IGV Options History — December 2024

In December 2024, IGV traded between $99.95 and $110.11. ATM implied volatility averaged 20.6%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 5.5% (HV 20d: 26.1%). Max pain ranged from $98.00 to $104.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2024-12-06: Highest Volume — 34,212 contracts
  • 2024-12-30: Largest IV spike — 38.3% change
  • 2024-12-18: Highest IV Rank — 34.7%
  • 2024-12-18: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$105.07$99.95$110.11$104.86$99.95
Max Pain$98.76$98.00$104.00$103.00$98.00
ATM IV20.6%15.2%25.4%21.1%21.1%
Expected Move5.9%4.8%7.3%5.6%6.6%
HV 20d26.1%21.8%29.7%23.0%29.7%
HV 60d22.1%18.9%24.3%18.9%24.2%
IV Rank17.8%0.0%34.7%19.1%21.0%
IV Percentile47.3%0.0%93.3%52.4%52.0%
Term Structure0.9%-4.8%6.0%1.1%1.8%
VWIV21.3%17.9%29.4%19.5%23.3%
Skew 25d2.7%-4.1%6.3%5.7%4.4%
Skew 10d4.0%-8.8%13.9%4.9%5.2%
Call IV 25d20.4%16.9%26.6%24.5%20.6%
Put IV 25d23.1%17.5%30.2%30.2%25.0%
Bid-Ask Spread %83.3879.7595.7085.9085.72
Gamma HHI0.100.080.150.100.14
Net GEX12.1M-11.9M31.1M11.5M-6.2M
Net DEX-274.7M-540.7M-16.2M-258.0M-87.2M
Net VEX-1.2M-1.5M-1.1M-1.2M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.115.070.470.99
Total Volume10,124.61994634,2122,9105,980
Total OI174,707.429147,811194,871147,811167,797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-12-02$104.86$103.0021.1%5.6%23.0%19.1%19.5%5.7%1.1%11.5M-258.0M-1.2M0.4785.901,98292879,25468,557
2024-12-03$105.74$103.0021.1%5.1%22.9%19.2%20.5%3.5%1.8%14.4M-308.5M-1.3M0.5679.752,4511,36879,64068,382
2024-12-04$109.69$104.0021.4%5.8%25.1%20.2%21.9%-4.1%0.8%26.3M-501.0M-1.2M0.7585.176,8855,16380,60969,316
2024-12-05$108.54$98.0019.4%5.9%23.0%13.0%20.5%-3.0%1.8%24.1M-457.0M-1.3M0.4884.6710,9925,29382,24372,286
2024-12-06$110.11$98.0020.4%5.7%21.8%16.6%21.2%1.7%-4.2%31.0M-540.7M-1.3M0.2581.6227,3296,88389,38776,837
2024-12-09$107.56$98.0024.1%6.1%23.8%29.9%20.5%-0.3%-3.2%29.9M-428.5M-1.5M1.0679.806,8907,333106,52975,836
2024-12-10$105.87$98.0020.5%5.9%23.6%16.9%20.0%0.9%0.6%10.0M-270.2M-1.4M0.1680.7714,1012,248111,91182,960
2024-12-11$108.09$98.0020.1%5.7%24.5%15.4%19.9%1.1%-0.3%28.0M-446.3M-1.5M1.4180.253,3694,759110,61982,278
2024-12-12$106.94$98.0017.2%5.6%24.9%5.0%19.9%1.1%1.0%16.2M-368.4M-1.4M0.5980.541,7851,049112,33680,634
2024-12-13$105.72$98.0018.2%5.5%24.6%8.5%18.9%0.1%-0.1%15.7M-263.8M-1.3M1.0280.303,2553,310112,68981,014
2024-12-16$107.05$98.0020.4%5.9%23.4%16.7%20.6%2.4%1.4%31.1M-392.3M-1.3M0.3581.472,029709112,49277,318
2024-12-17$106.00$98.0020.8%6.0%23.8%18.0%20.6%2.4%0.8%18.8M-313.0M-1.3M0.1581.435,200777112,86077,803
2024-12-18$101.14$98.0025.4%7.3%29.1%34.7%24.4%4.4%2.8%-11.1M-16.2M-1.1M5.0783.983,12015,823112,82177,737
2024-12-19$101.84$98.0024.9%7.0%29.1%33.1%29.4%6.3%4.5%-11.9M-88.0M-1.1M4.1482.332,59610,744114,02977,620
2024-12-20$103.44$98.0024.0%6.6%29.3%29.7%23.3%5.1%0.6%3.8M-158.8M-1.1M0.3083.8411,2323,331115,14277,926
2024-12-23$102.81$98.0019.7%6.1%29.0%14.0%20.4%4.6%6.0%3.6M-159.4M-1.1M0.6381.371,237784102,69259,260
2024-12-24$103.88$98.0015.2%5.4%29.3%0.0%17.9%5.1%3.5%9.5M-214.3M-1.1M0.5185.95626320103,57358,686
2024-12-26$104.13$98.0018.7%5.5%29.3%12.5%19.9%4.8%-1.0%9.6M-225.3M-1.1M0.1186.305,914648103,60158,877
2024-12-27$101.89$98.0016.5%5.8%29.6%4.5%20.1%5.5%-4.8%310.5K-132.7M-1.1M0.1184.0915,7301,676108,63059,017
2024-12-30$101.23$98.0022.8%4.8%29.5%27.0%24.1%5.4%4.5%-351.5K-138.8M-1.2M0.1695.705,822946110,43457,224
2024-12-31$99.95$98.0021.1%6.6%29.7%21.0%23.3%4.4%1.8%-6.2M-87.2M-1.1M0.9985.723,0062,974110,70157,096