IGRO Options History — February 2022

In February 2022, IGRO traded between $64.64 and $67.90. ATM implied volatility averaged 25.0%. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 11.8% (HV 20d: 13.2%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days.

Notable Days

  • 2022-02-11: Largest IV spike — 74.1% change
  • 2022-02-28: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$66.69$64.64$67.90$67.14$65.63
ATM IV25.0%15.6%36.9%28.8%31.4%
Expected Move6.5%4.5%9.0%8.3%9.0%
HV 20d13.2%11.6%15.9%11.6%15.9%
HV 60d12.3%11.5%13.1%11.5%13.1%
Term Structure-5.1%-15.8%0.7%-15.8%-11.5%
Skew 25d8.9%3.7%21.4%8.4%21.4%
Skew 10d6.6%-1.1%19.6%2.8%13.6%
Call IV 25d19.9%12.9%37.9%20.2%24.0%
Put IV 25d28.8%18.0%45.4%28.6%45.4%
Bid-Ask Spread %136.47120.63153.82147.41131.94
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$67.14$0.0028.8%8.3%11.6%0.0%0.0%8.4%-15.8%0000.00147.41N/AN/A0000
2022-02-02$67.82$0.0022.9%6.6%12.2%0.0%0.0%5.8%-5.8%0000.00142.33N/AN/A0000
2022-02-03$67.07$0.0036.9%6.4%12.7%0.0%0.0%3.9%-5.5%0000.00148.62N/AN/A0000
2022-02-04$67.14$0.0028.9%4.7%12.7%0.0%0.0%13.5%0.2%0000.00122.58N/AN/A0000
2022-02-07$67.22$0.0029.4%5.9%12.5%0.0%0.0%12.2%-0.5%0000.00122.02N/AN/A0000
2022-02-08$67.20$0.0023.4%4.7%12.3%0.0%0.0%6.2%0.7%0000.00137.07N/AN/A0000
2022-02-09$67.90$0.0015.6%4.5%12.3%0.0%0.0%4.0%0.3%0000.00140.56N/AN/A0000
2022-02-10$67.03$0.0017.7%5.1%12.8%0.0%0.0%5.3%-2.0%0000.00139.77N/AN/A0000
2022-02-11$66.76$0.0030.9%8.8%12.8%0.0%0.0%3.8%-10.8%0000.00153.82N/AN/A0000
2022-02-14$66.33$0.0029.2%8.4%13.0%0.0%0.0%11.2%-12.2%0000.00149.90N/AN/A0000
2022-02-15$66.85$0.0022.2%6.4%12.9%0.0%0.0%5.7%-8.1%0000.00139.95N/AN/A0000
2022-02-16$67.55$0.0017.4%5.0%13.3%0.0%0.0%6.1%-0.6%0000.00139.46N/AN/A0000
2022-02-17$66.84$0.0019.8%5.7%13.8%0.0%0.0%5.5%-1.9%0000.00135.75N/AN/A0000
2022-02-18$66.46$0.0025.0%7.2%13.3%0.0%0.0%13.7%-1.5%0000.00122.59N/AN/A0000
2022-02-22$66.10$0.0022.1%6.3%13.1%0.0%0.0%3.9%-2.2%0000.00136.18N/AN/A0000
2022-02-23$65.51$0.0022.8%6.5%13.4%0.0%0.0%14.8%-4.1%0000.00126.69N/AN/A0000
2022-02-24$64.64$0.0023.2%6.6%13.9%0.0%0.0%3.7%-2.6%0000.00135.67N/AN/A0000
2022-02-25$65.96$0.0026.7%7.6%15.8%0.0%0.0%19.2%-12.1%0000.00120.63N/AN/A0000
2022-02-28$65.63$0.0031.4%9.0%15.9%0.0%0.0%21.4%-11.5%0000.00131.94N/AN/A0000