IGV Options History — August 2024

In August 2024, IGV traded between $77.75 and $86.94. ATM implied volatility averaged 24.3%, placing in the 33.4% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 2.7% (HV 20d: 27.0%). Max pain ranged from $84.00 to $86.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 2.83.

Notable Days

  • 2024-08-02: Highest Volume — 23,734 contracts
  • 2024-08-05: Largest IV spike — 42.0% change
  • 2024-08-01: Highest IV Rank — 100.0%
  • 2024-08-05: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.90$77.75$86.94$82.63$86.44
Max Pain$84.55$84.00$86.00$86.00$85.00
ATM IV24.3%15.9%43.3%29.7%15.9%
Expected Move6.6%5.3%9.7%8.5%5.3%
HV 20d27.0%21.0%29.9%21.9%21.0%
HV 60d23.0%20.6%24.2%21.2%20.6%
IV Rank33.4%0.0%100.0%100.0%0.0%
IV Percentile67.2%0.0%100.0%100.0%0.0%
Term Structure0.1%-4.3%4.9%-4.3%-2.4%
VWIV22.7%18.3%31.2%30.1%18.3%
Skew 25d5.4%-0.5%13.3%4.0%4.6%
Skew 10d9.6%-2.1%20.6%8.3%5.6%
Call IV 25d21.6%15.0%30.2%27.8%15.0%
Put IV 25d27.0%18.9%42.2%31.8%19.6%
Bid-Ask Spread %64.0351.4779.0569.2362.21
Gamma HHI0.160.060.250.110.16
Net GEX-8.9M-16.4M1.1M-13.3M-4.8M
Net DEX24.4M-52.9M191.8M94.9M-40.8M
Net VEX-506.6K-663.6K-420.5K-663.6K-420.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.830.3110.532.532.17
Total Volume2,823.54542223,7345,337618
Total OI70,988.541,77891,74289,44550,584

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$82.63$86.0029.7%8.5%21.9%100.0%30.1%4.0%-4.3%-13.3M94.9M-663.6K2.5369.231,5123,82529,04860,397
2024-08-02$80.05$86.0030.5%8.7%23.6%100.0%30.2%6.7%-2.5%-13.6M169.0M-649.7K10.5371.402,05921,67529,78460,905
2024-08-05$77.75$84.0043.3%9.7%25.0%100.0%31.2%12.1%4.9%-11.3M191.8M-658.7K4.6558.031,1755,46730,10361,639
2024-08-06$79.61$84.0031.1%7.9%26.9%54.3%28.1%7.2%2.1%-14.0M148.2M-611.5K5.9871.024322,58430,67959,675
2024-08-07$79.44$84.0034.4%8.9%26.9%66.7%28.4%7.7%-0.3%-13.7M148.5M-579.7K1.3865.6572099630,73158,429
2024-08-08$81.45$84.0026.9%6.1%28.8%38.3%24.4%6.7%-0.1%-14.4M88.5M-601.4K1.6579.0548580031,21558,584
2024-08-09$82.38$84.0024.0%6.9%28.9%27.5%23.4%5.6%2.1%-15.4M58.5M-564.2K0.9165.5963257431,51258,862
2024-08-12$81.69$84.0026.9%7.3%28.8%38.3%22.0%7.7%-0.2%-16.4M81.1M-545.3K2.0462.1631764731,65459,317
2024-08-13$83.38$84.0023.9%6.1%29.9%27.3%20.6%7.5%-2.0%-15.8M25.5M-496.6K0.7671.9060946531,67059,257
2024-08-14$83.78$84.0022.4%5.9%29.3%21.4%24.2%5.6%-1.6%-15.2M9.1M-485.2K2.1775.4317838731,77659,453
2024-08-15$85.32$84.0020.2%5.5%29.6%13.2%20.4%13.3%0.4%-11.4M-47.2M-444.8K0.8271.2559848931,85359,451
2024-08-16$85.44$84.0021.1%6.3%29.5%16.5%20.1%-0.5%4.2%-3.4M-48.0M-432.8K1.2574.6745156631,89859,742
2024-08-19$86.16$84.0019.4%5.3%29.4%10.1%18.4%3.4%3.8%1.1M-52.9M-421.8K0.4562.7336816619,02522,753
2024-08-20$86.75$84.0020.0%5.4%29.5%12.6%19.5%3.4%0.3%-387.7K-52.8M-446.7K5.7652.936703,85919,27524,799
2024-08-21$86.94$85.0019.6%5.6%27.1%10.8%19.2%3.2%-0.2%-3.0M-44.9M-457.8K3.1554.6124677619,33328,325
2024-08-22$85.91$85.0020.7%5.9%27.3%15.2%21.1%4.0%0.2%-3.8M-29.6M-451.8K0.6551.4726717419,46228,243
2024-08-23$86.22$85.0019.7%5.5%27.1%11.4%19.6%3.4%1.6%-4.6M-28.8M-471.2K2.2958.1636182819,63028,336
2024-08-26$86.09$85.0021.0%5.8%27.1%16.4%19.1%4.1%-1.0%-4.4M-35.4M-437.6K0.3156.1934010419,60928,006
2024-08-27$86.38$85.0021.3%5.6%26.5%17.4%19.0%3.2%-0.1%-6.0M-38.7M-440.2K0.3759.2630711519,80228,135
2024-08-28$85.38$85.0021.2%6.0%26.2%16.8%22.0%2.2%-1.6%-5.1M-15.8M-440.4K10.3855.292352,44020,00628,210
2024-08-29$86.50$85.0021.9%5.7%24.5%19.7%20.3%3.9%-1.7%-7.3M-43.9M-422.8K2.0260.468601,74120,18730,393
2024-08-30$86.44$85.0015.9%5.3%21.0%0.0%18.3%4.6%-2.4%-4.8M-40.8M-420.5K2.1762.2119542320,42830,156