IGF Options History — March 2014 In March 2014, IGF traded between $39.92 and $41.65. ATM implied volatility averaged 36.5%, placing in the 40.9% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 26.3% (HV 20d: 10.2%). Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-03-26 : Highest Volume — 10 contracts2014-03-06 : Largest IV spike — 734.2% change2014-03-06 : Highest IV Rank — 91.9%2014-03-06 : Largest Expected Move — 21.0%Monthly Statistics Metric Avg Min Max Open Close Price $40.73 $39.92 $41.65 $39.92 $41.65 ATM IV 36.5% 7.8% 73.3% 13.6% 38.1% Expected Move 10.6% 2.5% 21.0% 3.9% 10.9% HV 20d 10.2% 9.1% 11.0% 10.6% 10.5% HV 60d 11.2% 10.8% 11.8% 11.4% 10.8% IV Rank 40.9% 1.1% 91.9% 9.0% 43.0% IV Percentile 72.7% 1.5% 99.2% 73.2% 91.2% Term Structure -11.1% -29.4% 14.8% -0.2% -7.3% Skew 25d 25.3% 2.3% 68.8% 5.4% 68.8% Skew 10d 37.4% 2.7% 92.9% 3.7% 92.9% Call IV 25d 26.5% 7.7% 80.1% 10.0% 15.3% Put IV 25d 51.8% 12.0% 103.9% 15.4% 84.1% Bid-Ask Spread % 121.24 54.92 180.08 66.85 155.32 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 169 0 1.2K 0 1.2K Net DEX -3.2K -24.8K 0 0 -24.8K Net VEX -18 -134 0 0 -134 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 0.524 0 10 0 0 Total OI 1.476 0 11 0 11
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 2014-03-03 $39.92 $0.00 13.6% 3.9% 10.6% 9.0% 0.0% 5.4% -0.2% 0 0 0 0.00 66.85 0 0 0 0 2014-03-04 $40.53 $0.00 9.3% 2.7% 10.4% 3.1% 0.0% 2.3% 1.0% 0 0 0 0.00 61.11 0 0 0 0 2014-03-05 $40.59 $0.00 8.8% 2.5% 10.3% 2.4% 0.0% 2.9% 1.1% 0 0 0 0.00 56.85 0 0 0 0 2014-03-06 $40.91 $0.00 73.3% 21.0% 10.1% 91.9% 0.0% 23.8% -29.4% 0 0 0 0.00 180.08 0 0 0 0 2014-03-07 $40.76 $0.00 10.2% 3.2% 9.7% 4.3% 0.0% 6.6% 2.4% 0 0 0 0.00 59.48 0 0 0 0 2014-03-10 $40.52 $0.00 7.8% 3.1% 9.6% 1.1% 0.0% 6.5% 2.8% 0 0 0 0.00 54.92 0 0 0 0 2014-03-11 $40.40 $0.00 12.0% 3.8% 9.6% 6.9% 0.0% 5.5% 1.9% 0 0 0 0.00 58.49 0 0 0 0 2014-03-12 $40.60 $0.00 8.8% 3.3% 9.2% 2.4% 0.0% 6.0% 14.8% 0 0 0 0.00 57.93 0 0 0 0 2014-03-13 $40.28 $0.00 14.5% 4.2% 9.8% 10.4% 0.0% 6.3% 1.1% 0 0 0 0.00 60.06 0 0 0 0 2014-03-14 $40.41 $0.00 23.8% 6.8% 9.1% 23.2% 0.0% 6.5% -2.4% 0 0 0 0.00 139.39 0 0 0 0 2014-03-17 $40.90 $0.00 51.1% 14.6% 9.7% 61.1% 0.0% 16.7% -23.8% 0 0 0 0.00 159.73 0 0 0 0 2014-03-18 $41.01 $0.00 51.8% 14.9% 9.7% 62.1% 0.0% 17.4% -24.2% 0 0 0 0.00 158.88 0 0 0 0 2014-03-19 $40.58 $0.00 52.8% 15.1% 10.5% 63.5% 0.0% 56.9% -26.1% 0 0 0 0.00 161.66 0 0 0 0 2014-03-20 $40.50 $0.00 54.4% 15.6% 10.5% 65.7% 0.0% 16.2% -24.6% 0 0 0 0.00 162.12 0 0 0 0 2014-03-21 $40.51 $0.00 53.6% 15.4% 10.4% 64.5% 0.0% 15.8% -29.1% 0 0 0 0.00 161.75 0 0 0 0 2014-03-24 $40.64 $0.00 54.2% 15.5% 10.4% 65.4% 0.0% 16.2% -17.2% 0 0 0 0.00 160.95 0 0 0 0 2014-03-25 $41.03 $0.00 55.0% 15.8% 10.9% 66.6% 0.0% 64.7% -17.2% 0 0 0 0.00 159.12 0 0 0 0 2014-03-26 $40.94 $0.00 56.2% 16.1% 10.8% 68.2% 0.0% 60.1% -18.1% 0 0 0 0.00 156.54 10 0 0 0 2014-03-27 $41.23 $0.00 57.2% 16.4% 10.9% 69.6% 0.0% 61.7% -18.3% 1.2K -21.0K -123 0.00 157.79 0 0 10 0 2014-03-28 $41.47 $0.00 60.1% 17.2% 11.0% 73.6% 0.0% 65.3% -19.9% 1.1K -22.0K -122 0.00 157.12 1 0 10 0 2014-03-31 $41.65 $0.00 38.1% 10.9% 10.5% 43.0% 0.0% 68.8% -7.3% 1.2K -24.8K -134 0.00 155.32 0 0 11 0
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