IGF Options History — August 2014 In August 2014, IGF traded between $41.87 and $44.28. ATM implied volatility averaged 8.9%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 3.1% (HV 20d: 12.0%). Max pain ranged from $43.00 to $47.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-08-22 : Highest Volume — 240 contracts2014-08-19 : Largest IV drop — 23.6% change2014-08-06 : Highest IV Rank — 4.1%2014-08-28 : Largest Expected Move — 3.9%Monthly Statistics Metric Avg Min Max Open Close Price $43.28 $41.87 $44.28 $42.87 $44.28 Max Pain $43.80 $43.00 $47.00 $47.00 $43.00 ATM IV 8.9% 6.4% 12.4% 10.6% 6.6% Expected Move 3.3% 2.8% 3.9% 3.0% 3.8% HV 20d 12.0% 9.4% 13.3% 10.8% 9.4% HV 60d 9.9% 9.1% 10.1% 9.1% 9.8% IV Rank 1.9% 0.3% 4.1% 2.9% 0.4% IV Percentile 17.2% 1.2% 46.2% 29.2% 2.4% Term Structure 1.8% -0.4% 5.0% 0.1% 4.5% VWIV 10.1% 10.1% 10.1% 10.1% 10.1% Skew 25d 2.4% 0.1% 5.7% 1.5% 2.6% Skew 10d 2.4% -0.5% 5.3% 1.7% 4.3% Call IV 25d 7.7% 6.1% 9.5% 9.1% 8.5% Put IV 25d 10.1% 6.7% 13.4% 10.6% 11.1% Bid-Ask Spread % 105.26 60.49 148.12 148.12 62.44 Gamma HHI 0.83 0.59 0.98 0.63 0.59 Net GEX 77.3K -2.2K 148.5K -1.8K 3.7K Net DEX -460.9K -864.2K 3.3K -6.6K -780.6K Net VEX -555 -1.3K -50 -99 -50 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 26.095 0 240 0 0 Total OI 156.81 19 242 19 191
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 2014-08-01 $42.87 $47.00 10.6% 3.0% 10.8% 2.9% 0.0% 1.5% 0.1% -1.8K -6.6K -99 0.00 148.12 0 0 6 13 2014-08-04 $42.98 $0.00 9.9% 2.9% 10.7% 2.5% 0.0% 5.5% 0.8% -2.0K -7.2K -95 0.00 108.38 0 0 6 13 2014-08-05 $42.29 $0.00 11.9% 3.3% 12.0% 3.8% 0.0% 2.5% 0.1% -2.1K -1.6K -111 0.00 128.61 0 0 6 13 2014-08-06 $42.12 $0.00 12.4% 3.5% 11.9% 4.1% 0.0% 4.0% -0.4% -2.0K 876 -118 0.00 114.15 0 0 6 13 2014-08-07 $41.87 $0.00 11.3% 3.2% 12.0% 3.4% 0.0% 5.7% 0.4% -2.2K 3.3K -121 0.00 118.88 0 0 6 13 2014-08-08 $42.32 $0.00 11.8% 3.3% 12.8% 3.7% 0.0% 3.7% 0.3% -2.0K -1.7K -109 0.00 122.97 0 0 6 13 2014-08-11 $42.67 $0.00 10.1% 2.9% 13.2% 2.6% 10.1% 2.5% 0.9% -1.9K -5.9K -93 0.00 127.26 223 0 6 13 2014-08-12 $42.83 $43.00 9.6% 2.9% 13.3% 2.3% 0.0% 3.1% 0.7% 111.3K -438.9K -1.3K 0.00 125.47 0 0 229 13 2014-08-13 $43.00 $43.00 9.6% 2.8% 12.9% 2.3% 0.0% 3.3% 0.6% 123.1K -480.5K -1.3K 0.00 131.90 0 0 229 13 2014-08-14 $43.22 $43.00 9.7% 2.8% 12.7% 2.3% 0.0% 1.6% 0.7% 124.1K -553.3K -1.3K 0.00 133.54 0 0 229 13 2014-08-15 $43.42 $43.00 9.6% 2.8% 12.3% 2.3% 0.0% 2.9% 0.7% 121.3K -621.4K -1.2K 0.00 124.16 0 0 229 13 2014-08-18 $43.50 $0.00 8.9% 3.6% 12.4% 1.8% 0.0% 2.7% 1.5% 133.4K -666.6K -1.1K 0.00 113.19 0 0 229 12 2014-08-19 $43.71 $0.00 6.8% 3.3% 12.4% 0.5% 0.0% 2.5% 1.6% 130.5K -749.5K -962 0.00 114.00 0 0 229 12 2014-08-20 $43.81 $0.00 6.5% 3.3% 12.4% 0.3% 0.0% 0.2% 1.9% 148.0K -817.4K -775 0.00 114.44 2 0 229 12 2014-08-21 $43.91 $0.00 6.4% 3.3% 12.3% 0.3% 0.0% 0.1% 1.8% 142.0K -864.2K -574 0.00 114.82 0 0 227 12 2014-08-22 $43.74 $0.00 7.5% 3.8% 12.0% 1.0% 0.0% 3.1% 3.6% 124.6K -723.6K -940 0.00 62.28 240 0 227 12 2014-08-25 $44.02 $0.00 7.6% 3.8% 12.2% 1.0% 0.0% 0.1% 3.1% 148.5K -793.0K -329 0.00 61.08 0 0 197 12 2014-08-26 $43.90 $0.00 7.6% 3.7% 12.1% 1.0% 0.0% 1.7% 4.6% 91.3K -682.3K -700 0.00 62.89 83 0 197 12 2014-08-27 $44.16 $0.00 6.5% 3.7% 12.0% 0.3% 0.0% 0.7% 4.8% 127.1K -728.9K -211 0.00 60.49 0 0 179 12 2014-08-28 $44.20 $0.00 6.6% 3.9% 9.9% 0.4% 0.0% 0.4% 5.0% 108.8K -758.6K -145 0.00 61.31 0 0 179 12 2014-08-29 $44.28 $0.00 6.6% 3.8% 9.4% 0.4% 0.0% 2.6% 4.5% 3.7K -780.6K -50 0.00 62.44 0 0 179 12
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