IGF Options History — August 2013

In August 2013, IGF traded between $35.40 and $35.57. ATM implied volatility averaged 33.5%. The 30-day expected move averaged 9.6%. Net GEX was positive for 0 of 3 trading days. Term structure was in contango for 2 of 3 days.

Notable Days

  • 2013-08-29: Largest IV spike — 436.6% change
  • 2013-08-29: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.50$35.40$35.57$35.57$35.40
ATM IV33.5%13.1%70.0%13.1%17.5%
Expected Move9.6%3.7%20.1%3.7%5.0%
Term Structure-6.4%-24.1%4.1%4.1%0.6%
Skew 25d5.0%2.6%8.8%2.6%3.5%
Skew 10d9.8%3.2%21.8%4.3%3.2%
Call IV 25d39.5%12.2%93.4%12.2%13.0%
Put IV 25d44.5%14.8%102.3%14.8%16.5%
Bid-Ask Spread %154.73140.98180.75142.48140.98
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (3 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-28$35.57$0.0013.1%3.7%0.0%0.0%0.0%2.6%4.1%0000.00142.480000
2013-08-29$35.54$0.0070.0%20.1%0.0%0.0%0.0%8.8%-24.1%0000.00180.750000
2013-08-30$35.40$0.0017.5%5.0%0.0%0.0%0.0%3.5%0.6%0000.00140.980000