IGV Options History — May 2023

In May 2023, IGV traded between $57.47 and $65.49. ATM implied volatility averaged 21.4%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 2.8% (HV 20d: 18.5%). Max pain ranged from $58.00 to $60.00. Net GEX was positive for 19 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.45.

Notable Days

  • 2023-05-18: Highest Volume — 7,825 contracts
  • 2023-05-05: Largest IV drop — 20.1% change
  • 2023-05-30: Highest IV Rank — 13.8%
  • 2023-05-04: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.93$57.47$65.49$59.26$65.49
Max Pain$58.45$58.00$60.00$58.00$60.00
ATM IV21.4%18.4%25.1%21.6%23.8%
Expected Move6.2%5.3%7.4%6.2%6.8%
HV 20d18.5%15.3%20.7%15.3%19.2%
HV 60d20.8%19.9%21.8%21.8%20.6%
IV Rank4.6%0.0%13.8%0.9%13.7%
IV Percentile3.6%0.0%13.1%0.8%13.1%
Term Structure1.2%-1.4%3.0%0.7%-1.0%
VWIV22.2%20.5%25.0%21.9%24.7%
Skew 25d5.1%4.4%6.5%4.5%4.6%
Skew 10d10.0%8.4%12.4%8.7%9.4%
Call IV 25d19.3%16.8%22.0%19.2%21.2%
Put IV 25d24.4%21.2%28.5%23.7%25.8%
Bid-Ask Spread %66.6844.8881.7148.0656.07
Gamma HHI0.110.070.200.090.11
Net GEX3.1M-2.0M8.6M405.0K4.6M
Net DEX-107.4M-192.7M-2.9M-65.3M-192.7M
Net VEX-858.6K-966.9K-782.8K-961.8K-793.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.450.284.540.361.10
Total Volume3,593.1829407,8251,3853,045
Total OI132,709.091105,045151,495141,370113,805

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$59.26$58.0021.6%6.2%15.3%0.9%21.9%4.5%0.7%405.0K-65.3M-961.8K0.3648.061,01537055,93585,435
2023-05-02$58.30$58.0023.4%6.7%16.2%5.9%22.6%5.1%0.4%-1.0M-31.3M-966.9K0.7046.911,5251,06555,89585,585
2023-05-03$57.84$58.0023.0%6.6%16.4%4.9%20.7%5.4%0.8%-1.7M-15.4M-958.8K0.8444.8881068056,50085,615
2023-05-04$57.47$58.0025.1%7.4%16.1%10.7%24.3%6.5%0.2%-2.0M-2.9M-958.1K4.5476.471,0954,97056,51585,490
2023-05-05$58.73$58.0020.1%6.3%18.1%0.0%21.9%5.8%2.4%251.4K-52.5M-923.9K1.7277.996401,10056,86583,635
2023-05-08$58.84$58.0020.1%6.3%18.1%0.1%20.7%5.7%2.4%130.8K-54.6M-903.6K2.3878.4939594057,19084,230
2023-05-09$59.00$58.0020.3%6.5%18.1%0.6%22.9%5.5%2.5%499.2K-64.7M-902.2K0.5179.484,0202,04557,51084,185
2023-05-10$59.96$58.0021.4%6.1%19.0%3.6%21.9%5.3%2.8%5.6M-109.9M-881.1K0.4180.234,3401,78561,14583,840
2023-05-11$59.54$58.0020.8%6.0%18.0%2.0%22.3%5.3%2.9%1.9M-88.8M-864.8K0.2881.293,05085057,94584,385
2023-05-12$59.41$58.0021.4%6.1%17.9%3.4%21.6%5.2%2.4%1.4M-83.6M-860.1K2.6181.6527070558,54084,950
2023-05-15$60.00$58.0020.2%5.8%18.3%0.2%22.3%5.2%2.8%3.7M-109.9M-823.8K3.5278.936052,13058,60584,930
2023-05-16$60.03$58.0020.4%5.8%18.2%0.8%21.6%5.1%2.7%2.8M-108.3M-815.7K1.6581.7135558558,60586,380
2023-05-17$61.13$58.0019.5%5.6%19.4%0.0%21.1%4.5%3.0%7.0M-148.1M-801.4K1.8167.412,7154,92558,61586,415
2023-05-18$62.57$58.0018.4%5.3%20.7%0.0%20.5%4.5%1.6%8.6M-192.4M-785.8K1.1568.653,6404,18558,83088,740
2023-05-19$62.61$59.0019.4%5.6%20.7%2.4%20.9%5.0%1.4%6.0M-189.3M-816.6K1.0675.841,6701,77060,46591,030
2023-05-22$63.05$59.0019.8%5.7%20.6%3.4%20.6%4.4%0.8%5.6M-137.3M-798.7K2.3157.351,1252,59549,06055,985
2023-05-23$62.14$59.0021.4%6.1%18.2%7.5%21.6%4.9%0.3%4.5M-108.1M-845.4K0.7258.961,24589549,52557,615
2023-05-24$61.69$59.0021.9%6.3%18.5%8.7%22.5%5.3%-0.2%4.1M-95.8M-842.5K0.4658.9585539049,68058,120
2023-05-25$63.36$59.0022.1%6.4%19.7%9.5%23.2%5.3%-0.3%5.1M-141.7M-819.1K1.1155.382,2152,45550,07058,100
2023-05-26$64.75$59.0021.9%6.3%20.7%8.9%23.8%4.7%-0.0%5.2M-180.4M-782.8K1.4056.233,0454,25051,82559,040
2023-05-30$65.33$60.0023.8%6.8%20.7%13.8%25.0%4.7%-1.4%4.8M-189.8M-783.1K1.3656.001,1401,54552,77060,000
2023-05-31$65.49$60.0023.8%6.8%19.2%13.7%24.7%4.6%-1.0%4.6M-192.7M-793.8K1.1056.071,4501,59552,85560,950