IGF Options History — September 2014 In September 2014, IGF traded between $42.23 and $44.86. ATM implied volatility averaged 10.5%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 1.7% (HV 20d: 8.9%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2014-09-16 : Highest Volume — 22 contracts2014-09-03 : Largest IV spike — 49.3% change2014-09-29 : Highest IV Rank — 4.3%2014-09-30 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $43.49 $42.23 $44.86 $44.31 $42.43 Max Pain $44.00 $44.00 $44.00 $44.00 $44.00 ATM IV 10.5% 6.8% 12.7% 6.8% 10.1% Expected Move 3.9% 3.5% 5.8% 3.8% 5.8% HV 20d 8.9% 5.8% 11.1% 9.4% 11.1% HV 60d 10.1% 9.7% 10.6% 9.7% 10.5% IV Rank 2.9% 0.5% 4.3% 0.5% 2.6% IV Percentile 34.7% 4.0% 57.5% 4.0% 31.7% Term Structure 1.8% 0.1% 6.5% 6.5% 2.5% VWIV 13.6% 13.3% 13.9% 13.3% 13.9% Skew 25d 2.7% 0.7% 6.2% 2.5% 1.4% Skew 10d 3.0% 1.6% 5.6% 2.1% 3.6% Call IV 25d 9.2% 6.6% 10.5% 8.4% 10.5% Put IV 25d 11.9% 9.4% 14.7% 10.9% 11.9% Bid-Ask Spread % 77.67 59.95 176.66 59.95 176.66 Gamma HHI 0.61 0.37 0.87 0.86 0.40 Net GEX 67.5K -3.6K 163.8K 58.6K -614 Net DEX -397.3K -810.1K 58.8K -702.3K 45.5K Net VEX -446 -733 -276 -329 -310 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 3.381 0 22 0 1 Total OI 165.476 54 243 191 54
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 2014-09-02 $44.31 $0.00 6.8% 3.8% 9.4% 0.5% 0.0% 2.5% 6.5% 58.6K -702.3K -329 0.00 59.95 0 0 179 12 2014-09-03 $44.49 $0.00 10.2% 3.8% 6.7% 2.7% 0.0% 1.6% 0.9% 51.2K -712.4K -327 0.00 62.29 20 0 179 12 2014-09-04 $44.47 $0.00 10.2% 3.8% 6.3% 2.6% 13.3% 1.6% 1.2% 65.2K -766.3K -379 0.00 64.16 0 10 199 12 2014-09-05 $44.86 $44.00 8.9% 3.6% 5.8% 1.8% 0.0% 4.6% 3.0% 41.2K -810.1K -365 0.00 62.97 0 0 199 22 2014-09-08 $44.38 $44.00 11.5% 3.9% 7.1% 3.5% 0.0% 4.0% 1.3% 66.8K -717.7K -494 0.00 64.64 0 0 195 22 2014-09-09 $44.06 $44.00 11.0% 3.8% 7.5% 3.2% 0.0% 2.8% 1.0% 103.4K -693.4K -472 0.00 65.30 0 0 195 22 2014-09-10 $43.95 $44.00 11.6% 3.7% 7.6% 3.6% 13.9% 3.9% 2.7% 92.5K -634.3K -552 0.00 67.62 0 10 195 22 2014-09-11 $43.92 $44.00 11.8% 3.8% 7.6% 3.7% 0.0% 6.2% 0.7% 93.9K -608.2K -677 0.00 66.62 1 0 195 32 2014-09-12 $43.43 $44.00 12.7% 4.0% 8.6% 4.2% 0.0% 4.4% 1.4% 119.9K -475.8K -733 0.00 67.44 0 0 195 32 2014-09-15 $43.25 $44.00 12.6% 3.9% 8.5% 4.2% 0.0% 4.6% 1.1% 134.1K -422.3K -654 0.00 72.28 5 0 195 32 2014-09-16 $43.67 $44.00 10.7% 3.7% 9.2% 3.0% 0.0% 2.2% 2.0% 118.3K -541.9K -549 0.00 68.28 22 0 190 32 2014-09-17 $43.39 $44.00 11.3% 3.9% 9.3% 3.4% 0.0% 3.3% 2.3% 153.3K -487.0K -628 0.00 74.01 0 0 211 32 2014-09-18 $43.54 $44.00 9.7% 3.5% 9.4% 2.4% 0.0% 0.7% 2.3% 155.6K -554.6K -548 0.00 74.87 0 0 211 32 2014-09-19 $43.50 $44.00 9.9% 3.7% 9.3% 2.5% 0.0% 2.8% 2.7% 163.8K -547.2K -492 0.00 76.63 0 0 211 32 2014-09-22 $43.06 $44.00 10.3% 3.7% 9.9% 2.8% 0.0% 1.0% 0.4% 4.8K 32.9K -337 0.00 80.94 0 0 22 32 2014-09-23 $42.64 $44.00 9.1% 3.6% 10.0% 2.0% 0.0% 1.1% 2.0% 758 45.6K -318 0.00 83.91 2 0 22 32 2014-09-24 $42.79 $44.00 8.5% 3.6% 10.1% 1.6% 0.0% 1.3% 1.8% 1.9K 41.9K -325 0.00 83.87 0 0 22 32 2014-09-25 $42.23 $44.00 12.2% 3.9% 10.6% 3.9% 0.0% 2.5% 0.1% -3.6K 58.8K -282 0.00 87.71 0 0 22 32 2014-09-26 $42.53 $44.00 9.6% 3.7% 11.1% 2.3% 0.0% 1.6% 1.1% -453 49.8K -309 0.00 84.25 0 0 22 32 2014-09-29 $42.35 $44.00 12.7% 4.0% 11.0% 4.3% 0.0% 2.8% 0.7% -3.4K 56.2K -276 0.00 86.61 0 0 22 32 2014-09-30 $42.43 $44.00 10.1% 5.8% 11.1% 2.6% 0.0% 1.4% 2.5% -614 45.5K -310 0.00 176.66 0 1 22 32
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