IGV Options History — August 2023

In August 2023, IGV traded between $66.79 and $72.96. ATM implied volatility averaged 21.7%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 0.4% (HV 20d: 21.3%). Max pain ranged from $68.00 to $70.00. Net GEX was positive for 1 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 3.43.

Notable Days

  • 2023-08-09: Highest Volume — 14,630 contracts
  • 2023-08-02: Largest IV spike — 12.2% change
  • 2023-08-17: Highest IV Rank — 15.3%
  • 2023-08-17: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.24$66.79$72.96$72.96$72.20
Max Pain$69.74$68.00$70.00$68.00$70.00
ATM IV21.7%17.9%23.8%19.7%17.9%
Expected Move6.3%5.1%6.8%5.6%5.1%
HV 20d21.3%18.4%23.8%18.4%20.8%
HV 60d20.9%19.6%21.6%19.6%21.6%
IV Rank9.9%0.4%15.3%4.8%0.4%
IV Percentile21.1%0.4%33.7%10.3%0.4%
Term Structure0.5%-0.2%1.6%0.9%1.6%
VWIV22.2%17.5%25.0%20.5%17.5%
Skew 25d3.9%2.2%4.9%2.2%2.4%
Skew 10d7.9%4.7%10.6%4.9%4.7%
Call IV 25d20.0%16.8%21.8%19.0%16.8%
Put IV 25d23.9%19.2%26.5%21.2%19.2%
Bid-Ask Spread %73.5258.4586.8459.7086.84
Gamma HHI0.160.080.460.080.12
Net GEX-7.9M-19.4M623.8K623.8K-3.8M
Net DEX-66.4M-180.4M27.4M-180.4M-150.2M
Net VEX-791.6K-833.7K-633.2K-633.2K-743.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.430.3617.445.121.05
Total Volume5,643.6961,68014,6306,1554,585
Total OI128,361.957109,155146,445119,975127,260

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$72.96$68.0019.7%5.6%18.4%4.8%20.5%2.2%0.9%623.8K-180.4M-633.2K5.1259.701,0055,15044,21575,760
2023-08-02$70.52$68.0022.1%6.3%22.6%10.9%22.8%3.5%0.5%-3.8M-104.3M-771.6K2.2658.451,8504,18044,42080,315
2023-08-03$70.12$70.0022.9%6.6%22.2%12.9%23.9%4.5%0.4%-5.2M-88.8M-799.6K3.5369.966602,33045,34582,940
2023-08-04$69.36$70.0022.4%6.7%22.6%11.6%22.4%4.4%0.4%-6.5M-65.9M-803.7K1.0071.141,0201,02545,73583,495
2023-08-07$69.69$70.0021.0%6.2%22.2%8.2%21.5%4.6%0.4%-6.6M-77.6M-766.1K0.8372.9792076045,87584,030
2023-08-08$68.65$70.0021.8%6.5%22.0%10.1%25.0%4.9%-0.0%-9.0M-49.6M-779.7K2.4173.212,4405,89046,81584,205
2023-08-09$67.94$70.0023.0%6.6%22.1%13.1%22.7%4.7%0.1%-10.7M-17.6M-814.4K9.5672.711,38513,24548,00087,285
2023-08-10$68.14$70.0022.8%6.5%20.9%12.6%23.0%4.6%0.3%-10.7M-37.9M-808.9K1.5774.431,9803,10048,55088,125
2023-08-11$68.23$70.0022.5%6.5%21.0%12.0%23.3%4.5%0.7%-11.4M-40.2M-821.1K2.0974.856301,31549,83589,795
2023-08-14$68.98$70.0021.6%6.2%20.7%9.6%21.8%4.3%0.8%-10.2M-71.7M-780.4K1.0375.961,1901,22050,03590,030
2023-08-15$68.34$70.0023.0%6.6%20.2%13.2%21.2%4.7%0.4%-13.2M-47.6M-798.3K1.0978.213,3303,62550,65090,400
2023-08-16$68.07$70.0023.2%6.7%20.1%13.7%22.8%4.5%0.2%-15.5M-33.4M-823.2K3.8778.287953,08052,42592,995
2023-08-17$66.79$70.0023.8%6.8%19.2%15.3%23.1%4.7%0.1%-19.4M27.4M-818.2K1.8677.461,8703,47552,76593,680
2023-08-18$67.30$70.0023.6%6.8%19.5%14.6%24.9%4.3%-0.2%-10.7M-28.1M-810.2K2.9777.352,1856,48553,27091,405
2023-08-21$68.40$70.0022.5%6.5%20.7%12.0%22.6%4.3%-0.0%-5.0M-40.8M-817.1K1.3174.731,4701,92540,17068,985
2023-08-22$68.17$70.0022.9%6.6%20.3%12.8%23.5%4.0%-0.1%-4.9M-37.5M-822.1K1.8674.447051,31041,12069,930
2023-08-23$69.55$70.0021.1%6.1%21.5%8.5%22.0%3.4%0.3%-4.3M-78.6M-799.0K0.4074.671,46558541,60570,775
2023-08-24$67.93$70.0022.8%6.5%22.7%12.6%23.9%3.6%0.5%-5.3M-32.5M-825.6K8.0274.611,32510,62542,42070,735
2023-08-25$69.31$70.0021.1%6.0%23.1%8.3%20.7%3.3%0.8%-7.4M-61.4M-833.7K0.3675.001,65559042,81578,465
2023-08-28$69.51$69.0019.9%5.7%22.7%5.4%21.1%3.2%1.2%-7.1M-72.3M-802.7K6.0079.065653,39043,45576,285
2023-08-29$70.86$69.0018.8%5.4%23.8%2.5%20.2%3.1%1.3%-5.1M-115.2M-766.0K17.4478.355409,42043,64076,460
2023-08-30$71.39$70.0018.5%5.3%20.6%1.9%19.9%2.8%1.2%-5.7M-123.5M-769.4K3.3058.553,14010,37043,78582,025
2023-08-31$72.20$70.0017.9%5.1%20.8%0.4%17.5%2.4%1.6%-3.8M-150.2M-743.5K1.0586.842,2352,35044,11583,145