IGV Options History — December 2023

In December 2023, IGV traded between $77.79 and $81.78. ATM implied volatility averaged 18.9%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 5.1%. IV traded above realized volatility by 3.9% (HV 20d: 15.0%). Max pain ranged from $71.00 to $78.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.09.

Notable Days

  • 2023-12-04: Highest Volume — 55,175 contracts
  • 2023-12-13: Largest IV drop — 21.9% change
  • 2023-12-11: Highest IV Rank — 15.0%
  • 2023-12-05: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.10$77.79$81.78$79.39$81.15
Max Pain$76.90$71.00$78.00$74.00$78.00
ATM IV18.9%16.7%23.3%19.1%16.7%
Expected Move5.1%4.8%5.7%5.5%4.8%
HV 20d15.0%12.8%18.7%17.5%13.5%
HV 60d19.6%18.1%21.1%20.9%18.1%
IV Rank4.5%0.0%15.0%4.4%0.1%
IV Percentile15.6%0.0%56.3%10.3%0.4%
Term Structure1.2%-0.5%1.9%-0.5%1.9%
VWIV19.0%17.5%21.4%19.6%18.2%
Skew 25d2.1%1.2%3.1%1.2%2.0%
Skew 10d4.8%3.4%7.0%3.9%4.8%
Call IV 25d17.2%16.1%19.0%19.0%16.1%
Put IV 25d19.4%18.1%21.5%20.2%18.1%
Bid-Ask Spread %81.4660.1786.9160.1784.45
Gamma HHI0.170.090.250.090.18
Net GEX-9.4M-29.9M1.3M1.3M-5.4M
Net DEX-200.2M-246.9M-41.3M-246.9M-223.2M
Net VEX-742.2K-1.3M-578.2K-578.2K-638.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.090.3316.860.471.30
Total Volume6,51189555,1755,9505,110
Total OI147,690108,815189,770108,815139,910

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$79.39$74.0019.1%5.5%17.5%4.4%19.6%1.2%-0.5%1.3M-246.9M-578.2K0.4760.174,0451,90546,60062,215
2023-12-04$78.42$71.0021.5%5.7%18.7%10.4%20.7%3.1%0.7%655.1K-222.4M-602.6K16.8677.653,09052,08547,21063,220
2023-12-05$78.36$78.0021.8%5.7%18.3%11.2%20.2%3.1%0.7%-29.9M-41.3M-1.3M2.5677.791,0752,75048,720141,050
2023-12-06$77.79$77.0021.3%5.5%17.3%10.0%21.4%2.6%0.9%-21.3M-104.7M-957.6K3.3778.981,2504,21550,060111,530
2023-12-07$78.06$77.0021.9%5.6%17.3%11.6%19.7%2.6%0.8%-20.4M-112.6M-974.2K0.3679.961,25045550,365111,340
2023-12-08$78.75$77.0019.7%5.2%16.8%6.0%18.2%2.2%1.2%-17.9M-163.3M-858.5K1.5680.071,1401,77550,335111,575
2023-12-11$79.52$77.0023.3%5.2%15.4%15.0%19.9%2.3%1.1%-13.5M-200.4M-784.2K3.0380.981,3854,19550,950112,055
2023-12-12$79.64$77.0022.2%4.9%15.4%12.4%19.2%2.1%1.3%-13.7M-206.5M-767.4K1.0082.572,4202,41050,945115,595
2023-12-13$80.50$77.0017.4%5.0%12.8%0.2%17.6%1.9%1.1%-8.3M-245.3M-722.7K0.3383.253,4551,14051,995116,090
2023-12-14$79.40$77.0017.3%5.0%13.7%0.0%17.5%1.8%1.3%-12.5M-202.9M-797.7K0.5783.005,0302,86553,390116,625
2023-12-15$80.22$77.0017.2%4.9%13.9%0.0%17.6%1.9%1.4%-7.1M-244.0M-691.5K0.7183.181,32094052,865117,230
2023-12-18$80.99$77.0017.3%5.0%14.0%0.3%18.2%1.7%1.3%-6.0M-213.5M-620.3K0.8081.242,7652,21043,74087,030
2023-12-19$81.32$77.0017.3%5.0%13.0%0.3%18.4%1.4%1.1%-4.9M-222.3M-635.2K0.7283.463,2352,33544,95086,610
2023-12-20$80.51$77.0017.6%5.0%13.7%1.3%18.8%2.0%1.6%-7.5M-193.8M-706.5K0.6084.101,7351,03545,54087,815
2023-12-21$81.33$78.0018.3%5.2%13.9%3.8%18.8%2.1%1.5%-5.3M-218.4M-666.1K1.0784.9491598046,05087,810
2023-12-22$81.52$78.0017.7%5.1%13.9%1.8%20.1%2.1%1.6%-4.4M-225.6M-671.8K1.2684.371,9352,44546,93588,375
2023-12-26$81.78$78.0017.7%5.1%13.9%1.8%18.5%2.2%1.6%-3.7M-239.4M-644.5K0.6586.321,10571548,12090,170
2023-12-27$81.61$78.0016.9%4.9%14.0%0.0%19.6%2.3%1.7%-3.9M-236.6M-645.4K4.2285.775002,11048,45590,610
2023-12-28$81.76$78.0016.7%4.8%13.1%0.0%18.5%2.3%1.9%-3.5M-241.1M-624.8K0.3586.9166523048,54091,180
2023-12-29$81.15$78.0016.7%4.8%13.5%0.1%18.2%2.0%1.9%-5.4M-223.2M-638.3K1.3084.452,2202,89048,71091,200