IGV Options History — December 2022

In December 2022, IGV traded between $49.76 and $55.07. ATM implied volatility averaged 36.5%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 2.1% (HV 20d: 34.3%). Max pain ranged from $52.00 to $55.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2022-12-13: Highest Volume — 55,975 contracts
  • 2022-12-14: Largest IV drop — 37.2% change
  • 2022-12-12: Highest IV Rank — 100.0%
  • 2022-12-02: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.89$49.76$55.07$55.07$50.98
Max Pain$54.00$52.00$55.00$53.00$52.00
ATM IV36.5%30.0%57.5%34.6%32.2%
Expected Move9.3%8.6%10.2%9.9%9.2%
HV 20d34.3%29.0%43.9%42.8%29.0%
HV 60d36.3%35.6%37.3%37.1%35.7%
IV Rank40.3%19.1%100.0%36.9%25.7%
IV Percentile45.4%11.5%100.0%38.5%22.2%
Term Structure0.7%-4.4%2.1%-4.2%0.8%
VWIV32.0%29.0%36.5%35.6%32.4%
Skew 25d4.9%3.9%5.7%4.4%4.1%
Skew 10d9.2%7.1%11.2%8.0%7.6%
Call IV 25d30.0%27.5%33.4%32.6%30.2%
Put IV 25d34.9%32.4%37.9%37.0%34.2%
Bid-Ask Spread %82.0572.6285.5675.7382.23
Gamma HHI0.100.070.180.100.09
Net GEX-1.4M-8.0M8.6M4.8M-1.5M
Net DEX29.7M-92.4M88.9M-92.4M30.5M
Net VEX-1.2M-1.2M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.129.980.950.73
Total Volume10,785.4761,42055,9758,0851,420
Total OI263,316.429241,120295,885249,405264,090

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-12-01$55.07$53.0034.6%9.9%42.8%36.9%35.6%4.4%-4.2%4.8M-92.4M-1.2M0.9575.734,1453,940137,725111,680
2022-12-02$54.27$53.0035.6%10.2%41.8%40.2%35.6%4.5%-4.4%3.7M-60.5M-1.2M3.2072.622,1506,890138,955113,960
2022-12-05$52.20$55.0038.6%9.3%43.7%50.1%36.5%5.7%1.2%-531.4K30.3M-1.2M9.9882.012,54525,395140,015119,685
2022-12-06$51.50$55.0041.3%9.5%43.9%59.1%31.1%5.4%0.8%-2.7M67.3M-1.2M0.4081.926,4002,530141,035125,960
2022-12-07$51.25$55.0044.6%9.8%43.7%70.0%32.7%5.6%0.3%-2.9M71.0M-1.2M0.3481.293,3751,160141,630125,760
2022-12-08$52.03$55.0044.4%9.6%42.9%69.3%31.4%5.2%1.0%-884.0K35.8M-1.2M0.3780.8010,1853,770143,150126,195
2022-12-09$52.00$55.0044.2%9.5%31.3%68.7%31.5%5.6%1.0%-885.9K39.2M-1.2M0.2781.161,360370146,040129,030
2022-12-12$52.91$55.0057.5%9.6%30.0%100.0%31.6%5.2%0.4%1.4M-1.5M-1.2M0.5279.038,6904,505145,735129,120
2022-12-13$54.01$55.0047.8%9.1%30.9%71.4%30.0%5.2%0.9%8.6M-70.9M-1.2M0.1781.8947,8458,130153,455130,860
2022-12-14$53.73$55.0030.0%8.6%30.1%19.1%29.0%4.9%1.4%6.7M-44.8M-1.2M1.0182.313,6353,685157,210137,420
2022-12-15$51.89$55.0031.2%9.0%31.5%22.7%30.2%5.5%2.0%-5.1M60.3M-1.2M0.7084.9410,7807,575158,135137,750
2022-12-16$51.75$54.0030.9%8.9%30.5%21.9%31.0%4.7%1.6%-8.0M63.3M-1.2M1.1283.652,4352,725154,780136,075
2022-12-19$50.63$54.0032.1%9.2%31.4%25.4%32.2%4.6%1.1%-3.6M68.3M-1.1M1.1085.372,8503,135125,065116,055
2022-12-20$51.15$54.0030.1%8.6%31.4%19.4%30.0%5.0%2.1%-3.3M53.2M-1.1M2.0384.191,8703,795125,850116,265
2022-12-21$51.66$54.0030.1%8.6%31.0%19.4%30.3%4.3%1.6%-2.6M36.0M-1.1M1.3683.491,5352,085126,250117,630
2022-12-22$50.46$53.0032.4%9.3%31.4%26.3%36.1%4.8%1.4%-4.1M69.0M-1.1M4.9579.592,15010,635127,205117,870
2022-12-23$50.57$53.0030.8%8.8%31.5%21.5%30.2%4.4%2.0%-4.7M70.0M-1.1M0.6184.521,060650127,265124,855
2022-12-27$50.42$53.0032.6%9.3%31.1%26.7%30.0%4.6%1.4%-4.9M73.0M-1.1M0.1285.432,010240127,700125,250
2022-12-28$49.76$53.0032.7%9.4%31.2%27.1%33.7%4.5%1.1%-5.8M88.9M-1.1M0.9585.561,2101,155128,655124,535
2022-12-29$51.37$53.0032.0%9.2%30.0%25.1%31.2%3.9%0.9%-3.2M37.6M-1.1M0.1685.3714,2202,255129,210124,535
2022-12-30$50.98$52.0032.2%9.2%29.0%25.7%32.4%4.1%0.8%-1.5M30.5M-1.1M0.7382.23820600138,780125,310