IGF Options History — July 2014 In July 2014, IGF traded between $43.18 and $44.67. ATM implied volatility averaged 7.8%, placing in the 1.1% IV rank vs the trailing year. The 30-day expected move averaged 2.3%. IV traded below realized volatility by 1.0% (HV 20d: 8.7%). Max pain ranged from $47.00 to $47.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-31 : Highest Volume — 5 contracts2014-07-10 : Largest IV spike — 37.1% change2014-07-31 : Highest IV Rank — 3.0%2014-07-31 : Largest Expected Move — 3.1%Monthly Statistics Metric Avg Min Max Open Close Price $44.08 $43.18 $44.67 $44.46 $43.18 Max Pain $47.00 $47.00 $47.00 $47.00 $47.00 ATM IV 7.8% 6.0% 10.8% 6.9% 10.8% Expected Move 2.3% 1.8% 3.1% 2.0% 3.1% HV 20d 8.7% 7.5% 10.6% 9.6% 10.6% HV 60d 7.8% 7.2% 9.1% 7.8% 9.1% IV Rank 1.1% 0.0% 3.0% 0.4% 3.0% IV Percentile 6.0% 0.0% 30.2% 0.5% 30.2% Term Structure 1.4% -0.3% 3.6% 1.0% -0.3% VWIV 34.2% 34.2% 34.2% 34.2% 34.2% Skew 25d 1.9% 0.6% 3.1% 1.1% 2.0% Skew 10d 1.4% -0.2% 3.1% 1.3% 1.0% Call IV 25d 6.8% 5.5% 8.8% 7.2% 8.8% Put IV 25d 8.7% 6.8% 10.8% 8.2% 10.8% Bid-Ask Spread % 144.10 135.97 160.32 140.22 160.32 Gamma HHI 0.86 0.84 0.90 0.87 0.90 Net GEX -1.5K -2.2K -1.2K -1.4K -2.1K Net DEX 4.2K 246 10.0K 246 10.0K Net VEX -55 -72 -22 -48 -72 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 0.273 0 5 0 5 Total OI 13.545 13 14 13 14
Daily Data (22 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 2014-07-01 $44.46 $0.00 6.9% 2.0% 9.6% 0.4% 0.0% 1.1% 1.0% -1.4K 246 -48 0.00 140.22 0 0 1 12 2014-07-02 $44.37 $0.00 7.0% 2.0% 9.5% 0.4% 0.0% 0.9% 0.8% -1.3K 908 -52 0.00 139.87 0 0 1 12 2014-07-03 $44.26 $0.00 6.3% 1.8% 8.8% 0.0% 0.0% 1.0% 1.1% -1.4K 926 -52 0.00 140.54 0 0 1 12 2014-07-07 $43.97 $0.00 7.4% 2.1% 8.9% 0.7% 0.0% 0.7% 1.9% -1.6K 2.3K -64 0.00 145.25 0 0 1 12 2014-07-08 $43.81 $0.00 6.9% 2.4% 9.0% 0.4% 0.0% 3.1% 1.3% -1.7K 3.8K -70 0.00 135.97 0 0 1 12 2014-07-09 $43.89 $0.00 6.0% 2.2% 9.0% 0.0% 0.0% 2.6% 1.5% -1.7K 3.0K -64 0.00 135.99 0 0 1 12 2014-07-10 $43.71 $0.00 8.2% 2.4% 8.7% 1.4% 0.0% 2.2% 1.3% -2.2K 4.5K -71 0.00 138.02 0 0 1 12 2014-07-11 $43.77 $0.00 7.8% 2.3% 8.7% 1.2% 0.0% 2.5% 1.8% -1.7K 3.8K -70 0.00 139.97 0 0 1 12 2014-07-14 $43.86 $0.00 7.7% 2.2% 8.6% 1.1% 0.0% 0.6% 1.8% -1.7K 2.7K -62 0.00 146.50 0 0 1 12 2014-07-15 $43.80 $0.00 7.4% 2.1% 7.9% 0.9% 34.2% 2.5% 2.1% -1.7K 3.0K -62 0.00 136.12 0 1 1 12 2014-07-16 $44.19 $47.00 7.9% 2.3% 8.6% 1.2% 0.0% 1.8% 1.8% -1.4K 5.5K -49 0.00 145.79 0 0 1 13 2014-07-17 $43.74 $47.00 8.6% 2.5% 8.6% 1.7% 0.0% 2.2% 1.4% -1.8K 8.7K -68 0.00 142.50 0 0 1 13 2014-07-18 $44.13 $47.00 8.1% 2.3% 9.2% 1.4% 0.0% 2.2% 1.4% -1.4K 5.7K -55 0.00 144.00 0 0 1 13 2014-07-21 $44.16 $47.00 8.4% 2.4% 9.3% 1.5% 0.0% 1.7% 1.2% -1.5K 6.2K -54 0.00 141.52 0 0 1 13 2014-07-22 $44.38 $47.00 8.4% 2.4% 9.4% 1.5% 0.0% 2.5% 0.9% -1.3K 5.0K -48 0.00 149.57 0 0 1 13 2014-07-23 $44.45 $47.00 8.4% 2.4% 7.5% 1.5% 0.0% 2.7% 1.1% -1.4K 4.1K -37 0.00 143.51 0 0 1 13 2014-07-24 $44.67 $47.00 6.6% 1.9% 7.6% 0.4% 0.0% 1.5% 2.7% -1.4K 1.9K -22 0.00 155.03 0 0 1 13 2014-07-25 $44.30 $47.00 7.6% 2.2% 8.1% 1.0% 0.0% 1.4% 2.1% -1.3K 5.4K -47 0.00 151.20 0 0 1 13 2014-07-28 $44.46 $47.00 7.9% 2.3% 8.2% 1.2% 0.0% 3.1% 3.6% -1.2K 4.7K -46 0.00 144.94 0 0 1 13 2014-07-29 $44.30 $47.00 8.7% 2.5% 8.2% 1.7% 0.0% 1.9% 0.3% -1.2K 3.9K -36 0.00 148.97 0 0 1 13 2014-07-30 $43.97 $47.00 8.2% 2.4% 8.6% 1.4% 0.0% 1.0% 0.7% -1.5K 6.1K -51 0.00 144.48 0 0 1 13 2014-07-31 $43.18 $47.00 10.8% 3.1% 10.6% 3.0% 0.0% 2.0% -0.3% -2.1K 10.0K -72 0.00 160.32 5 0 1 13
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