IGV Options History — March 2023

In March 2023, IGV traded between $54.27 and $60.68. ATM implied volatility averaged 29.3%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 4.4% (HV 20d: 24.9%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 1.91.

Notable Days

  • 2023-03-10: Highest Volume — 9,655 contracts
  • 2023-03-13: Largest IV spike — 21.0% change
  • 2023-03-13: Highest IV Rank — 61.6%
  • 2023-03-13: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.33$54.27$60.68$55.42$60.68
Max Pain$56.78$55.00$57.00$55.00$57.00
ATM IV29.3%23.1%45.4%29.7%23.1%
Expected Move7.9%6.6%9.1%8.5%6.6%
HV 20d24.9%21.4%27.1%26.4%24.6%
HV 60d25.5%24.5%26.5%26.3%25.0%
IV Rank11.3%0.0%61.6%11.2%0.0%
IV Percentile17.2%0.0%97.2%13.1%0.0%
Term Structure0.5%-1.2%1.8%-1.2%1.8%
VWIV28.0%25.2%32.1%28.9%25.2%
Skew 25d5.5%4.1%6.7%4.7%4.7%
Skew 10d10.0%7.1%12.4%7.9%8.7%
Call IV 25d24.9%21.0%28.6%26.5%21.0%
Put IV 25d30.4%25.7%34.9%31.2%25.7%
Bid-Ask Spread %66.6750.1180.6180.6155.63
Gamma HHI0.080.050.190.070.07
Net GEX1.4M-2.9M4.1M-839.0K2.8M
Net DEX-39.0M-101.2M30.0M-5.2M-101.2M
Net VEX-950.9K-1.0M-853.3K-858.6K-994.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.910.058.615.470.42
Total Volume3,776.0871,1059,6551,5204,785
Total OI141,931.304106,600171,670150,195127,040

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$55.42$55.0029.7%8.5%26.4%11.2%28.9%4.7%-1.2%-839.0K-5.2M-858.6K5.4780.612351,28555,10595,090
2023-03-02$56.75$55.0027.8%8.0%24.6%5.0%27.4%4.6%-0.8%1.4M-36.4M-868.6K0.2866.593,42095555,26095,450
2023-03-03$57.78$56.0026.0%7.5%24.8%0.0%27.2%4.1%-0.6%3.9M-65.9M-866.0K0.8772.861,4851,29557,75595,855
2023-03-06$57.76$57.0027.2%7.2%23.3%3.8%26.6%4.8%0.7%4.1M-66.7M-853.3K3.4654.441,8106,27058,34096,610
2023-03-07$57.12$57.0029.3%7.5%23.0%10.5%25.7%5.0%0.5%2.5M-47.9M-888.8K1.5160.781,6402,47559,54098,725
2023-03-08$57.31$57.0030.0%7.5%21.4%12.7%26.2%4.7%0.8%2.8M-49.7M-909.8K0.3050.111,14534560,785100,570
2023-03-09$55.96$57.0034.2%8.2%22.9%25.8%28.0%5.2%0.2%169.2K-17.4M-925.8K2.1360.001,5253,24561,710100,835
2023-03-10$54.27$57.0037.6%8.9%25.1%36.6%31.1%6.3%0.3%-2.9M30.0M-948.7K3.5160.142,1407,51562,780103,265
2023-03-13$55.08$57.0045.4%9.1%25.4%61.6%32.1%6.3%-0.2%-1.4M11.4M-964.2K1.3662.001,3751,87063,740103,300
2023-03-14$55.74$57.0036.3%8.4%25.2%32.7%29.8%5.4%0.1%-839.0K-5.2M-942.8K1.8165.411,5902,88064,480103,695
2023-03-15$55.80$57.0030.5%8.7%24.5%14.1%29.6%5.9%0.1%-1.1M-2.3M-964.9K0.5866.601,25073065,200104,925
2023-03-16$57.55$57.0027.4%7.8%27.1%4.2%27.7%6.3%0.6%3.5M-54.1M-956.1K0.8968.281,3651,22066,060105,080
2023-03-17$57.12$57.0029.7%8.5%26.2%11.7%29.4%6.7%0.4%3.8M-45.8M-959.3K0.8367.301,5551,29066,555105,115
2023-03-20$57.16$57.0028.5%8.2%25.5%7.8%27.9%5.9%0.5%186.9K-21.4M-955.8K0.0565.525,85029540,90065,700
2023-03-21$58.45$57.0026.2%7.5%25.9%0.4%28.0%5.6%1.0%1.7M-52.1M-994.3K2.2369.766751,50545,81565,930
2023-03-22$57.66$57.0026.1%7.5%26.5%0.1%27.5%6.4%0.5%1.5M-42.2M-991.4K2.1374.107101,51046,33566,420
2023-03-23$58.03$57.0028.4%8.2%26.3%7.7%28.6%5.7%0.4%1.3M-42.3M-1.0M0.9171.431,2101,09547,08067,745
2023-03-24$58.15$57.0028.1%8.1%24.6%6.6%27.7%5.9%0.8%1.5M-46.6M-1.0M1.6367.6461099547,54067,950
2023-03-27$58.41$57.0026.6%7.6%24.6%1.6%27.2%5.6%1.3%1.8M-51.8M-1.0M1.1373.1952058547,92068,770
2023-03-28$57.96$57.0026.9%7.7%24.9%2.6%25.9%5.6%1.0%1.6M-44.2M-999.4K1.5370.9557588048,25568,805
2023-03-29$59.06$57.0024.0%6.9%25.4%0.0%26.5%5.1%1.7%2.4M-65.9M-983.5K2.2274.851,1852,63548,19069,075
2023-03-30$59.40$57.0024.8%7.1%24.3%2.4%29.2%5.1%1.1%2.7M-74.6M-997.8K8.6175.179708,35048,83570,290
2023-03-31$60.68$57.0023.1%6.6%24.6%0.0%25.2%4.7%1.8%2.8M-101.2M-994.3K0.4255.633,3651,42049,39577,645