IGV Options History — January 2024

In January 2024, IGV traded between $77.34 and $86.15. ATM implied volatility averaged 19.1%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.3% (HV 20d: 18.8%). Max pain ranged from $71.00 to $82.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.81.

Notable Days

  • 2024-01-10: Highest Volume — 65,595 contracts
  • 2024-01-17: Largest IV spike — 7.5% change
  • 2024-01-31: Highest IV Rank — 14.5%
  • 2024-01-31: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$82.01$77.34$86.15$78.58$84.17
Max Pain$77.52$71.00$82.00$78.00$82.00
ATM IV19.1%17.0%20.9%18.7%20.9%
Expected Move5.5%5.1%6.0%5.4%6.0%
HV 20d18.8%17.1%20.0%17.2%17.5%
HV 60d18.5%16.9%19.6%19.5%17.8%
IV Rank8.3%1.0%14.5%6.9%14.5%
IV Percentile22.2%1.2%45.6%12.3%45.6%
Term Structure0.3%-1.3%2.1%0.9%-0.4%
VWIV20.3%18.5%22.5%19.3%20.9%
Skew 25d2.9%1.7%4.1%2.6%2.2%
Skew 10d6.3%4.0%9.0%5.7%4.0%
Call IV 25d18.3%16.5%20.2%17.9%20.0%
Put IV 25d21.2%19.6%22.7%20.6%22.2%
Bid-Ask Spread %72.6460.8487.6986.6466.43
Gamma HHI0.190.110.310.250.11
Net GEX-6.6M-26.1M4.2M-17.0M-5.1M
Net DEX-173.7M-322.9M-47.7M-122.8M-118.5M
Net VEX-703.8K-978.6K-599.2K-738.0K-708.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.810.1242.882.063.09
Total Volume10,453.811,81065,59513,7209,645
Total OI153,933.571109,470269,090142,050129,970

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$78.58$78.0018.7%5.4%17.2%6.9%19.3%2.6%0.9%-17.0M-122.8M-738.0K2.0686.644,4809,24049,26092,790
2024-01-03$77.58$78.0018.8%5.4%17.2%7.3%19.0%2.8%0.8%-24.3M-57.2M-784.5K1.0087.692,1302,12049,58098,635
2024-01-04$77.58$71.0018.3%5.6%17.2%5.6%19.6%3.9%1.4%-24.1M-62.6M-741.3K1.1274.081,0451,17049,56096,735
2024-01-05$77.34$71.0017.8%5.6%17.1%4.0%21.0%3.4%1.3%-26.1M-47.7M-734.9K0.4175.383,3551,37550,08096,660
2024-01-08$79.37$71.0017.3%5.3%19.4%2.0%19.0%3.4%1.3%-13.8M-172.1M-624.6K1.3676.772,6453,58552,08097,985
2024-01-09$79.70$72.0017.0%5.2%19.2%1.0%19.5%3.0%1.5%-12.0M-188.7M-633.9K0.1277.715,55068552,975100,790
2024-01-10$80.78$72.0017.8%5.1%19.5%3.9%20.0%2.7%1.9%-1.4M-248.5M-599.2K42.8877.501,49564,10056,630101,330
2024-01-11$81.46$79.0017.9%5.1%19.7%4.4%21.0%3.1%2.1%-21.1M-182.3M-978.6K4.7878.189004,30056,955212,135
2024-01-12$81.74$79.0017.9%5.1%19.4%4.0%20.0%3.4%1.7%-894.3K-256.7M-708.3K4.1878.471,2755,33556,975126,060
2024-01-16$81.55$79.0019.1%5.5%18.7%8.2%18.5%3.6%0.4%-4.8M-230.9M-712.5K0.2578.3010,9502,73556,805127,700
2024-01-17$81.22$79.0020.5%5.9%18.4%13.1%21.5%4.1%0.6%-4.1M-217.5M-765.9K2.9077.131,7505,07063,470129,755
2024-01-18$82.18$79.0020.1%5.8%18.6%11.9%20.5%4.1%-0.2%2.6M-264.6M-723.3K0.9976.034,4904,44562,900132,150
2024-01-19$83.58$79.0019.6%5.6%19.4%10.0%19.9%3.2%-0.5%1.8M-322.9M-701.2K0.2976.2510,7603,10063,710134,825
2024-01-22$84.59$79.0019.4%5.6%19.3%9.3%21.4%2.8%-0.3%1.9M-154.9M-646.9K1.0661.643,3803,59036,66072,810
2024-01-23$84.53$79.0019.2%5.5%19.1%8.6%20.0%2.6%-0.7%880.8K-152.0M-668.6K1.6363.251,0101,64537,53575,790
2024-01-24$84.80$79.0019.5%5.6%19.1%9.8%20.1%2.4%-0.9%2.0M-165.7M-621.4K1.3860.843,9905,51037,72077,030
2024-01-25$84.62$80.0020.2%5.8%19.2%12.1%20.8%2.3%-1.2%214.7K-152.1M-690.7K1.3861.777601,05040,01081,300
2024-01-26$84.57$80.0019.8%5.7%19.1%10.9%20.8%2.0%-0.5%-421.4K-143.5M-715.5K4.2463.231,6607,03540,01081,875
2024-01-29$86.15$80.0020.7%5.9%20.0%13.8%22.5%1.9%-1.3%4.2M-200.9M-612.9K4.5763.581,3456,14040,71083,395
2024-01-30$86.01$82.0020.4%5.8%19.7%12.7%20.4%1.7%-0.7%2.2M-185.1M-668.2K0.3464.6910,9453,74041,24588,015
2024-01-31$84.17$82.0020.9%6.0%17.5%14.5%20.9%2.2%-0.4%-5.1M-118.5M-708.5K3.0966.432,3607,28540,38089,590