IGV Options History — January 2023

In January 2023, IGV traded between $50.04 and $56.63. ATM implied volatility averaged 30.3%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 5.2% (HV 20d: 25.1%). Max pain ranged from $52.00 to $54.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 2.60.

Notable Days

  • 2023-01-20: Highest Volume — 32,610 contracts
  • 2023-01-30: Largest IV spike — 11.9% change
  • 2023-01-05: Highest IV Rank — 33.0%
  • 2023-01-03: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.34$50.04$56.63$51.19$56.19
Max Pain$52.50$52.00$54.00$52.00$54.00
ATM IV30.3%27.3%35.4%34.4%30.7%
Expected Move8.6%7.8%9.8%9.8%8.8%
HV 20d25.1%22.4%28.8%28.8%22.4%
HV 60d33.9%32.6%35.7%35.7%32.6%
IV Rank11.2%0.0%33.0%31.9%11.2%
IV Percentile12.8%0.0%44.0%34.1%14.3%
Term Structure-1.0%-2.8%0.1%-0.4%-2.8%
VWIV30.9%27.0%35.9%34.2%31.3%
Skew 25d4.5%3.6%5.3%4.3%4.2%
Skew 10d8.1%6.2%9.3%7.0%7.7%
Call IV 25d27.9%25.2%32.1%32.1%28.5%
Put IV 25d32.4%29.5%36.5%36.4%32.7%
Bid-Ask Spread %77.7272.9986.1384.2381.03
Gamma HHI0.130.100.450.100.10
Net GEX4.3M-3.9M15.8M-951.1K8.0M
Net DEX-48.5M-157.4M70.1M22.3M-138.8M
Net VEX-1.0M-1.1M-929.8K-1.1M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.0917.210.690.81
Total Volume9,452.251,22532,6105,5151,225
Total OI254,945.25188,115298,115264,265213,445

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$51.19$52.0034.4%9.8%28.8%31.9%34.2%4.3%-0.4%-951.1K22.3M-1.1M0.6984.233,2552,260138,665125,600
2023-01-04$51.30$52.0033.6%9.6%25.5%29.6%33.1%3.6%0.1%-498.9K17.2M-1.1M1.6486.132,8254,620140,960126,935
2023-01-05$50.04$52.0035.4%9.8%26.6%33.0%35.3%5.3%-1.0%-3.9M70.1M-1.1M2.6972.993,6509,835140,490129,330
2023-01-06$50.83$52.0031.8%9.2%27.2%14.9%32.2%5.0%-0.3%-3.1M49.4M-1.1M1.3474.472,6853,595142,580137,130
2023-01-09$51.89$52.0033.6%9.4%27.7%20.6%33.6%5.1%-1.1%-309.6K2.5M-1.0M0.9874.933,6303,570142,485137,040
2023-01-10$51.68$52.0033.7%9.2%27.7%21.0%35.9%5.0%-0.8%-858.8K13.6M-1.0M17.2174.551,17520,225143,240137,875
2023-01-11$52.40$52.0031.8%9.1%27.5%14.6%32.5%4.9%-1.0%1.3M-17.6M-1.0M7.2075.619456,800143,645139,685
2023-01-12$52.87$52.0029.7%8.5%26.6%7.8%28.8%4.5%-0.3%3.7M-38.9M-976.8K1.8877.491,9453,660143,855144,060
2023-01-13$53.22$52.0027.7%7.9%26.7%1.2%27.0%4.6%-0.1%5.2M-54.0M-968.7K0.5779.175,9653,410144,735145,670
2023-01-17$53.40$52.0028.4%8.1%23.4%3.6%28.2%4.5%-0.4%6.4M-68.6M-950.5K2.1878.681,1602,530147,905147,930
2023-01-18$52.68$52.0028.6%8.2%24.0%4.2%31.2%4.6%-0.4%6.9M-29.1M-954.3K2.1677.734,5559,835148,455149,660
2023-01-19$52.48$52.0029.7%8.5%22.5%7.9%30.0%4.6%-0.6%8.3M-25.0M-929.8K1.8979.451,4052,650148,565147,295
2023-01-20$53.92$53.0027.6%7.9%24.1%0.8%27.1%4.3%-0.5%15.8M-93.0M-932.2K0.0981.1129,8552,755149,235148,315
2023-01-23$55.14$53.0028.3%8.1%25.0%3.1%28.2%4.6%-1.2%7.0M-103.7M-985.7K0.4773.493,1151,45588,19599,920
2023-01-24$54.69$53.0027.9%8.0%23.3%1.7%32.3%4.3%-1.4%6.7M-89.3M-992.6K6.6173.662,39515,82588,990100,955
2023-01-25$54.70$53.0028.3%8.1%23.3%3.1%29.0%4.6%-1.8%5.6M-83.4M-1.0M1.1775.704,2004,92590,120110,590
2023-01-26$55.96$53.0028.2%8.1%24.1%2.8%28.6%4.6%-1.6%6.9M-129.7M-1.0M1.1874.961,5401,81592,120112,375
2023-01-27$56.63$53.0027.3%7.8%23.2%0.0%28.3%3.8%-1.6%7.8M-157.4M-991.5K0.8780.862,3452,04092,330112,765
2023-01-30$55.62$54.0030.5%8.7%22.7%10.7%31.4%4.2%-2.6%7.0M-115.6M-992.3K0.2678.117,4151,95592,640113,120
2023-01-31$56.19$54.0030.7%8.8%22.4%11.2%31.3%4.2%-2.8%8.0M-138.8M-1.0M0.8181.0367555099,000114,445