IGV Options History — May 2024

In May 2024, IGV traded between $77.30 and $84.98. ATM implied volatility averaged 19.4%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 1.1% (HV 20d: 18.3%). Max pain ranged from $77.00 to $82.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 3.93.

Notable Days

  • 2024-05-30: Highest Volume — 37,198 contracts
  • 2024-05-15: Largest IV drop — 26.2% change
  • 2024-05-14: Highest IV Rank — 56.9%
  • 2024-05-01: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$81.92$77.30$84.98$79.67$77.30
Max Pain$79.64$77.00$82.00$82.00$80.00
ATM IV19.4%16.7%23.4%22.8%21.6%
Expected Move5.4%4.8%6.5%6.5%6.2%
HV 20d18.3%13.4%25.5%20.1%25.5%
HV 60d20.6%19.1%22.3%22.3%20.7%
IV Rank23.0%0.0%56.9%51.2%41.7%
IV Percentile31.4%0.0%84.5%77.0%65.5%
Term Structure0.1%-1.4%1.6%-1.3%-0.9%
VWIV19.3%16.7%23.4%23.4%19.8%
Skew 25d2.9%2.0%4.4%3.1%4.4%
Skew 10d6.0%3.7%9.8%5.3%9.8%
Call IV 25d17.7%15.6%21.8%21.8%19.2%
Put IV 25d20.6%18.2%24.9%24.9%23.6%
Bid-Ask Spread %45.7837.8752.7645.6552.76
Gamma HHI0.150.060.500.130.50
Net GEX-5.4M-15.3M3.0M-10.8M-15.3M
Net DEX-13.1M-82.8M118.8M48.4M118.8M
Net VEX-495.6K-630.4K-396.9K-582.2K-630.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.930.0110.549.301.19
Total Volume5,205.09116337,19810,94615,548
Total OI66,252.27342,19979,14572,14174,890

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$79.67$82.0022.8%6.5%20.1%51.2%23.4%3.1%-1.3%-10.8M48.4M-582.2K9.3045.651,0639,88323,86848,273
2024-05-02$79.73$82.0022.5%6.5%19.9%49.4%23.3%2.5%-1.0%-12.5M43.8M-590.0K1.2145.8471586724,52250,425
2024-05-03$80.84$82.0020.0%5.7%20.3%28.1%21.0%2.6%0.2%-10.7M9.7M-574.3K2.8247.6024168025,09050,627
2024-05-06$81.82$77.0020.6%5.7%20.9%33.0%20.2%2.8%0.5%-8.5M-14.8M-536.0K4.2337.876222,62825,21250,872
2024-05-07$81.57$78.0019.9%5.5%20.9%27.0%19.5%2.8%0.4%-9.8M-10.6M-528.4K1.0839.0760665225,36752,428
2024-05-08$81.13$78.0019.0%5.5%20.7%19.4%18.2%2.7%0.6%-12.0M88.3K-510.8K9.2442.745925,47125,53052,763
2024-05-09$81.15$78.0018.9%5.4%20.4%18.7%18.8%2.9%0.4%-13.2M4.0M-512.2K9.6342.982542,44725,63852,873
2024-05-10$81.37$78.0017.8%5.3%19.4%9.5%19.6%2.8%0.4%-11.4M-9.4M-477.6K9.5945.652122,03425,73051,451
2024-05-13$81.45$78.0022.2%5.4%16.3%46.7%19.8%3.0%0.7%-10.5M-13.7M-470.4K1.9645.3448093925,78450,161
2024-05-14$82.03$78.0023.4%5.3%16.4%56.9%19.7%2.7%0.1%-7.4M-32.1M-447.4K1.2047.9635042125,91449,889
2024-05-15$84.07$79.0017.3%5.0%18.1%4.9%18.7%2.0%1.6%1.0M-80.7M-396.9K1.3644.621,6102,18625,94150,346
2024-05-16$83.87$80.0017.1%4.9%17.6%3.0%16.7%2.0%0.0%2.1M-72.5M-445.9K0.0147.521,4411926,48951,835
2024-05-17$84.18$80.0018.8%5.4%16.3%17.4%16.9%2.9%0.8%3.0M-82.8M-422.6K0.8648.5286474727,29851,847
2024-05-20$84.98$80.0016.9%4.8%16.0%1.5%18.3%2.2%0.5%2.2M-65.4M-410.8K3.2644.813731,21519,04823,151
2024-05-21$84.50$80.0017.0%4.9%15.2%2.3%17.0%2.4%0.9%1.8M-60.0M-401.5K0.8544.292,1171,79719,20824,157
2024-05-22$84.23$80.0017.6%5.0%15.3%7.7%17.0%2.8%0.4%1.9M-52.3M-495.7K0.0843.971511220,89525,892
2024-05-23$83.60$80.0017.5%5.0%15.0%6.7%19.4%3.3%0.5%1.5M-46.4M-479.4K2.4945.687221,79620,95025,898
2024-05-24$82.87$80.0016.7%4.8%14.8%0.0%16.8%3.0%0.5%1.1M-35.6M-473.9K1.3550.0457477320,65425,537
2024-05-28$82.16$80.0018.7%5.4%15.0%17.2%20.6%4.3%-0.2%317.4K-24.9M-452.0K8.9645.141,0819,69020,63326,224
2024-05-29$82.19$80.0019.0%5.5%13.4%20.0%18.4%3.7%-0.7%-4.4M-1.4M-527.7K5.2346.625522,88920,41835,160
2024-05-30$77.44$82.0021.7%6.2%25.5%42.8%21.2%3.5%-1.4%-7.7M89.4M-537.3K10.5452.573,22233,97620,82937,833
2024-05-31$77.30$80.0021.6%6.2%25.5%41.7%19.8%4.4%-0.9%-15.3M118.8M-630.4K1.1952.767,0998,44922,80352,087