IGF Options History — December 2013 In December 2013, IGF traded between $37.64 and $38.94. ATM implied volatility averaged 10.7%. The 30-day expected move averaged 2.9%. IV traded below realized volatility by 0.2% (HV 20d: 10.9%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2013-12-31 : Highest Volume — 2 contracts2013-12-11 : Largest IV spike — 39.0% change2013-12-17 : Largest Expected Move — 3.7%Monthly Statistics Metric Avg Min Max Open Close Price $38.31 $37.64 $38.94 $38.50 $38.94 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 10.7% 8.4% 15.0% 10.9% 10.8% Expected Move 2.9% 2.4% 3.7% 3.1% 3.1% HV 20d 10.9% 9.5% 12.0% 11.3% 11.5% HV 60d 11.2% 10.7% 11.8% 11.5% 11.0% Term Structure 1.8% -1.4% 4.7% -1.4% 1.2% Skew 25d 5.4% 0.8% 8.3% 5.2% 0.8% Skew 10d 6.6% 2.1% 12.2% 7.2% 2.3% Call IV 25d 8.0% 6.4% 9.9% 7.6% 8.6% Put IV 25d 13.5% 9.4% 16.8% 12.8% 9.4% Bid-Ask Spread % 56.33 29.12 84.61 84.35 35.28 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 423 0 1.1K 902 0 Net DEX -820 -2.6K 0 -2.0K 0 Net VEX -2 -7 0 -6 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 0.095 0 2 0 2 Total OI 1.429 0 2 2 0
Daily Data (21 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 2013-12-02 $38.50 $39.00 10.9% 3.1% 11.3% 0.0% 0.0% 5.2% -1.4% 902 -2.0K -6 0.00 84.35 0 0 2 0 2013-12-03 $38.37 $39.00 8.4% 2.4% 11.3% 0.0% 0.0% 8.3% 4.7% 825 -2.6K -7 0.00 84.61 0 0 2 0 2013-12-04 $38.25 $39.00 9.3% 2.7% 11.1% 0.0% 0.0% 5.2% 2.9% 1.0K -929 -3 0.00 57.63 0 0 2 0 2013-12-05 $38.07 $39.00 10.8% 3.1% 10.5% 0.0% 0.0% 6.0% -0.7% 691 -1.2K -4 0.00 57.74 0 0 2 0 2013-12-06 $38.51 $0.00 10.2% 2.6% 9.6% 0.0% 0.0% 5.1% 2.7% 534 -2.2K -5 0.00 77.91 0 0 2 0 2013-12-09 $38.51 $0.00 12.9% 2.5% 9.5% 0.0% 0.0% 5.4% 3.3% 1.1K -2.3K -5 0.00 69.92 0 0 2 0 2013-12-10 $38.41 $0.00 10.8% 3.3% 9.5% 0.0% 0.0% 7.8% 1.7% 1.0K -1.9K -4 0.00 75.48 0 0 2 0 2013-12-11 $37.85 $0.00 15.0% 2.7% 10.7% 0.0% 0.0% 7.5% 3.1% 294 -303 -1 0.00 64.88 0 0 2 0 2013-12-12 $37.82 $0.00 9.3% 2.7% 10.2% 0.0% 0.0% 7.3% 2.6% 376 -491 -1 0.00 65.42 0 0 2 0 2013-12-13 $37.81 $0.00 9.1% 2.6% 10.2% 0.0% 0.0% 8.2% 3.3% 331 -389 -1 0.00 55.83 0 0 2 0 2013-12-16 $38.19 $0.00 12.3% 3.5% 9.8% 0.0% 0.0% 5.4% 1.7% 690 -2.3K -3 0.00 64.97 0 0 2 0 2013-12-17 $37.64 $0.00 13.0% 3.7% 10.8% 0.0% 0.0% 6.9% 1.3% 283 -242 -1 0.00 43.09 0 0 2 0 2013-12-18 $38.16 $0.00 11.8% 3.4% 12.0% 0.0% 0.0% 7.0% 1.8% 577 -358 -1 0.00 60.45 0 0 2 0 2013-12-19 $38.06 $0.00 11.5% 3.3% 11.5% 0.0% 0.0% 7.0% 1.9% 68 -19 0 0.00 47.42 0 0 2 0 2013-12-20 $38.21 $0.00 11.2% 3.2% 11.4% 0.0% 0.0% 6.0% 2.1% 162 -48 0 0.00 52.18 0 0 2 0 2013-12-23 $38.45 $0.00 11.4% 3.3% 11.6% 0.0% 0.0% 4.0% 0.7% 0 0 0 0.00 34.52 0 0 0 0 2013-12-24 $38.56 $0.00 8.7% 2.5% 11.6% 0.0% 0.0% 2.3% 1.5% 0 0 0 0.00 39.99 0 0 0 0 2013-12-26 $38.65 $0.00 9.6% 2.8% 11.7% 0.0% 0.0% 2.6% 0.3% 0 0 0 0.00 42.87 0 0 0 0 2013-12-27 $38.73 $0.00 9.5% 2.7% 11.7% 0.0% 0.0% 2.8% 1.0% 0 0 0 0.00 29.12 0 0 0 0 2013-12-30 $38.73 $0.00 8.8% 2.5% 11.7% 0.0% 0.0% 3.8% 1.7% 0 0 0 0.00 39.26 0 0 0 0 2013-12-31 $38.94 $0.00 10.8% 3.1% 11.5% 0.0% 0.0% 0.8% 1.2% 0 0 0 0.00 35.28 2 0 0 0
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