IGF Options History — January 2014 In January 2014, IGF traded between $37.94 and $39.02. ATM implied volatility averaged 11.5%. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 0.6% (HV 20d: 10.9%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-01-07 : Highest Volume — 217 contracts2014-01-13 : Largest IV spike — 71.9% change2014-01-31 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.51 $37.94 $39.02 $38.41 $38.43 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 11.5% 7.0% 17.4% 11.8% 17.4% Expected Move 3.5% 2.8% 5.0% 3.4% 5.0% HV 20d 10.9% 8.4% 12.5% 12.5% 11.4% HV 60d 10.9% 10.4% 11.6% 11.3% 11.6% Term Structure 1.0% -1.0% 2.7% 1.2% -1.0% VWIV 9.5% 7.2% 11.7% 11.7% 9.7% Skew 25d 4.4% 1.7% 6.9% 4.4% 6.8% Skew 10d 4.2% 2.7% 8.7% 2.7% 5.5% Call IV 25d 9.0% 6.8% 12.5% 7.1% 12.5% Put IV 25d 13.4% 9.7% 19.3% 11.5% 19.3% Bid-Ask Spread % 87.50 37.57 136.87 47.85 70.48 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 77.0K 689 112.2K 689 89.2K Net DEX -255.6K -457.0K -2.5K -2.8K -276.3K Net VEX -759 -1.1K -10 -11 -739 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 15.143 0 217 0 0 Total OI 176.857 2 218 2 218
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 2014-01-02 $38.41 $0.00 11.8% 3.4% 12.5% 0.0% 0.0% 4.4% 1.2% 689 -2.8K -11 0.00 47.85 0 0 2 0 2014-01-03 $38.43 $0.00 11.2% 3.2% 12.5% 0.0% 0.0% 4.2% 0.9% 715 -2.8K -11 0.00 37.57 0 0 2 0 2014-01-06 $38.31 $39.00 10.7% 3.5% 12.4% 0.0% 0.0% 4.7% 1.1% 745 -2.5K -10 0.00 68.72 0 0 2 0 2014-01-07 $38.53 $39.00 7.6% 3.2% 11.9% 0.0% 11.7% 1.7% 0.4% 726 -3.2K -11 0.00 136.87 217 0 2 0 2014-01-08 $38.36 $39.00 8.4% 3.4% 12.0% 0.0% 7.2% 2.4% 1.0% 84.5K -264.5K -1.1K 0.00 104.09 40 0 218 0 2014-01-09 $38.26 $39.00 8.6% 3.3% 12.0% 0.0% 9.7% 3.5% 1.3% 82.3K -250.7K -1.0K 0.00 103.10 61 0 218 0 2014-01-10 $38.67 $39.00 7.0% 2.8% 11.3% 0.0% 0.0% 2.9% 2.0% 98.4K -355.7K -1.1K 0.00 96.05 0 0 218 0 2014-01-13 $38.48 $39.00 12.1% 3.6% 11.4% 0.0% 0.0% 4.9% 0.9% 88.8K -303.9K -1.1K 0.00 91.31 0 0 218 0 2014-01-14 $38.71 $39.00 10.1% 3.0% 11.6% 0.0% 0.0% 3.5% 2.1% 98.3K -357.6K -1.1K 0.00 101.27 0 0 218 0 2014-01-15 $38.67 $39.00 10.5% 2.8% 11.1% 0.0% 0.0% 4.1% 2.2% 103.4K -362.5K -1.1K 0.00 97.55 0 0 218 0 2014-01-16 $38.75 $39.00 10.1% 2.9% 9.6% 0.0% 0.0% 3.7% 2.1% 102.3K -355.6K -1.1K 0.00 96.13 0 0 218 0 2014-01-17 $38.69 $39.00 9.8% 2.8% 8.4% 0.0% 0.0% 3.3% 2.7% 105.8K -331.3K -1.0K 0.00 83.92 0 0 218 0 2014-01-21 $38.97 $39.00 10.3% 3.0% 8.6% 0.0% 0.0% 5.9% 0.9% 111.5K -423.4K -1.0K 0.00 95.98 0 0 218 0 2014-01-22 $39.02 $39.00 10.4% 3.0% 8.6% 0.0% 0.0% 5.1% 1.3% 112.2K -457.0K -985 0.00 89.29 0 0 218 0 2014-01-23 $38.89 $39.00 10.9% 3.1% 8.5% 0.0% 0.0% 4.8% 1.3% 109.0K -396.6K -970 0.00 97.83 0 0 218 0 2014-01-24 $38.20 $39.00 14.9% 4.3% 10.7% 0.0% 0.0% 5.1% -0.1% 80.6K -254.7K -835 0.00 87.98 0 0 218 0 2014-01-27 $38.20 $39.00 15.0% 4.3% 10.6% 0.0% 0.0% 4.3% 0.1% 81.3K -225.7K -719 0.00 74.66 0 0 218 0 2014-01-28 $38.34 $39.00 14.8% 4.2% 10.7% 0.0% 0.0% 4.9% -0.3% 94.1K -259.0K -772 0.00 80.82 0 0 218 0 2014-01-29 $37.94 $39.00 15.4% 4.4% 11.3% 0.0% 0.0% 6.9% -0.2% 73.7K -189.4K -623 0.00 95.91 0 0 218 0 2014-01-30 $38.50 $39.00 14.9% 4.3% 12.4% 0.0% 0.0% 5.1% 0.6% 99.3K -293.5K -769 0.00 80.21 0 0 218 0 2014-01-31 $38.43 $39.00 17.4% 5.0% 11.4% 0.0% 0.0% 6.8% -1.0% 89.2K -276.3K -739 0.00 70.48 0 0 218 0
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