IGF Options History — October 2014

In October 2014, IGF traded between $40.45 and $43.31. ATM implied volatility averaged 14.9%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 1.1% (HV 20d: 16.0%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 11 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2014-10-08: Highest Volume — 117 contracts
2014-10-21: Largest IV drop — 22.2% change
2014-10-15: Highest IV Rank — 10.0%
2014-10-22: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.76	$40.45	$43.31	$42.16	$43.31
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	14.9%	11.9%	21.7%	12.7%	12.5%
Expected Move	6.7%	5.8%	8.0%	5.8%	7.1%
HV 20d	16.0%	10.0%	19.2%	10.9%	19.2%
HV 60d	12.7%	10.6%	13.8%	10.6%	13.5%
IV Rank	5.7%	3.8%	10.0%	4.3%	4.1%
IV Percentile	61.9%	50.0%	69.8%	58.3%	54.4%
Term Structure	0.4%	-2.0%	1.8%	0.8%	0.9%
VWIV	23.3%	21.1%	26.3%	21.1%	24.0%
Skew 25d	4.0%	0.6%	7.9%	3.1%	1.9%
Skew 10d	5.5%	2.5%	11.2%	3.5%	2.5%
Call IV 25d	11.8%	9.7%	15.5%	10.9%	10.3%
Put IV 25d	15.8%	11.5%	22.1%	13.9%	12.2%
Bid-Ask Spread %	160.81	134.44	181.92	176.72	152.84
Gamma HHI	0.48	0.27	0.81	0.39	0.44
Net GEX	-1.5K	-17.9K	8.9K	-3.5K	2.1K
Net DEX	48.3K	-49.4K	109.7K	51.2K	9.1K
Net VEX	-393	-525	-276	-298	-439
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.58	0.91	0.58	0.91
Total Volume	40	0	117	0	63
Total OI	59.391	32	102	55	47

Daily Data (23 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
2014-10-01	$42.16	$44.00	12.7%	5.8%	10.9%	4.3%	0.0%	3.1%	0.8%	-3.5K	51.2K	-298	0.00	176.72	0	0	22	33
2014-10-02	$42.02	$44.00	13.8%	5.8%	10.9%	5.0%	0.0%	1.3%	-0.6%	-4.7K	55.4K	-299	0.00	175.96	0	1	22	33
2014-10-03	$42.00	$44.00	12.8%	5.9%	10.0%	4.4%	0.0%	1.7%	0.4%	-4.4K	52.6K	-288	0.00	174.47	0	0	22	32
2014-10-06	$42.26	$44.00	12.6%	5.9%	10.2%	4.2%	0.0%	5.3%	0.9%	-2.1K	47.5K	-287	0.00	180.00	0	0	22	32
2014-10-07	$41.62	$44.00	13.1%	5.9%	11.0%	4.5%	21.1%	2.9%	0.5%	-6.6K	60.9K	-276	0.00	175.31	0	10	22	32
2014-10-08	$42.32	$44.00	14.4%	7.5%	13.0%	5.4%	21.8%	5.1%	0.9%	8.9K	-49.4K	-523	0.58	147.13	74	43	59	43
2014-10-09	$41.03	$44.00	16.4%	6.1%	16.6%	6.6%	0.0%	3.2%	0.0%	-9.9K	93.0K	-378	0.00	171.55	0	0	22	42
2014-10-10	$41.08	$44.00	18.2%	6.8%	16.4%	7.7%	22.6%	6.6%	-0.5%	5.2K	20.4K	-525	0.58	150.03	74	43	59	43
2014-10-13	$40.54	$44.00	19.1%	6.2%	16.8%	8.3%	0.0%	4.4%	-1.3%	-9.8K	105.4K	-356	0.00	169.69	0	0	22	42
2014-10-14	$40.93	$44.00	19.3%	7.6%	16.8%	8.4%	24.0%	5.2%	-0.5%	4.0K	44.0K	-470	0.58	137.75	74	43	59	43
2014-10-15	$40.51	$44.00	21.7%	6.7%	17.0%	10.0%	23.1%	5.0%	-2.0%	3.1K	67.5K	-449	0.58	146.04	74	43	59	43
2014-10-16	$40.45	$44.00	20.2%	6.3%	16.8%	9.0%	0.0%	7.5%	-0.8%	-10.5K	109.7K	-343	0.00	168.08	0	0	22	42
2014-10-17	$41.08	$44.00	16.2%	6.2%	18.1%	6.5%	0.0%	7.6%	-0.4%	-17.9K	91.5K	-349	0.00	174.66	0	0	22	42
2014-10-20	$41.38	$44.00	16.4%	5.9%	18.2%	6.6%	0.0%	7.9%	0.4%	-2.7K	69.3K	-337	0.00	176.06	0	0	2	30
2014-10-21	$41.78	$44.00	12.8%	8.0%	18.4%	4.3%	22.8%	6.2%	1.5%	336	48.9K	-425	0.91	136.45	33	30	12	30
2014-10-22	$41.65	$44.00	13.5%	8.0%	18.4%	4.8%	22.2%	0.9%	1.0%	2.4K	39.4K	-450	0.91	137.48	33	30	17	30
2014-10-23	$41.98	$44.00	12.9%	6.2%	18.1%	4.4%	22.8%	4.3%	1.5%	2.6K	29.2K	-456	0.91	173.01	33	30	17	30
2014-10-24	$42.26	$44.00	13.0%	7.9%	18.0%	4.4%	26.3%	4.3%	1.6%	2.9K	26.6K	-460	0.91	134.44	33	30	17	30
2014-10-27	$42.16	$44.00	13.8%	6.3%	18.0%	5.0%	0.0%	2.3%	0.5%	-171	52.0K	-369	0.00	178.97	0	0	7	30
2014-10-28	$42.74	$44.00	12.2%	6.1%	18.7%	3.9%	0.0%	0.6%	0.7%	-325	44.7K	-372	0.00	181.92	0	0	7	30
2014-10-29	$42.45	$44.00	13.6%	7.7%	18.7%	4.8%	23.9%	1.5%	1.8%	2.9K	22.9K	-449	0.91	139.77	33	30	17	30
2014-10-30	$42.87	$44.00	11.9%	7.9%	18.9%	3.8%	25.5%	4.0%	1.4%	2.8K	19.4K	-445	0.91	140.37	33	30	17	30
2014-10-31	$43.31	$44.00	12.5%	7.1%	19.2%	4.1%	24.0%	1.9%	0.9%	2.1K	9.1K	-439	0.91	152.84	33	30	17	30