33,285	132,235	165,005
2022-11-14	$53.92	$52.00	35.2%	10.1%	42.5%	42.1%	34.3%	4.5%	-2.0%	-1.9M	-34.1M	-1.2M	0.43	63.06	54,455	23,555	135,960	168,315
2022-11-15	$54.95	$52.00	34.4%	9.9%	42.6%	38.7%	37.0%	5.4%	-1.6%	2.7M	-93.2M	-1.2M	0.50	62.54	41,870	20,775	144,585	169,050
2022-11-16	$53.71	$52.00	34.8%	10.0%	43.3%	40.0%	38.3%	5.7%	-1.5%	307.1K	-44.2M	-1.2M	0.82	65.62	41,630	34,260	145,340	169,090
2022-11-17	$52.48	$52.00	35.5%	10.2%	44.2%	42.0%	34.1%	5.1%	-0.9%	-4.3M	12.5M	-1.2M	0.53	63.60	42,365	22,605	145,930	173,470
2022-11-18	$52.44	$52.00	34.7%	9.9%	43.7%	39.4%	34.3%	4.6%	-0.8%	-1.5M	6.7M	-1.2M	0.59	67.34	41,350	24,475	146,085	172,800
2022-11-21	$51.77	$53.00	35.0%	10.0%	43.8%	39.3%	36.0%	4.9%	-1.1%	-1.4M	32.8M	-1.1M	0.46	69.04	35,535	16,370	125,740	103,265
2022-11-22	$52.64	$53.00	32.8%	9.4%	43.3%	30.7%	31.4%	4.4%	-0.9%	-559.5K	11.7M	-1.1M	0.27	69.25	57,315	15,540	126,185	103,880
2022-11-23	$53.42	$53.00	32.3%	9.3%	43.4%	29.2%	32.3%	4.3%	-0.8%	2.6M	-33.7M	-1.2M	0.44	71.44	36,570	16,095	135,975	104,810
2022-11-25	$53.34	$53.00	32.7%	9.4%	43.3%	30.5%	31.9%	4.5%	-1.0%	2.9M	-32.4M	-1.2M	0.70	73.47	460	320	137,445	105,720
2022-11-28	$52.46	$53.00	35.9%	10.3%	43.3%	41.1%	34.7%	5.0%	-2.8%	1.4M	3.3M	-1.1M	0.61	73.21	1,220	750	137,995	106,080
2022-11-29	$52.00	$53.00	37.5%	10.7%	43.4%	46.4%	34.9%	5.6%	-4.4%	727.3K	17.2M	-1.1M	0.25	75.39	2,500	630	138,545	106,450
2022-11-30	$54.10	$53.00	34.8%	10.0%	45.4%	37.5%	34.6%	4.7%	-3.6%	4.8M	-58.7M	-1.2M	0.53	77.59	10,765	5,725	140,245	106,955