IGV Options History — October 2023

In October 2023, IGV traded between $65.68 and $70.90. ATM implied volatility averaged 23.9%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 2.8% (HV 20d: 21.1%). Max pain ranged from $65.00 to $71.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 3.09.

Notable Days

  • 2023-10-25: Highest Volume — 22,435 contracts
  • 2023-10-25: Largest IV spike — 13.4% change
  • 2023-10-26: Highest IV Rank — 27.3%
  • 2023-10-26: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.66$65.68$70.90$68.40$67.49
Max Pain$68.05$65.00$71.00$71.00$67.00
ATM IV23.9%20.8%28.3%22.6%25.2%
Expected Move6.9%6.0%8.1%6.5%7.2%
HV 20d21.1%17.5%23.7%17.5%22.4%
HV 60d20.7%20.2%21.4%20.2%20.7%
IV Rank16.2%8.6%27.3%12.9%19.5%
IV Percentile44.7%24.6%66.7%36.9%56.0%
Term Structure0.1%-1.3%1.1%0.1%-0.7%
VWIV24.2%20.3%30.1%21.3%26.2%
Skew 25d4.7%3.9%6.0%3.9%4.2%
Skew 10d9.1%7.6%11.4%7.6%8.8%
Call IV 25d21.8%19.2%26.4%20.5%22.8%
Put IV 25d26.5%23.2%31.4%24.4%27.0%
Bid-Ask Spread %70.1439.3879.6179.6142.00
Gamma HHI0.160.100.440.150.18
Net GEX-6.1M-18.0M-1.9M-4.4M-9.6M
Net DEX-32.3M-136.4M129.0M-20.4M6.6M
Net VEX-859.4K-1.1M-668.4K-701.5K-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.090.2515.681.344.99
Total Volume7,476.1361,06522,4352,6204,940
Total OI124,980.68292,695157,77592,695156,450

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$68.40$71.0022.6%6.5%17.5%12.9%21.3%3.9%0.1%-4.4M-20.4M-701.5K1.3479.611,1201,50039,30553,390
2023-10-03$66.77$71.0025.0%7.2%18.7%18.9%25.8%4.5%-0.3%-4.5M19.4M-695.6K1.1075.402,6002,86039,31053,560
2023-10-04$68.07$71.0023.4%6.7%20.5%15.0%26.4%4.0%-0.3%-4.8M-12.3M-705.7K8.1978.358557,00539,96554,895
2023-10-05$67.99$69.0023.5%6.7%20.5%15.2%23.1%4.9%0.2%-6.4M-3.2M-720.9K0.7673.1960546040,40060,925
2023-10-06$69.90$69.0021.1%6.3%23.3%9.3%22.4%4.1%0.5%-4.6M-60.2M-700.8K0.7671.711,8601,40540,55060,990
2023-10-09$70.16$69.0022.6%6.5%23.0%13.1%23.6%4.2%0.2%-4.6M-67.6M-692.4K0.6972.421,21084041,15061,620
2023-10-10$70.63$69.0020.8%6.2%20.8%8.6%20.5%4.1%0.8%-3.8M-83.2M-668.4K0.2574.762,98073541,57061,965
2023-10-11$70.88$65.0020.9%6.0%20.9%8.8%20.3%4.0%0.9%-3.0M-127.9M-715.8K0.8175.7383067049,22067,605
2023-10-12$70.65$65.0020.9%6.0%20.7%8.7%21.1%4.1%1.1%-3.3M-121.8M-709.2K0.8476.227,4056,23549,62567,965
2023-10-13$69.76$65.0023.0%6.6%19.8%14.0%22.9%5.5%0.7%-5.1M-92.8M-914.8K2.0874.361,0252,13554,76573,350
2023-10-16$70.74$65.0021.3%6.1%20.4%9.8%23.0%4.7%1.1%-3.8M-130.5M-844.3K1.5076.676901,03554,98073,935
2023-10-17$70.90$65.0022.0%6.3%20.4%11.5%22.2%4.5%0.7%-4.0M-136.4M-846.0K1.9777.536,01511,87555,26074,005
2023-10-18$69.87$68.0023.5%6.8%21.0%15.3%23.0%4.8%0.3%-6.3M-80.7M-970.6K1.4477.811,5652,25060,33084,260
2023-10-19$69.41$68.0025.4%7.3%19.3%19.9%23.7%5.3%0.2%-4.9M-60.0M-988.2K1.4174.882,3703,33560,59584,720
2023-10-20$67.76$69.0025.4%7.3%21.2%20.0%24.6%6.0%-0.1%-18.0M27.2M-974.1K1.9972.754,1508,25561,39088,075
2023-10-23$67.90$69.0025.2%7.2%21.2%19.3%25.9%4.8%0.0%-1.9M-30.8M-976.8K2.6469.761,7504,61556,90068,570
2023-10-24$68.41$69.0024.3%7.0%20.5%17.1%22.4%5.1%-0.1%-3.5M-37.5M-994.7K3.0173.451,2403,73057,32574,580
2023-10-25$66.52$69.0027.5%7.9%22.9%25.2%28.6%5.5%-1.3%-3.7M27.5M-966.0K15.6874.621,34521,09057,83072,780
2023-10-26$65.80$68.0028.3%8.1%22.8%27.3%28.1%5.0%-1.1%-13.3M129.0M-1.1M8.4271.471,85015,58058,14099,635
2023-10-27$65.68$68.0027.4%7.9%22.8%24.9%30.1%5.3%-0.5%-9.9M96.9M-1.0M7.0539.381,0207,19558,86589,275
2023-10-30$66.83$68.0025.9%7.4%23.7%21.3%26.6%4.5%-0.8%-10.4M49.2M-988.8K1.1440.986,6457,60059,01590,535
2023-10-31$67.49$67.0025.2%7.2%22.4%19.5%26.2%4.2%-0.7%-9.6M6.6M-1.0M4.9942.008254,11562,86093,590