IGF Options History — September 2013

In September 2013, IGF traded between $35.55 and $38.23. ATM implied volatility averaged 16.7%. The 30-day expected move averaged 4.8%. IV traded above realized volatility by 4.9% (HV 20d: 11.7%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 18 of 20 days.

Notable Days

  • 2013-09-04: Largest IV drop — 83.8% change
  • 2013-09-03: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.18$35.55$38.23$35.55$37.77
ATM IV16.7%11.2%79.1%79.1%11.8%
Expected Move4.8%3.2%22.7%22.7%3.4%
HV 20d11.7%11.3%12.0%11.3%11.8%
Term Structure-0.1%-31.0%3.2%-31.0%3.2%
Skew 25d2.9%0.7%13.4%13.4%0.7%
Skew 10d5.8%1.5%20.2%20.2%13.0%
Call IV 25d17.6%10.5%100.1%100.1%12.7%
Put IV 25d20.5%12.1%113.5%113.5%13.4%
Bid-Ask Spread %141.73134.60180.54180.54137.64
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 VolPut VolCall OIPut OI
2013-09-03$35.55$0.0079.1%22.7%0.0%0.0%0.0%13.4%-31.0%0000.00180.540000
2013-09-04$35.74$0.0012.8%3.7%0.0%0.0%0.0%3.2%3.0%0000.00146.930000
2013-09-05$35.76$0.0012.8%3.7%0.0%0.0%0.0%2.9%2.7%0000.00149.370000
2013-09-06$36.10$0.0015.0%4.6%0.0%0.0%0.0%2.3%1.2%0000.00134.600000
2013-09-09$36.57$0.0013.2%3.9%0.0%0.0%0.0%3.0%1.7%0000.00135.380000
2013-09-10$36.88$0.0013.1%4.0%0.0%0.0%0.0%2.5%1.5%0000.00139.790000
2013-09-11$36.95$0.0012.3%3.9%0.0%0.0%0.0%1.9%1.4%0000.00139.600000
2013-09-12$36.83$0.0013.7%3.9%0.0%0.0%0.0%2.2%1.3%0000.00140.670000
2013-09-13$37.04$0.0014.0%4.0%0.0%0.0%0.0%1.9%1.4%0000.00139.380000
2013-09-16$37.22$0.0014.4%4.1%0.0%0.0%0.0%2.4%1.1%0000.00138.500000
2013-09-17$37.33$0.0014.5%4.2%0.0%0.0%0.0%2.9%1.2%0000.00138.060000
2013-09-18$38.23$0.0013.9%4.0%0.0%0.0%0.0%1.8%1.5%0000.00137.290000
2013-09-19$38.17$0.0013.0%3.7%11.3%0.0%0.0%2.1%1.9%0000.00138.640000
2013-09-20$37.87$0.0012.1%3.5%12.0%0.0%0.0%1.2%2.8%0000.00141.500000
2013-09-23$38.04$0.0013.3%3.8%11.6%0.0%0.0%1.3%1.3%0000.00138.720000
2013-09-24$38.02$0.0013.5%3.9%11.4%0.0%0.0%2.0%1.0%0000.00138.960000
2013-09-25$37.69$0.0011.2%3.2%12.0%0.0%0.0%5.5%2.3%0000.00143.000000
2013-09-26$38.00$0.0013.1%3.7%11.8%0.0%0.0%1.7%1.0%0000.00141.470000
2013-09-27$37.88$0.0016.2%4.6%11.9%0.0%0.0%3.6%-2.0%0000.00134.670000
2013-09-30$37.77$0.0011.8%3.4%11.8%0.0%0.0%0.7%3.2%0000.00137.640000