IGV Options History — November 2023

In November 2023, IGV traded between $68.10 and $78.12. ATM implied volatility averaged 19.2%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 1.9% (HV 20d: 21.1%). Max pain ranged from $67.00 to $74.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2023-11-30: Highest Volume — 13,040 contracts
  • 2023-11-10: Largest IV drop — 7.8% change
  • 2023-11-01: Highest IV Rank — 13.1%
  • 2023-11-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.69$68.10$78.12$68.10$78.12
Max Pain$71.24$67.00$74.00$67.00$74.00
ATM IV19.2%17.3%22.7%22.7%18.9%
Expected Move5.6%5.0%6.5%6.5%5.4%
HV 20d21.1%17.2%24.8%21.5%17.5%
HV 60d21.0%20.5%22.0%20.5%20.7%
IV Rank4.6%0.0%13.1%13.1%4.1%
IV Percentile11.1%0.0%40.1%40.1%9.1%
Term Structure0.2%-0.5%0.6%-0.2%-0.4%
VWIV20.2%18.6%23.6%23.6%19.4%
Skew 25d2.9%2.0%4.1%4.0%2.3%
Skew 10d6.0%4.0%8.4%7.3%4.7%
Call IV 25d18.2%16.6%20.9%20.9%18.2%
Put IV 25d21.1%18.7%24.9%24.9%20.4%
Bid-Ask Spread %65.0344.5976.3544.5958.68
Gamma HHI0.120.090.180.170.09
Net GEX2.6M-8.7M9.4M-8.7M3.3M
Net DEX-221.6M-362.8M-34.7M-34.7M-232.7M
Net VEX-681.1K-939.6K-529.5K-939.6K-568.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.476.761.044.36
Total Volume5,309.76284013,0403,35513,040
Total OI137,555.95287,415174,245155,95599,580

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$68.10$67.0022.7%6.5%21.5%13.1%23.6%4.0%-0.2%-8.7M-34.7M-939.6K1.0444.591,6451,71063,32592,630
2023-11-02$69.17$68.0020.9%6.1%22.2%8.7%21.9%4.0%0.6%-6.0M-93.4M-902.5K2.8563.779102,59564,23093,100
2023-11-03$70.02$68.0019.3%5.9%20.3%4.8%21.1%3.8%0.6%-4.0M-137.4M-854.1K2.2662.161,4953,38064,19594,055
2023-11-06$69.58$68.0019.4%5.8%20.4%4.9%19.8%4.1%0.3%-4.8M-125.7M-786.9K1.4864.648001,18563,93593,660
2023-11-07$71.37$69.0019.8%5.9%22.2%6.1%21.2%4.0%0.1%1.6M-205.7M-756.8K1.7564.783,8106,66064,26093,545
2023-11-08$71.65$70.0019.8%5.7%22.3%5.9%21.3%4.0%0.4%1.8M-220.1M-765.7K1.2966.062,1902,82565,79098,555
2023-11-09$71.09$70.0021.1%6.1%22.4%9.3%21.2%4.1%0.3%-855.0K-194.4M-800.9K1.1864.151,7052,02066,98598,055
2023-11-10$72.81$70.0019.5%5.6%23.4%5.2%20.6%3.3%0.5%6.8M-284.9M-698.8K3.6565.132,0607,52566,94598,770
2023-11-13$72.93$70.0020.0%5.7%22.9%6.4%21.6%3.2%0.3%7.3M-291.2M-677.0K6.7668.091,0457,06567,50098,920
2023-11-14$75.02$71.0018.9%5.4%24.8%3.9%20.2%2.7%0.4%8.7M-362.8M-603.3K0.4867.566,6903,21067,655100,640
2023-11-15$74.47$71.0019.2%5.5%24.3%4.4%19.5%2.3%0.4%8.9M-355.9M-617.3K0.8368.852,3601,95068,860101,275
2023-11-16$74.59$72.0018.9%5.4%24.0%3.7%20.3%2.8%0.0%9.4M-356.8M-627.5K0.7170.242,0401,44069,970102,565
2023-11-17$74.59$72.0018.5%5.3%21.7%2.7%18.6%2.3%0.4%4.7M-359.8M-640.0K0.4772.261,86087570,925103,320
2023-11-20$75.95$72.0018.2%5.2%22.2%1.9%19.1%2.0%0.3%3.7M-184.8M-574.6K0.7072.104,1652,91540,66046,755
2023-11-21$75.74$74.0018.1%5.2%22.4%1.8%18.9%2.1%0.4%3.5M-184.0M-601.2K0.7273.4479557042,34048,850
2023-11-22$75.96$74.0017.7%5.1%18.7%0.8%18.6%2.4%0.4%3.7M-187.9M-606.2K0.7974.102,7702,19542,59049,230
2023-11-24$75.94$74.0017.3%5.0%17.8%0.0%19.3%2.1%0.6%3.7M-195.6M-590.6K2.4876.357251,79543,90050,690
2023-11-27$76.25$74.0018.4%5.3%17.5%2.9%18.7%2.2%-0.3%3.8M-201.8M-585.4K0.4955.942,0951,02544,47051,460
2023-11-28$76.46$74.0018.5%5.3%17.2%3.1%20.8%2.1%-0.3%3.9M-206.7M-577.4K1.4756.7634050045,18551,935
2023-11-29$77.75$74.0018.4%5.3%17.5%2.8%19.0%2.1%-0.5%4.3M-236.3M-529.5K1.0656.033,6553,87045,26052,105
2023-11-30$78.12$74.0018.9%5.4%17.5%4.1%19.4%2.3%-0.4%3.3M-232.7M-568.2K4.3658.682,43510,60546,12053,460