IGF Options History — November 2013 In November 2013, IGF traded between $38.57 and $39.35. ATM implied volatility averaged 10.3%. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 0.8% (HV 20d: 11.1%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2013-11-01 : Highest Volume — 1 contracts2013-11-29 : Largest IV spike — 168.3% change2013-11-29 : Largest Expected Move — 7.5%Monthly Statistics Metric Avg Min Max Open Close Price $38.92 $38.57 $39.35 $39.17 $38.77 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 10.3% 7.9% 26.0% 10.4% 26.0% Expected Move 3.1% 2.6% 7.5% 3.0% 7.5% HV 20d 11.1% 10.2% 11.7% 10.3% 11.1% HV 60d 11.4% 10.8% 11.7% 10.9% 11.5% Term Structure -0.1% -7.7% 2.4% 2.4% -7.7% VWIV 10.4% 10.4% 10.4% 10.4% 10.4% Skew 25d 5.1% 1.8% 8.0% 1.8% 2.7% Skew 10d 6.7% 1.6% 9.0% 2.4% 2.3% Call IV 25d 8.6% 7.0% 10.8% 8.2% 8.7% Put IV 25d 13.8% 10.0% 15.8% 10.0% 11.5% Bid-Ask Spread % 73.62 56.78 86.06 56.78 62.54 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 1.3K 0 2.6K 661 0 Net DEX -4.1K -7.6K 0 -3.9K 0 Net VEX -10 -14 0 -12 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 0.05 0 1 1 0 Total OI 2.4 0 3 2 0
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2013-11-01 $39.17 $0.00 10.4% 3.0% 10.3% 0.0% 10.4% 1.8% 2.4% 661 -3.9K -12 0.00 56.78 1 0 2 0 2013-11-04 $39.24 $39.00 10.0% 3.6% 10.2% 0.0% 0.0% 4.4% -0.2% 1.6K -6.4K -14 0.00 74.88 0 0 3 0 2013-11-05 $38.97 $39.00 10.6% 2.9% 10.5% 0.0% 0.0% 3.9% -0.1% 1.6K -5.4K -13 0.00 66.16 0 0 3 0 2013-11-06 $39.33 $39.00 9.8% 3.6% 10.6% 0.0% 0.0% 4.6% -0.3% 1.5K -6.8K -13 0.00 78.90 0 0 3 0 2013-11-07 $38.63 $39.00 9.9% 2.9% 11.7% 0.0% 0.0% 8.0% 1.2% 1.5K -4.4K -12 0.00 67.58 0 0 3 0 2013-11-08 $38.75 $39.00 7.9% 2.8% 11.6% 0.0% 0.0% 7.1% 1.0% 1.7K -4.5K -13 0.00 77.72 0 0 3 0 2013-11-11 $38.83 $39.00 8.7% 2.8% 11.6% 0.0% 0.0% 7.2% 0.4% 1.9K -4.9K -12 0.00 76.58 0 0 3 0 2013-11-12 $38.64 $39.00 8.9% 2.9% 11.3% 0.0% 0.0% 6.5% 0.2% 1.8K -3.8K -11 0.00 75.59 0 0 3 0 2013-11-13 $38.92 $39.00 9.7% 2.7% 11.0% 0.0% 0.0% 7.6% 0.5% 2.3K -5.1K -11 0.00 74.88 0 0 3 0 2013-11-14 $38.85 $39.00 8.9% 2.6% 10.5% 0.0% 0.0% 6.7% 0.5% 2.6K -4.7K -11 0.00 74.17 0 0 3 0 2013-11-15 $39.35 $39.00 9.7% 2.8% 11.5% 0.0% 0.0% 3.7% 0.2% 1.9K -7.6K -10 0.00 76.24 0 0 3 0 2013-11-18 $39.26 $39.00 9.6% 2.8% 11.5% 0.0% 0.0% 3.5% -0.0% 875 -4.1K -9 0.00 81.23 0 0 2 0 2013-11-19 $39.00 $39.00 9.2% 2.6% 11.0% 0.0% 0.0% 7.3% 1.4% 951 -3.8K -9 0.00 81.67 0 0 2 0 2013-11-20 $38.57 $39.00 10.0% 2.9% 11.2% 0.0% 0.0% 5.2% -0.3% 867 -2.5K -8 0.00 68.36 0 0 2 0 2013-11-21 $38.73 $39.00 9.5% 2.7% 11.2% 0.0% 0.0% 4.6% 0.2% 999 -2.8K -8 0.00 70.78 0 0 2 0 2013-11-22 $38.91 $39.00 9.4% 2.7% 11.4% 0.0% 0.0% 5.3% -0.6% 978 -3.2K -9 0.00 72.00 0 0 2 0 2013-11-25 $38.90 $39.00 9.8% 2.8% 11.4% 0.0% 0.0% 5.4% 0.0% 941 -3.1K -8 0.00 70.78 0 0 2 0 2013-11-26 $38.87 $39.00 9.2% 2.6% 11.4% 0.0% 0.0% 2.3% 0.1% 1.0K -3.0K -8 0.00 79.57 0 0 2 0 2013-11-27 $38.78 $39.00 9.7% 2.8% 11.4% 0.0% 0.0% 2.7% -0.2% 1.1K -2.7K -8 0.00 86.06 0 0 2 0 2013-11-29 $38.77 $0.00 26.0% 7.5% 11.1% 0.0% 0.0% 0.0% -7.7% 0 0 0 0.00 62.54 0 0 0 0
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