IGV Options History — June 2023

In June 2023, IGV traded between $64.44 and $69.94. ATM implied volatility averaged 20.8%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 0.8% (HV 20d: 21.6%). Max pain ranged from $60.00 to $67.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.38.

Notable Days

  • 2023-06-12: Highest Volume — 11,080 contracts
  • 2023-06-12: Largest IV spike — 29.6% change
  • 2023-06-12: Highest IV Rank — 25.8%
  • 2023-06-01: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.48$64.44$69.94$65.60$69.27
Max Pain$65.29$60.00$67.00$60.00$67.00
ATM IV20.8%17.8%28.5%22.3%17.8%
Expected Move5.7%5.1%6.4%6.4%5.1%
HV 20d21.6%17.1%24.3%18.6%22.2%
HV 60d19.7%18.4%20.4%20.4%19.7%
IV Rank6.2%0.0%25.8%9.8%0.0%
IV Percentile5.7%0.0%31.0%7.9%0.0%
Term Structure1.2%-1.1%1.8%-1.1%1.7%
VWIV20.2%17.9%24.3%24.3%17.9%
Skew 25d2.9%1.5%4.3%3.4%1.5%
Skew 10d5.8%3.2%7.7%6.2%3.2%
Call IV 25d18.5%17.3%21.1%21.1%17.3%
Put IV 25d21.4%18.8%24.5%24.5%18.8%
Bid-Ask Spread %60.1552.5870.1352.5858.34
Gamma HHI0.090.070.170.100.09
Net GEX3.8M1.1M6.5M5.3M3.2M
Net DEX-192.3M-316.0M-109.6M-202.1M-155.2M
Net VEX-726.1K-763.0K-659.9K-763.0K-659.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.214.170.790.36
Total Volume3,666.66758511,0802,8501,800
Total OI114,393.09596,855145,020115,59098,925

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$65.60$60.0022.3%6.4%18.6%9.8%24.3%3.4%-1.1%5.3M-202.1M-763.0K0.7952.581,5901,26054,45061,140
2023-06-02$66.04$60.0020.5%5.9%18.0%5.4%21.6%2.1%0.2%5.4M-214.3M-746.0K1.2555.372,8253,54055,04561,975
2023-06-05$66.60$64.0020.6%5.7%17.1%5.5%21.0%3.9%0.8%4.7M-226.9M-710.6K2.8857.728002,30054,92064,460
2023-06-06$66.72$64.0019.4%5.5%17.1%2.5%19.2%3.7%0.9%5.0M-227.3M-700.9K0.5157.501,64583555,03564,845
2023-06-07$64.44$64.0022.4%6.0%22.5%10.1%21.3%4.3%0.6%4.8M-169.6M-758.5K3.5157.601,8156,37555,03064,935
2023-06-08$65.47$64.0022.1%5.8%22.4%9.3%20.3%3.6%0.8%4.5M-199.9M-742.4K1.1956.1653063055,86567,430
2023-06-09$66.12$64.0022.0%5.6%22.1%9.2%19.7%3.6%1.2%4.5M-217.1M-727.4K0.5058.821,93597556,31068,135
2023-06-12$67.57$64.0028.5%5.7%22.6%25.8%19.0%3.7%1.7%4.7M-250.9M-701.3K0.5556.787,1553,92557,34568,365
2023-06-13$67.93$64.0026.5%5.7%22.6%20.7%20.5%3.0%1.4%6.2M-267.2M-731.4K1.6757.341,3802,30063,84071,300
2023-06-14$68.35$66.0020.0%5.7%22.5%3.9%20.2%3.5%1.8%6.4M-276.4M-742.3K1.5458.871,5652,41564,14073,220
2023-06-15$69.94$67.0020.2%5.8%22.9%4.6%21.1%2.5%1.4%6.5M-316.0M-717.0K1.0859.674,8305,22064,91074,390
2023-06-16$69.50$67.0020.4%5.9%22.5%5.0%19.7%2.9%1.7%3.7M-304.1M-758.2K0.2163.016,5251,38566,96078,060
2023-06-20$68.84$67.0020.3%5.8%23.0%4.8%21.5%2.5%1.6%1.6M-138.1M-732.6K0.5958.801,6901,00541,33555,520
2023-06-21$67.64$67.0019.7%5.6%24.3%3.1%20.7%2.5%1.4%1.1M-117.5M-754.7K2.7359.911,0102,75542,32055,345
2023-06-22$67.88$67.0018.9%5.4%23.4%1.2%19.7%2.4%1.7%1.9M-124.1M-749.5K0.8362.0632026543,06554,305
2023-06-23$67.44$67.0019.6%5.6%23.3%2.9%19.4%2.6%1.4%1.6M-117.3M-743.6K0.8763.8651044543,22554,370
2023-06-26$66.95$67.0019.6%5.6%22.1%2.9%20.1%2.6%1.4%1.3M-109.6M-733.0K0.7366.0737027043,41054,305
2023-06-27$68.25$67.0019.1%5.5%21.8%1.6%19.5%2.5%1.4%2.4M-135.3M-700.3K2.6965.1034091543,55554,105
2023-06-28$68.23$67.0018.9%5.4%21.7%1.0%18.8%2.1%1.3%2.3M-135.5M-683.7K0.3867.4045017043,57554,595
2023-06-29$68.26$67.0018.8%5.4%21.7%1.0%18.9%2.0%1.6%2.3M-135.1M-692.8K4.1770.1318075043,65054,545
2023-06-30$69.27$67.0017.8%5.1%22.2%0.0%17.9%1.5%1.7%3.2M-155.2M-659.9K0.3658.341,32547543,74055,185