IGF Options History — May 2014 In May 2014, IGF traded between $42.19 and $43.40. ATM implied volatility averaged 73.3%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 66.8% (HV 20d: 6.5%). Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-05-20 : Highest Volume — 20 contracts2014-05-15 : Largest IV drop — 71.4% change2014-05-05 : Highest IV Rank — 100.0%2014-05-02 : Largest Expected Move — 21.1%Monthly Statistics Metric Avg Min Max Open Close Price $42.56 $42.19 $43.40 $42.38 $43.40 ATM IV 73.3% 46.8% 163.9% 71.1% 59.2% Expected Move 14.5% 10.0% 21.1% 20.4% 17.0% HV 20d 6.5% 5.5% 7.6% 7.4% 6.4% HV 60d 8.4% 7.7% 9.1% 9.1% 7.7% IV Rank 59.4% 25.4% 100.0% 88.8% 33.3% IV Percentile 90.9% 77.7% 100.0% 98.8% 89.9% Term Structure -9.8% -32.5% 1.3% -30.1% -17.1% Skew 25d 19.7% -7.0% 78.1% 78.1% 30.7% Skew 10d 19.9% -7.0% 80.5% 80.5% 30.7% Call IV 25d 45.8% 7.0% 60.2% 16.6% 50.2% Put IV 25d 65.5% 52.2% 99.4% 94.7% 80.9% Bid-Ask Spread % 197.38 186.31 200.00 194.81 195.63 Gamma HHI 0.61 0.50 1.00 1.00 0.52 Net GEX 4.8K -133 9.4K -133 8.9K Net DEX -105.6K -220.1K 560 560 -220.1K Net VEX -680 -1.1K -238 -238 -1.1K 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 4.333 0 20 10 0 Total OI 65.952 23 103 23 103
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 2014-05-01 $42.38 $0.00 71.1% 20.4% 7.4% 88.8% 0.0% 78.1% -30.1% -133 560 -238 0.00 194.81 10 0 11 12 2014-05-02 $42.22 $0.00 73.6% 21.1% 7.6% 92.3% 0.0% 65.0% -32.5% 933 -27.0K -369 0.00 194.02 10 0 21 12 2014-05-05 $42.41 $0.00 82.0% 11.9% 7.6% 100.0% 0.0% 5.5% -3.1% 1.9K -45.8K -474 0.00 186.31 0 0 31 12 2014-05-06 $42.37 $0.00 85.7% 10.0% 7.6% 100.0% 0.0% 5.2% -6.9% 2.4K -69.5K -444 0.00 200.00 10 0 31 12 2014-05-07 $42.66 $0.00 61.9% 12.0% 7.6% 69.7% 0.0% 10.1% -3.8% 2.9K -76.1K -550 0.00 196.88 0 0 41 12 2014-05-08 $42.48 $0.00 94.6% 12.3% 7.5% 100.0% 0.0% 7.0% -7.2% 3.3K -76.9K -549 0.00 199.60 0 0 41 12 2014-05-09 $42.27 $0.00 102.2% 12.5% 6.6% 100.0% 0.0% 4.6% 1.2% 3.0K -70.6K -540 0.00 200.00 0 0 41 12 2014-05-12 $42.49 $0.00 126.9% 12.9% 6.5% 100.0% 0.0% 6.6% 1.3% 3.8K -73.7K -535 0.00 199.60 0 0 41 12 2014-05-13 $42.53 $0.00 97.9% 12.9% 6.5% 75.8% 0.0% 7.0% -1.6% 3.0K -74.7K -533 0.00 197.62 0 0 41 12 2014-05-14 $42.44 $0.00 163.9% 13.2% 6.6% 100.0% 0.0% 6.3% -1.4% 3.3K -60.5K -499 0.00 198.84 0 0 41 12 2014-05-15 $42.31 $0.00 46.8% 13.4% 5.5% 25.4% 0.0% 5.3% 0.9% 3.2K -71.8K -529 0.00 198.81 15 0 41 12 2014-05-16 $42.42 $0.00 47.2% 13.5% 5.5% 25.6% 0.0% -7.0% -12.8% 3.8K -71.1K -522 0.00 198.42 0 0 46 12 2014-05-19 $42.37 $0.00 49.5% 14.2% 5.6% 27.1% 0.0% 6.2% -10.8% 3.4K -75.2K -529 0.00 198.81 10 0 46 12 2014-05-20 $42.19 $0.00 50.4% 14.5% 5.8% 27.7% 0.0% 14.7% -2.7% 6.0K -95.6K -637 0.00 198.02 20 0 55 12 2014-05-21 $42.40 $0.00 51.1% 14.6% 5.9% 28.1% 0.0% 16.8% -6.8% 6.4K -151.2K -914 0.00 199.21 0 0 75 12 2014-05-22 $42.62 $0.00 51.2% 14.7% 6.0% 28.1% 0.0% 19.1% -6.8% 9.4K -140.4K -868 0.00 199.21 16 0 75 12 2014-05-23 $42.69 $0.00 53.6% 15.4% 6.0% 29.7% 0.0% 13.4% -17.1% 7.9K -189.2K -1.1K 0.00 196.88 0 0 91 12 2014-05-27 $42.97 $0.00 55.9% 16.0% 6.2% 31.1% 0.0% 67.0% -15.7% 9.0K -206.7K -1.1K 0.00 197.86 0 0 91 12 2014-05-28 $42.97 $0.00 57.0% 16.4% 6.2% 31.9% 0.0% 24.9% -16.5% 9.2K -206.7K -1.1K 0.00 197.86 0 0 91 12 2014-05-29 $43.22 $0.00 58.1% 16.6% 6.4% 32.5% 0.0% 28.1% -16.7% 8.9K -214.5K -1.1K 0.00 196.67 0 0 91 12 2014-05-30 $43.40 $0.00 59.2% 17.0% 6.4% 33.3% 0.0% 30.7% -17.1% 8.9K -220.1K -1.1K 0.00 195.63 0 0 91 12
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