IGRO Options History — November 2021

In November 2021, IGRO traded between $64.90 and $68.26. ATM implied volatility averaged 20.5%. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 12.6% (HV 20d: 7.9%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2021-11-24: Largest IV spike — 54.7% change
  • 2021-11-24: Largest Expected Move — 7.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.43$64.90$68.26$67.88$64.90
ATM IV20.5%15.1%27.6%20.6%23.4%
Expected Move5.6%4.0%7.9%5.9%6.7%
HV 20d7.9%6.9%9.2%8.7%9.1%
HV 60d11.1%10.8%11.5%11.2%11.5%
Term Structure-3.8%-13.3%0.8%-1.2%-5.6%
Skew 25d3.6%0.9%8.3%4.6%3.7%
Skew 10d1.6%-1.3%8.5%1.1%2.4%
Call IV 25d18.6%14.4%25.8%20.4%23.2%
Put IV 25d22.2%16.0%28.8%25.0%26.9%
Bid-Ask Spread %138.64127.71149.47133.26138.62
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$67.88$0.0020.6%5.9%8.7%0.0%0.0%4.6%-1.2%0000.00133.26N/AN/A0000
2021-11-02$67.61$0.0022.2%6.4%8.9%0.0%0.0%2.1%-1.7%0000.00133.73N/AN/A0000
2021-11-03$67.98$0.0021.5%6.2%8.8%0.0%0.0%7.6%-3.1%0000.00134.34N/AN/A0000
2021-11-04$68.03$0.0018.6%4.0%8.3%0.0%0.0%2.1%0.8%0000.00140.02N/AN/A0000
2021-11-05$67.94$0.0018.8%4.0%8.3%0.0%0.0%1.3%-0.2%0000.00141.89N/AN/A0000
2021-11-08$68.11$0.0020.4%4.2%7.9%0.0%0.0%1.7%-0.9%0000.00146.38N/AN/A0000
2021-11-09$68.08$0.0021.7%4.2%7.9%0.0%0.0%1.8%-0.5%0000.00138.85N/AN/A0000
2021-11-10$67.58$0.0015.1%4.3%8.1%0.0%0.0%1.9%-1.0%0000.00142.41N/AN/A0000
2021-11-11$67.90$0.0020.0%5.7%7.6%0.0%0.0%8.1%-6.2%0000.00127.71N/AN/A0000
2021-11-12$68.26$0.0019.9%5.7%7.6%0.0%0.0%7.5%-6.3%0000.00128.23N/AN/A0000
2021-11-15$68.10$0.0015.2%4.4%7.4%0.0%0.0%1.9%-0.8%0000.00141.70N/AN/A0000
2021-11-16$68.12$0.0015.1%4.3%7.2%0.0%0.0%2.3%-0.7%0000.00139.97N/AN/A0000
2021-11-17$67.79$0.0019.9%5.7%7.0%0.0%0.0%6.6%-6.1%0000.00129.41N/AN/A0000
2021-11-18$67.76$0.0025.7%7.4%6.9%0.0%0.0%8.3%-7.0%0000.00134.37N/AN/A0000
2021-11-19$67.36$0.0016.4%4.7%7.2%0.0%0.0%0.9%-3.1%0000.00139.50N/AN/A0000
2021-11-22$67.28$0.0022.1%6.3%7.2%0.0%0.0%1.7%-4.3%0000.00144.74N/AN/A0000
2021-11-23$67.04$0.0017.8%5.1%7.3%0.0%0.0%2.6%-3.6%0000.00139.62N/AN/A0000
2021-11-24$66.82$0.0027.6%7.9%7.3%0.0%0.0%2.2%-13.3%0000.00149.47N/AN/A0000
2021-11-26$65.67$0.0024.6%7.1%9.2%0.0%0.0%3.8%-7.4%0000.00145.14N/AN/A0000
2021-11-29$65.75$0.0024.5%7.0%9.0%0.0%0.0%3.1%-6.6%0000.00142.00N/AN/A0000
2021-11-30$64.90$0.0023.4%6.7%9.1%0.0%0.0%3.7%-5.6%0000.00138.62N/AN/A0000