IGV Options History — November 2024

In November 2024, IGV traded between $92.35 and $106.17. ATM implied volatility averaged 20.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded below realized volatility by 1.4% (HV 20d: 22.3%). Max pain ranged from $84.00 to $103.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2024-11-13: Highest Volume — 40,563 contracts
  • 2024-11-14: Largest IV spike — 21.9% change
  • 2024-11-21: Highest IV Rank — 31.1%
  • 2024-11-29: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.65$92.35$106.17$92.35$104.93
Max Pain$94.20$84.00$103.00$90.00$103.00
ATM IV20.9%16.9%24.4%22.1%22.3%
Expected Move6.1%4.8%7.4%7.4%7.4%
HV 20d22.3%15.5%25.2%17.5%22.9%
HV 60d18.5%16.2%19.4%16.3%19.0%
IV Rank18.4%3.6%31.1%22.7%23.6%
IV Percentile54.7%2.8%90.1%73.0%74.2%
Term Structure0.6%-2.4%5.5%1.3%-2.1%
VWIV21.8%18.6%25.2%24.0%22.9%
Skew 25d3.1%-1.5%9.5%5.4%1.5%
Skew 10d6.1%1.6%15.9%4.6%2.7%
Call IV 25d20.0%11.0%26.4%19.4%22.1%
Put IV 25d23.1%18.5%32.8%24.8%23.5%
Bid-Ask Spread %73.5462.9484.0068.6882.05
Gamma HHI0.120.070.270.080.12
Net GEX1.4M-19.2M23.6M-1.9M23.6M
Net DEX-201.7M-314.6M-37.2M-87.2M-254.9M
Net VEX-782.4K-1.3M-276.0K-530.7K-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.136.366.360.65
Total Volume9,823.1541940,5637,0058,376
Total OI105,436.5572,456148,98372,456148,983

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$92.35$90.0022.1%7.4%17.5%22.7%24.0%5.4%1.3%-1.9M-87.2M-530.7K6.3668.689526,05331,38841,068
2024-11-04$92.38$84.0023.3%6.3%16.6%27.2%23.1%2.7%1.1%-103.3K-82.4M-565.4K0.9273.2521820131,66542,324
2024-11-05$93.82$84.0021.4%6.1%15.5%20.3%20.3%1.5%2.1%2.7M-120.1M-512.3K0.2462.941,31231531,76342,497
2024-11-06$97.56$84.0016.9%5.5%20.2%3.6%19.4%1.6%5.5%8.9M-210.8M-402.2K0.1767.983,34257332,02842,998
2024-11-07$100.30$87.0017.9%5.3%22.0%7.5%19.1%1.7%1.5%6.8M-249.5M-337.6K0.1974.692,29244231,88843,365
2024-11-08$101.25$87.0018.4%4.9%22.0%9.3%18.6%0.5%0.1%6.0M-262.6M-304.5K0.1382.662,95337631,94343,578
2024-11-11$103.56$87.0018.7%4.8%23.0%10.3%20.3%1.7%-0.5%4.3M-280.6M-276.0K0.5884.001,43083132,72241,413
2024-11-12$104.16$87.0019.5%5.4%22.2%13.2%20.6%1.5%-0.1%3.7M-287.1M-285.9K0.5383.472,1621,14433,49542,122
2024-11-13$104.67$92.0017.9%5.5%21.8%7.3%21.7%9.5%3.4%3.7M-290.5M-338.6K2.6777.0611,05429,50935,13143,167
2024-11-14$103.13$97.0021.8%6.2%23.0%21.6%23.1%3.4%-0.9%-15.6M-170.7M-773.5K4.1473.473,69715,29643,51870,762
2024-11-15$100.92$100.0022.9%6.3%25.0%25.6%21.9%3.3%-0.3%-19.2M-42.8M-882.4K2.4370.197,09117,25045,80783,126
2024-11-18$101.23$100.0021.9%6.2%24.8%22.2%21.6%3.0%-0.0%-15.2M-37.2M-922.8K0.8671.873,6073,11149,23565,402
2024-11-19$102.56$100.0018.9%5.6%25.0%11.0%21.0%2.5%0.8%-15.0M-104.7M-939.6K2.2472.751,1862,66052,07766,838
2024-11-20$103.39$100.0021.2%6.1%23.8%19.5%25.2%3.7%5.4%-9.7M-165.8M-1.1M5.5966.941,2416,93762,99766,209
2024-11-21$104.66$100.0024.4%7.3%23.8%31.1%23.6%4.1%-2.2%-4.7M-236.7M-1.2M0.7963.837,2965,77662,97970,281
2024-11-22$105.94$100.0022.6%6.7%23.9%24.5%21.3%3.1%-0.7%8.7M-305.1M-1.2M0.1969.486,4161,19765,97270,046
2024-11-25$105.72$100.0020.2%5.3%24.0%16.0%22.6%4.3%0.7%14.7M-305.0M-1.2M0.8475.715,1504,31069,00059,643
2024-11-26$106.17$101.0022.8%6.6%23.8%25.2%22.6%8.5%-1.3%16.1M-314.6M-1.2M0.5975.8114,4328,53971,74563,769
2024-11-27$104.27$101.0023.1%6.8%25.2%26.4%23.2%-1.5%-2.4%10.7M-224.8M-1.3M0.7873.914,3393,39776,85668,931
2024-11-29$104.93$103.0022.3%7.4%22.9%23.6%22.9%1.5%-2.1%23.6M-254.9M-1.3M0.6582.055,0693,30779,62169,362