IGRO Options History — January 2022

In January 2022, IGRO traded between $65.56 and $68.72. ATM implied volatility averaged 22.9%. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 12.2% (HV 20d: 10.6%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.

Notable Days

  • 2022-01-10: Largest IV spike — 46.9% change
  • 2022-01-26: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.39$65.56$68.72$67.89$66.53
ATM IV22.9%15.0%35.5%24.9%21.3%
Expected Move6.2%4.2%10.2%7.1%6.1%
HV 20d10.6%9.4%12.7%12.7%11.0%
HV 60d10.7%10.4%11.3%10.6%11.3%
Term Structure-3.1%-12.6%0.2%-4.3%-0.3%
Skew 25d5.5%1.6%15.0%1.6%4.3%
Skew 10d3.4%0.2%15.4%1.8%2.5%
Call IV 25d19.5%13.6%36.8%21.2%20.6%
Put IV 25d24.9%17.0%50.3%22.9%24.8%
Bid-Ask Spread %138.29124.31149.44149.44138.29
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$67.89$0.0024.9%7.1%12.7%0.0%0.0%1.6%-4.3%0000.00149.44N/AN/A0000
2022-01-04$68.08$0.0020.9%6.0%12.1%0.0%0.0%2.2%-2.8%0000.00131.08N/AN/A0000
2022-01-05$67.84$0.0025.1%7.2%11.6%0.0%0.0%6.9%-1.2%0000.00142.24N/AN/A0000
2022-01-06$67.58$0.0021.4%5.5%11.5%0.0%0.0%8.4%-6.1%0000.00124.31N/AN/A0000
2022-01-07$67.97$0.0019.5%4.2%11.0%0.0%0.0%2.6%-1.5%0000.00136.66N/AN/A0000
2022-01-10$67.57$0.0028.7%5.7%11.2%0.0%0.0%2.9%0.2%0000.00142.66N/AN/A0000
2022-01-11$68.29$0.0023.3%4.4%10.7%0.0%0.0%2.9%-1.2%0000.00135.93N/AN/A0000
2022-01-12$68.72$0.0018.8%5.4%10.6%0.0%0.0%2.4%-2.4%0000.00146.88N/AN/A0000
2022-01-13$68.51$0.0015.0%4.3%10.4%0.0%0.0%1.9%-1.6%0000.00134.14N/AN/A0000
2022-01-14$68.33$0.0016.1%4.6%10.4%0.0%0.0%2.9%-2.4%0000.00136.90N/AN/A0000
2022-01-18$67.59$0.0016.8%4.8%10.9%0.0%0.0%6.3%-2.0%0000.00134.48N/AN/A0000
2022-01-19$67.93$0.0017.2%4.9%10.2%0.0%0.0%5.0%-1.4%0000.00134.69N/AN/A0000
2022-01-20$67.72$0.0021.9%6.3%9.6%0.0%0.0%5.8%-2.7%0000.00136.97N/AN/A0000
2022-01-21$66.94$0.0021.3%6.1%10.1%0.0%0.0%8.2%-3.2%0000.00145.57N/AN/A0000
2022-01-24$66.38$0.0024.0%6.9%10.4%0.0%0.0%5.4%-3.5%0000.00134.22N/AN/A0000
2022-01-25$66.54$0.0029.5%8.4%9.6%0.0%0.0%15.0%-5.6%0000.00131.76N/AN/A0000
2022-01-26$66.03$0.0035.5%10.2%9.7%0.0%0.0%13.5%-4.9%0000.00140.43N/AN/A0000
2022-01-27$65.86$0.0027.5%7.9%9.4%0.0%0.0%8.1%-2.2%0000.00143.85N/AN/A0000
2022-01-28$65.56$0.0028.9%8.3%9.4%0.0%0.0%2.9%-12.6%0000.00145.40N/AN/A0000
2022-01-31$66.53$0.0021.3%6.1%11.0%0.0%0.0%4.3%-0.3%0000.00138.29N/AN/A0000