IGF Options History — October 2013

In October 2013, IGF traded between $37.87 and $39.81. ATM implied volatility averaged 14.0%. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 11.6%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2013-10-31: Highest Volume — 2 contracts
  • 2013-10-15: Largest IV spike — 27.7% change
  • 2013-10-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.88$37.87$39.81$38.14$39.19
ATM IV14.0%10.3%19.8%14.7%10.8%
Expected Move4.0%2.9%5.6%4.2%3.1%
HV 20d11.6%10.3%13.4%12.1%10.3%
HV 60d11.0%11.0%11.0%11.0%11.0%
Term Structure1.2%-1.9%3.4%0.6%2.2%
Skew 25d4.0%1.0%10.0%3.1%1.7%
Skew 10d4.3%-1.2%14.3%3.2%1.4%
Call IV 25d11.0%8.4%14.0%11.3%8.5%
Put IV 25d15.0%10.2%22.1%14.4%10.2%
Bid-Ask Spread %87.7457.59139.87139.8774.72
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume0.0870202
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$38.14$0.0014.7%4.2%12.1%0.0%0.0%3.1%0.6%0000.00139.870000
2013-10-02$38.31$0.0014.7%4.2%12.1%0.0%0.0%4.0%2.4%0000.00139.120000
2013-10-03$37.95$0.0016.5%4.7%12.9%0.0%0.0%2.1%0.3%0000.00137.790000
2013-10-04$38.07$0.0016.6%4.7%12.6%0.0%0.0%5.1%0.1%0000.00129.670000
2013-10-07$38.04$0.0018.5%5.2%12.1%0.0%0.0%5.7%-0.4%0000.00122.920000
2013-10-08$37.87$0.0019.8%5.6%12.0%0.0%0.0%9.3%-1.1%0000.00118.030000
2013-10-09$38.14$0.0019.0%5.5%12.2%0.0%0.0%4.6%-1.9%0000.00119.380000
2013-10-10$38.67$0.0015.1%4.3%12.8%0.0%0.0%4.5%0.7%0000.00132.840000
2013-10-11$38.86$0.0014.2%4.1%12.8%0.0%0.0%5.9%1.1%0000.0060.440000
2013-10-14$38.79$0.0014.3%4.1%12.8%0.0%0.0%5.5%0.7%0000.0059.370000
2013-10-15$38.46$0.0018.3%5.2%13.4%0.0%0.0%10.0%-0.9%0000.0059.040000
2013-10-16$38.87$0.0013.5%3.9%11.1%0.0%0.0%8.7%1.1%0000.0075.490000
2013-10-17$39.20$0.0012.7%3.6%11.3%0.0%0.0%4.5%1.6%0000.0071.230000
2013-10-18$39.32$0.0012.1%3.5%10.8%0.0%0.0%2.6%1.9%0000.0070.300000
2013-10-21$39.42$0.0012.5%3.6%10.8%0.0%0.0%2.9%2.2%0000.0072.310000
2013-10-22$39.81$0.0011.3%3.2%11.1%0.0%0.0%1.6%2.7%0000.0064.270000
2013-10-23$39.42$0.0012.6%3.6%11.2%0.0%0.0%1.0%2.4%0000.0057.590000
2013-10-24$39.54$0.0010.4%3.0%11.0%0.0%0.0%2.0%3.0%0000.0060.360000
2013-10-25$39.59$0.0010.3%2.9%10.9%0.0%0.0%2.5%3.4%0000.0063.920000
2013-10-28$39.51$0.0010.8%3.1%10.8%0.0%0.0%1.4%2.9%0000.0057.910000
2013-10-29$39.57$0.0010.9%3.1%10.5%0.0%0.0%2.6%1.3%0000.0062.120000
2013-10-30$39.49$0.0013.6%3.9%10.5%0.0%0.0%1.8%1.3%0000.0069.320000
2013-10-31$39.19$0.0010.8%3.1%10.3%0.0%0.0%1.7%2.2%0000.0074.722000