IGV Options History — September 2024

In September 2024, IGV traded between $83.50 and $89.31. ATM implied volatility averaged 20.0%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.5% (HV 20d: 16.5%). Max pain ranged from $85.00 to $86.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2024-09-12: Highest Volume — 5,827 contracts
  • 2024-09-18: Largest IV spike — 23.3% change
  • 2024-09-06: Highest IV Rank — 25.4%
  • 2024-09-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$87.21$83.50$89.31$84.66$89.06
Max Pain$85.40$85.00$86.00$85.00$86.00
ATM IV20.0%16.6%22.8%22.5%19.6%
Expected Move5.7%4.4%6.9%6.9%4.4%
HV 20d16.5%15.0%19.4%19.4%15.6%
HV 60d21.0%20.7%21.5%21.0%20.9%
IV Rank14.9%2.7%25.4%24.2%13.5%
IV Percentile40.8%0.4%77.0%74.2%35.3%
Term Structure0.4%-2.5%5.3%-0.2%2.7%
VWIV20.6%16.9%27.3%23.8%18.6%
Skew 25d4.7%-1.3%9.3%9.3%2.0%
Skew 10d5.6%-3.5%14.7%2.5%2.7%
Call IV 25d18.2%13.6%24.3%17.7%18.3%
Put IV 25d22.9%17.8%30.2%27.1%20.3%
Bid-Ask Spread %67.8551.3394.0566.6890.66
Gamma HHI0.090.060.120.080.06
Net GEX-548.7K-3.3M2.9M-1.2M1.3M
Net DEX-54.6M-100.6M11.0M-18.7M-74.6M
Net VEX-402.2K-461.0K-342.9K-440.1K-352.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.177.367.360.26
Total Volume1,749.24995,8273,193636
Total OI51,704.546,73258,99446,73249,699

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-09-03$84.66$85.0022.5%6.9%19.4%24.2%23.8%9.3%-0.2%-1.2M-18.7M-440.1K7.3666.683822,81120,19526,537
2024-09-04$84.75$86.0022.5%6.9%18.0%24.2%27.3%6.9%1.7%-2.8M-11.6M-450.1K2.4463.814711,14820,43928,966
2024-09-05$84.19$85.0022.2%6.4%18.2%23.0%22.1%7.2%0.1%-3.3M-241.7K-452.7K0.2467.981,31731120,71929,703
2024-09-06$83.50$85.0022.8%6.4%16.6%25.4%23.0%5.4%-0.8%-3.0M11.0M-461.0K0.8260.9798380921,32829,794
2024-09-09$84.27$85.0021.5%6.6%16.5%20.5%24.1%5.9%2.4%-3.1M-4.3M-439.8K1.0367.3049551021,54829,930
2024-09-10$85.50$85.0022.1%6.2%16.7%22.6%21.8%4.4%0.1%-2.2M-31.6M-417.1K1.1270.539991,12321,83830,298
2024-09-11$86.44$85.0022.6%5.8%15.7%24.4%23.4%5.3%-1.7%-161.2K-50.1M-452.3K1.5868.8246874122,23430,003
2024-09-12$87.55$85.0021.3%5.6%16.1%20.0%22.1%4.2%-1.2%710.0K-71.6M-411.7K4.2759.231,1054,72222,54230,270
2024-09-13$87.41$85.0017.2%5.5%15.0%5.0%18.6%9.2%-2.2%-253.7K-69.3M-420.1K0.5853.251,43583823,46332,186
2024-09-16$88.02$85.0018.6%5.6%15.1%10.1%20.6%4.0%1.0%275.5K-72.6M-407.4K0.4354.9481735222,69031,469
2024-09-17$87.59$85.0017.3%5.0%15.1%5.3%18.8%4.3%5.3%-439.1K-70.6M-419.8K1.9257.9940778222,86931,710
2024-09-18$87.00$85.0021.3%6.1%15.1%20.0%18.7%6.6%-2.0%-2.7M-55.6M-416.7K0.1774.135108923,12732,243
2024-09-19$89.15$85.0018.4%5.2%17.4%9.1%21.6%2.4%0.8%2.9M-100.6M-354.5K2.6658.691,4933,97323,16632,229
2024-09-20$89.25$86.0016.6%4.7%16.7%2.7%19.7%3.2%1.4%-790.5K-98.1M-367.3K0.3558.8387931223,24335,751
2024-09-23$89.18$86.0018.6%5.1%16.7%10.2%17.8%2.5%-0.3%513.9K-75.7M-342.9K0.4551.3370431719,39828,132
2024-09-24$89.22$86.0018.9%5.2%16.7%11.1%16.9%3.5%-1.3%724.8K-75.3M-354.2K0.6177.7160536719,90428,514
2024-09-25$88.85$86.0018.6%5.0%16.8%10.1%17.3%-1.3%-0.7%584.1K-71.0M-364.5K0.5582.1362634320,20828,739
2024-09-26$89.31$86.0018.8%5.9%16.1%10.9%18.0%2.3%-2.5%1.2M-76.9M-354.0K0.7894.0534026520,31428,988
2024-09-27$89.22$86.0017.6%5.0%15.6%6.2%17.0%5.9%4.7%837.9K-74.4M-365.8K0.5378.0732617320,54329,161
2024-09-30$89.06$86.0019.6%4.4%15.6%13.5%18.6%2.0%2.7%1.3M-74.6M-352.3K0.2690.6650413220,78928,910