IGF Options History — June 2014 In June 2014, IGF traded between $43.13 and $44.57. ATM implied volatility averaged 55.9%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 48.0% (HV 20d: 7.9%). Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-06-23 : Highest Volume — 1 contracts2014-06-30 : Largest IV drop — 89.1% change2014-06-11 : Highest IV Rank — 51.4%2014-06-04 : Largest Expected Move — 19.4%Monthly Statistics Metric Avg Min Max Open Close Price $43.92 $43.13 $44.57 $43.48 $44.33 ATM IV 55.9% 6.3% 87.7% 63.6% 6.3% Expected Move 14.4% 1.8% 19.4% 18.2% 1.8% HV 20d 7.9% 6.2% 9.9% 6.2% 9.8% HV 60d 7.6% 7.1% 7.9% 7.6% 7.9% IV Rank 31.2% 0.0% 51.4% 36.1% 0.0% IV Percentile 79.2% 0.0% 97.5% 92.1% 0.0% Term Structure -19.9% -27.8% 2.6% -19.9% 2.6% Skew 25d 16.3% 1.0% 37.9% 33.9% 1.0% Skew 10d 30.4% 0.9% 38.7% 33.9% 0.9% Call IV 25d 54.2% 7.1% 66.3% 53.5% 7.1% Put IV 25d 70.4% 8.1% 95.1% 87.4% 8.1% Bid-Ask Spread % 161.15 142.46 195.63 194.71 142.46 Gamma HHI 0.82 0.59 1.00 0.61 0.86 Net GEX 3.1K -1.4K 7.3K 7.2K -1.4K Net DEX -83.2K -191.2K 15.9K -180.0K 1.3K Net VEX -547 -999 -59 -995 -59 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 0.048 0 1 0 0 Total OI 49.762 12 88 88 13
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 2014-06-02 $43.48 $0.00 63.6% 18.2% 6.2% 36.1% 0.0% 33.9% -19.9% 7.2K -180.0K -995 0.00 194.71 0 0 76 12 2014-06-03 $43.29 $0.00 65.5% 18.8% 6.4% 37.3% 0.0% 32.6% -21.7% 7.2K -174.9K -999 0.00 195.15 0 0 76 12 2014-06-04 $43.13 $0.00 67.6% 19.4% 6.6% 38.6% 0.0% 31.6% -23.6% 7.2K -170.6K -999 0.00 195.63 0 0 76 12 2014-06-05 $43.63 $0.00 61.5% 17.6% 7.3% 34.7% 0.0% 37.9% -12.4% 7.3K -184.1K -987 0.00 193.89 0 0 76 12 2014-06-06 $43.89 $0.00 63.4% 11.9% 7.2% 36.0% 0.0% 11.4% -19.1% 7.3K -191.2K -980 0.00 154.01 0 0 76 12 2014-06-09 $43.82 $0.00 71.0% 12.4% 6.9% 40.8% 0.0% 11.6% -20.6% 5.1K -130.6K -781 0.00 153.25 0 0 56 12 2014-06-10 $43.80 $0.00 74.1% 12.5% 6.8% 42.8% 0.0% 11.7% -21.1% 5.1K -130.2K -778 0.00 153.44 0 0 56 12 2014-06-11 $43.46 $0.00 87.7% 12.9% 7.6% 51.4% 0.0% 10.7% -20.7% 5.2K -123.3K -780 0.00 155.12 0 0 56 12 2014-06-12 $43.50 $0.00 45.8% 13.1% 7.5% 24.7% 0.0% 10.9% -21.1% 5.2K -124.1K -778 0.00 155.25 0 0 56 12 2014-06-13 $43.64 $0.00 45.6% 13.1% 7.3% 24.6% 0.0% 11.5% -23.1% 5.2K -127.0K -774 0.00 155.18 0 0 56 12 2014-06-16 $44.05 $0.00 47.5% 13.6% 7.8% 25.8% 0.0% 13.5% -24.0% 5.2K -135.4K -763 0.00 152.88 0 0 56 12 2014-06-17 $44.14 $0.00 48.3% 13.8% 7.8% 26.3% 0.0% 13.9% -24.5% 5.0K -116.4K -611 0.00 152.37 0 0 46 12 2014-06-18 $44.55 $0.00 48.1% 13.8% 7.8% 26.2% 0.0% 15.7% -26.1% 1.8K -56.9K -437 0.00 152.37 0 0 26 12 2014-06-19 $44.57 $0.00 48.9% 14.0% 7.8% 26.7% 0.0% 16.2% -26.9% -1.2K 15.6K -106 0.00 150.08 0 0 0 12 2014-06-20 $44.54 $0.00 49.8% 14.3% 7.8% 27.3% 0.0% 12.1% -27.8% -1.2K 15.8K -105 0.00 153.02 0 0 0 12 2014-06-23 $44.43 $0.00 53.5% 15.3% 8.0% 29.6% 0.0% 12.4% -16.5% -1.2K 15.9K -104 0.00 153.02 1 0 0 12 2014-06-24 $43.76 $0.00 54.7% 15.7% 9.8% 30.4% 0.0% 11.9% -17.5% -1.1K 12.9K -115 0.00 155.17 0 0 1 12 2014-06-25 $43.92 $0.00 55.8% 16.0% 9.9% 31.1% 0.0% 12.6% -18.0% -1.1K 12.3K -114 0.00 157.59 0 0 1 12 2014-06-26 $44.13 $0.00 56.8% 16.3% 9.8% 31.7% 0.0% 13.9% -18.4% -1.1K 12.5K -113 0.00 154.54 0 0 1 12 2014-06-27 $44.23 $0.00 58.0% 16.6% 9.8% 32.5% 0.0% 14.5% -17.5% -1.1K 11.5K -108 0.00 155.11 0 0 1 12 2014-06-30 $44.33 $0.00 6.3% 1.8% 9.8% 0.0% 0.0% 1.0% 2.6% -1.4K 1.3K -59 0.00 142.46 0 0 1 12
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