IGV Options History — July 2024

In July 2024, IGV traded between $83.18 and $88.85. ATM implied volatility averaged 21.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 6.0% (HV 20d: 15.6%). Max pain ranged from $80.00 to $86.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 2.02.

Notable Days

  • 2024-07-10: Highest Volume — 14,623 contracts
  • 2024-07-17: Largest IV spike — 15.2% change
  • 2024-07-30: Highest IV Rank — 90.7%
  • 2024-07-30: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$86.18$83.18$88.85$87.23$84.90
Max Pain$84.95$80.00$86.00$80.00$86.00
ATM IV21.5%16.8%27.2%17.8%25.8%
Expected Move6.2%4.8%7.8%5.1%7.4%
HV 20d15.6%12.1%20.1%13.0%20.1%
HV 60d20.1%19.4%20.9%20.7%20.5%
IV Rank41.8%0.9%90.7%10.1%78.4%
IV Percentile56.6%1.6%98.4%11.1%95.2%
Term Structure-0.7%-3.1%1.6%1.4%-2.8%
VWIV22.1%17.2%28.2%17.9%27.5%
Skew 25d3.3%2.0%4.7%2.2%4.3%
Skew 10d6.3%2.5%8.9%2.5%8.2%
Call IV 25d20.4%16.5%25.9%17.1%23.9%
Put IV 25d23.7%18.8%29.7%19.3%28.3%
Bid-Ask Spread %62.3038.5772.0538.5772.05
Gamma HHI0.110.090.140.100.12
Net GEX-4.5M-12.9M3.0M1.9M-11.5M
Net DEX-27.6M-115.3M76.0M-91.7M30.0M
Net VEX-644.5K-742.8K-542.4K-542.4K-651.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.020.1110.731.0610.73
Total Volume3,524.59184614,6233,5134,001
Total OI83,03367,84593,09767,84588,818

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$87.23$80.0017.8%5.1%13.0%10.1%17.9%2.2%1.4%1.9M-91.7M-542.4K1.0638.571,7081,80526,39341,452
2024-07-02$87.78$80.0016.9%4.8%13.0%1.6%17.2%2.6%1.5%1.8M-97.5M-556.7K0.4038.611,41557026,59143,052
2024-07-03$87.94$80.0017.3%5.0%13.1%5.7%17.2%2.0%1.6%1.9M-100.5M-555.0K0.1147.099209927,24143,640
2024-07-05$88.85$84.0016.8%5.4%12.1%0.9%20.4%2.9%0.6%3.0M-115.3M-563.5K1.1261.941,8652,09427,96943,681
2024-07-08$88.10$85.0018.3%5.5%13.1%13.8%18.8%2.9%1.4%2.0M-99.2M-571.0K0.1864.103,09054828,13145,404
2024-07-09$86.75$85.0018.2%5.5%14.9%13.0%19.2%2.5%0.3%1.7M-77.1M-599.0K1.3065.541,3131,70630,51545,875
2024-07-10$86.48$85.0020.4%5.8%15.1%31.7%20.7%2.5%-0.0%1.1M-72.6M-604.9K7.8765.291,64912,97430,76345,516
2024-07-11$86.50$86.0020.7%5.9%15.1%34.3%21.1%2.5%-0.5%-5.0M-28.1M-742.8K0.3262.132,52679730,97258,000
2024-07-12$87.40$86.0019.9%5.7%13.6%27.4%20.0%2.2%0.2%-227.3K-67.8M-671.5K0.3162.931,08133132,72558,439
2024-07-15$87.81$86.0020.4%5.8%12.9%32.0%20.3%2.5%-0.1%719.6K-79.2M-626.7K0.1363.192,41932432,28658,621
2024-07-16$88.25$86.0019.4%5.5%12.5%22.9%19.1%3.5%-0.2%2.0M-97.1M-624.1K0.1667.652,97348833,01558,856
2024-07-17$86.48$86.0022.3%6.4%14.5%48.2%21.2%3.9%-1.2%-5.0M-32.1M-674.3K0.5165.392,1191,07032,79259,839
2024-07-18$85.09$86.0022.1%6.3%15.8%46.1%23.5%4.5%-1.0%-9.1M14.9M-708.5K3.6764.761,3394,91932,66259,756
2024-07-19$84.75$86.0023.3%6.7%15.9%57.1%23.5%4.0%-0.3%-8.7M20.3M-716.8K1.2065.5276191632,58360,514
2024-07-22$85.72$86.0021.9%6.3%16.3%45.0%21.5%3.2%-1.0%-9.3M8.7M-669.3K0.7663.4391469425,16054,794
2024-07-23$85.78$86.0022.2%6.4%16.2%47.4%22.1%2.9%-0.9%-9.1M4.5M-651.0K1.6169.3740164725,79754,954
2024-07-24$83.18$86.0025.2%7.2%19.6%73.3%26.4%4.7%-2.8%-11.3M76.0M-670.6K7.3564.681,0607,78926,07555,497
2024-07-25$84.12$86.0026.7%7.7%20.1%86.0%26.6%4.7%-3.1%-11.2M53.9M-711.5K1.8565.801,4092,60226,74658,518
2024-07-26$84.88$86.0025.4%7.3%18.6%75.0%25.5%4.1%-2.1%-10.6M33.1M-693.0K0.6567.811,47495227,38058,964
2024-07-29$84.56$86.0025.8%7.4%18.5%78.6%27.5%3.5%-2.6%-11.4M38.2M-686.6K1.8467.8232860528,50559,718
2024-07-30$83.38$86.0027.2%7.8%18.9%90.7%28.2%3.8%-2.9%-12.9M70.7M-689.3K1.4266.9435049628,65959,858
2024-07-31$84.90$86.0025.8%7.4%20.1%78.4%27.5%4.3%-2.8%-11.5M30.0M-651.1K10.7372.053413,66028,82059,998