IGV Options History — September 2023

In September 2023, IGV traded between $66.96 and $73.38. ATM implied volatility averaged 20.5%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 0.4% (HV 20d: 20.1%). Max pain ranged from $70.00 to $72.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.87.

Notable Days

  • 2023-09-06: Highest Volume — 13,865 contracts
  • 2023-09-13: Largest IV drop — 19.8% change
  • 2023-09-26: Highest IV Rank — 16.5%
  • 2023-09-26: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.33$66.96$73.38$72.33$68.19
Max Pain$71.25$70.00$72.00$70.00$71.00
ATM IV20.5%17.4%24.0%17.4%21.6%
Expected Move5.8%5.0%6.9%5.0%6.2%
HV 20d20.1%17.5%22.0%20.3%17.5%
HV 60d20.0%19.5%20.3%20.2%20.2%
IV Rank7.6%0.0%16.5%0.0%10.5%
IV Percentile18.8%0.0%45.6%0.0%28.6%
Term Structure0.6%-0.4%1.9%1.9%0.6%
VWIV20.6%18.2%23.7%18.4%21.6%
Skew 25d3.9%2.0%4.9%2.0%4.2%
Skew 10d7.6%4.0%9.3%4.0%7.7%
Call IV 25d18.5%16.3%21.7%16.3%19.6%
Put IV 25d22.4%18.3%26.6%18.3%23.8%
Bid-Ask Spread %73.9165.2385.9785.9779.90
Gamma HHI0.150.110.210.120.15
Net GEX-2.9M-7.0M5.0M-2.9M-4.4M
Net DEX-89.0M-204.8M12.1M-159.4M-15.8M
Net VEX-706.3K-759.8K-662.4K-732.0K-692.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.870.205.042.601.89
Total Volume4,606.751,72013,86510,2854,130
Total OI112,414.2584,820141,645130,52091,115

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$72.33$70.0017.4%5.0%20.3%0.0%18.4%2.0%1.9%-2.9M-159.4M-732.0K2.6085.972,8607,42545,49085,030
2023-09-05$72.77$70.0018.4%5.5%20.4%2.4%19.7%3.5%0.8%-354.4K-177.8M-686.1K0.4665.232,9601,35047,38584,555
2023-09-06$72.74$70.0019.1%5.6%19.4%4.3%22.1%3.9%0.7%564.6K-185.6M-674.1K3.1167.193,37010,49548,51084,975
2023-09-07$72.68$71.0019.2%5.6%18.8%4.4%19.4%3.8%0.6%1.1M-177.0M-759.8K1.3766.971,6102,21050,53086,530
2023-09-08$72.66$72.0018.0%5.5%18.8%1.4%19.6%3.6%0.8%1.1M-175.8M-735.4K2.6768.369952,65550,60086,775
2023-09-11$73.38$72.0020.8%5.4%19.0%8.5%20.4%3.6%0.8%5.0M-204.8M-662.4K3.1071.691,1553,57550,14586,780
2023-09-12$71.28$71.0023.8%5.7%22.0%15.9%19.7%3.7%0.4%-6.7M-122.2M-722.3K0.8372.082,7902,32050,51588,305
2023-09-13$71.35$72.0019.1%5.5%21.6%4.2%19.5%3.3%0.8%-6.7M-128.9M-696.3K0.7472.921,13083550,77088,235
2023-09-14$71.81$72.0018.0%5.2%21.5%1.6%18.2%3.4%1.1%-3.6M-147.9M-680.3K1.3673.762,2503,05551,04588,420
2023-09-15$70.29$72.0019.3%5.5%21.9%4.8%19.9%3.9%0.6%-7.0M-87.5M-697.0K1.6574.773,4605,70051,61090,035
2023-09-18$70.28$72.0019.6%5.6%21.8%5.4%19.7%3.6%0.6%-3.5M-56.6M-713.4K0.7274.941,27091535,45049,370
2023-09-19$70.25$72.0019.7%5.6%21.2%5.6%20.5%4.0%0.5%-3.4M-59.1M-702.8K1.3975.971,0851,50536,27549,810
2023-09-20$69.80$72.0019.7%5.7%21.3%5.8%20.4%4.0%0.5%-3.7M-50.0M-710.2K5.0475.875802,92536,89050,565
2023-09-21$68.20$71.0022.1%6.3%21.8%11.8%21.0%4.5%0.3%-4.0M-12.4M-721.0K0.9474.501,8751,76537,13550,110
2023-09-22$68.30$71.0021.8%6.3%20.1%11.1%20.4%4.3%0.2%-4.0M-14.5M-716.9K0.2075.023,21563037,48550,545
2023-09-25$68.03$71.0022.3%6.4%18.7%12.3%22.3%4.8%0.0%-3.9M-10.5M-718.4K1.3974.257201,00038,80050,385
2023-09-26$66.96$71.0024.0%6.9%19.3%16.5%23.7%4.9%-0.4%-3.9M12.1M-699.9K0.9673.931,2301,18038,32550,565
2023-09-27$67.30$71.0023.5%6.7%17.9%15.2%23.7%4.6%-0.1%-4.0M3.4M-701.6K4.0776.828153,31538,24550,355
2023-09-28$67.94$71.0021.7%6.2%18.1%10.8%21.6%4.1%0.2%-4.2M-10.2M-703.5K3.0078.164451,33538,60052,020
2023-09-29$68.19$71.0021.6%6.2%17.5%10.5%21.6%4.2%0.6%-4.4M-15.8M-692.0K1.8979.901,4302,70038,64552,470