IGF Options History — April 2014 In April 2014, IGF traded between $41.55 and $42.26. ATM implied volatility averaged 53.3%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 44.8% (HV 20d: 8.5%). Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 1 of 21 days.
Notable Days 2014-04-17 : Highest Volume — 12 contracts2014-04-10 : Largest IV drop — 12.8% change2014-04-30 : Highest IV Rank — 86.1%2014-04-30 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $41.90 $41.55 $42.26 $41.83 $42.26 ATM IV 53.3% 40.5% 69.1% 40.5% 69.1% Expected Move 14.8% 7.3% 19.8% 11.6% 19.8% HV 20d 8.5% 7.4% 9.5% 9.4% 7.4% HV 60d 10.4% 9.1% 10.9% 10.8% 9.1% IV Rank 64.2% 46.3% 86.1% 46.3% 86.1% IV Percentile 93.7% 89.7% 98.2% 91.2% 98.2% Term Structure -16.8% -28.8% 21.7% -7.1% -28.8% Skew 25d 26.9% 7.8% 61.6% 17.9% 61.6% Skew 10d 30.5% 7.8% 61.6% 42.2% 61.6% Call IV 25d 48.0% 26.8% 77.7% 74.3% 32.0% Put IV 25d 74.9% 56.9% 96.2% 92.2% 93.6% Bid-Ask Spread % 190.84 157.49 199.20 158.17 194.65 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX 679 -168 1.5K 1.2K -104 Net DEX -16.0K -26.6K 2.4K -25.5K -5.4K Net VEX -178 -265 -120 -134 -257 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.571 0 12 0 0 Total OI 15.571 11 23 11 23
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 2014-04-01 $41.83 $0.00 40.5% 11.6% 9.4% 46.3% 0.0% 17.9% -7.1% 1.2K -25.5K -134 0.00 158.17 0 0 11 0 2014-04-02 $41.80 $0.00 41.6% 11.9% 9.4% 48.0% 0.0% 18.2% -7.6% 1.2K -25.3K -134 0.00 157.84 0 0 11 0 2014-04-03 $41.79 $0.00 42.9% 12.3% 9.1% 49.8% 0.0% 18.5% -8.0% 1.5K -25.2K -133 0.00 157.49 0 0 11 0 2014-04-04 $41.67 $0.00 44.3% 7.3% 9.1% 51.7% 0.0% 8.0% 21.7% 1.2K -24.9K -133 0.00 197.43 0 0 11 0 2014-04-07 $41.61 $0.00 49.6% 13.0% 8.7% 59.0% 0.0% 7.8% -16.5% 1.2K -24.7K -132 0.00 198.46 0 0 11 0 2014-04-08 $41.87 $0.00 51.7% 13.3% 8.8% 62.0% 0.0% 10.1% -17.4% 1.2K -23.2K -127 0.00 196.64 0 0 11 0 2014-04-09 $42.16 $0.00 54.1% 13.3% 8.9% 65.2% 0.0% 12.8% -16.3% 1.2K -26.6K -130 0.00 195.41 0 0 11 0 2014-04-10 $41.71 $0.00 47.1% 13.5% 9.3% 55.6% 0.0% 9.0% -17.7% 1.1K -25.1K -131 0.00 195.93 0 0 11 0 2014-04-11 $41.56 $0.00 47.9% 13.7% 9.5% 56.6% 0.0% 7.8% -18.5% 1.1K -22.9K -128 0.00 198.46 0 0 11 0 2014-04-14 $41.59 $0.00 50.0% 14.3% 8.6% 59.5% 0.0% 8.4% -21.1% 1.1K -24.3K -129 0.00 199.20 0 0 11 0 2014-04-15 $41.55 $0.00 50.8% 14.6% 8.6% 60.6% 0.0% 8.1% -20.9% 1.1K -24.4K -128 0.00 198.42 0 0 11 0 2014-04-16 $42.03 $0.00 51.4% 14.7% 8.4% 61.5% 0.0% 12.9% -17.8% 1.1K -24.9K -128 0.00 195.84 0 0 11 0 2014-04-17 $42.05 $0.00 52.2% 15.0% 8.3% 62.6% 0.0% 13.3% -21.1% 1.1K -22.9K -120 0.00 196.36 0 12 11 0 2014-04-21 $42.09 $0.00 56.0% 16.1% 8.3% 67.9% 0.0% 37.0% -19.3% -99 -2.5K -265 0.00 196.07 0 0 11 12 2014-04-22 $42.18 $0.00 57.7% 16.6% 8.2% 70.3% 0.0% 50.0% -15.2% -142 2.4K -240 0.00 195.67 0 0 11 12 2014-04-23 $42.05 $0.00 58.4% 16.7% 7.9% 71.2% 0.0% 49.7% -20.9% -168 1.3K -250 0.00 195.84 0 0 11 12 2014-04-24 $41.95 $0.00 59.7% 17.1% 7.9% 73.0% 0.0% 49.8% -23.0% -106 -3.6K -264 0.00 195.70 0 0 11 12 2014-04-25 $41.88 $0.00 61.7% 17.7% 7.7% 75.7% 0.0% 50.1% -24.6% -96 -442 -259 0.00 194.26 0 0 11 12 2014-04-28 $42.07 $0.00 65.6% 18.8% 7.6% 81.2% 0.0% 56.1% -26.5% -94 -3.3K -260 0.00 195.63 0 0 11 12 2014-04-29 $42.14 $0.00 68.0% 19.5% 7.4% 84.5% 0.0% 58.4% -26.6% -94 -3.7K -260 0.00 194.13 0 0 11 12 2014-04-30 $42.26 $0.00 69.1% 19.8% 7.4% 86.1% 0.0% 61.6% -28.8% -104 -5.4K -257 0.00 194.65 0 0 11 12
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