IGF Options History — November 2014

In November 2014, IGF traded between $42.63 and $43.59. ATM implied volatility averaged 16.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 3.4% (HV 20d: 13.0%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.94.

Notable Days

2014-11-12: Highest Volume — 64 contracts
2014-11-07: Largest IV spike — 500.7% change
2014-11-07: Highest IV Rank — 42.6%
2014-11-10: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.05	$42.63	$43.59	$42.95	$43.25
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	16.4%	11.3%	73.2%	12.4%	15.5%
Expected Move	7.3%	6.2%	8.1%	7.0%	6.4%
HV 20d	13.0%	10.1%	19.4%	19.4%	10.1%
HV 60d	13.7%	13.4%	13.9%	13.5%	13.9%
IV Rank	6.6%	3.4%	42.6%	4.1%	6.0%
IV Percentile	56.6%	41.3%	95.6%	53.6%	64.3%
Term Structure	-2.5%	-9.4%	0.9%	0.1%	-6.8%
VWIV	26.4%	23.7%	29.8%	23.8%	23.7%
Skew 25d	3.3%	-0.5%	8.7%	1.2%	2.1%
Skew 10d	3.6%	-0.8%	8.7%	2.9%	7.4%
Call IV 25d	13.3%	8.6%	51.6%	11.0%	13.3%
Put IV 25d	16.6%	11.8%	60.3%	12.2%	15.4%
Bid-Ask Spread %	154.04	122.60	185.35	146.13	175.77
Gamma HHI	0.43	0.26	0.58	0.46	0.33
Net GEX	652	-3.9K	3.9K	2.5K	-3.9K
Net DEX	29.8K	9.4K	58.6K	16.4K	58.6K
Net VEX	-381	-436	-316	-436	-316
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.91	1.15	0.91	1.15
Total Volume	46.474	0	64	63	0
Total OI	41.842	32	48	47	32

Daily Data (19 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
2014-11-03	$42.95	$44.00	12.4%	7.0%	19.4%	4.1%	23.8%	1.2%	0.1%	2.5K	16.4K	-436	0.91	146.13	33	30	17	30
2014-11-04	$42.86	$44.00	12.5%	7.6%	18.5%	4.1%	28.0%	1.1%	0.9%	2.8K	14.1K	-436	0.91	140.47	33	30	17	30
2014-11-05	$43.20	$44.00	14.2%	7.5%	17.8%	5.2%	24.1%	2.4%	0.1%	2.4K	12.8K	-430	0.91	144.41	33	30	17	30
2014-11-06	$42.75	$44.00	12.2%	7.7%	14.0%	3.9%	25.5%	0.8%	0.4%	3.2K	18.5K	-430	0.91	145.22	33	30	17	30
2014-11-07	$42.98	$44.00	73.2%	7.9%	14.1%	42.6%	25.9%	8.7%	-9.4%	-1.0K	24.2K	-431	0.91	144.91	33	30	17	30
2014-11-10	$43.05	$44.00	11.3%	8.1%	12.8%	3.4%	28.5%	6.6%	-0.3%	3.2K	11.3K	-419	0.91	122.60	33	30	17	30
2014-11-11	$43.33	$44.00	11.5%	7.9%	12.6%	3.5%	26.8%	-0.5%	-1.1%	2.3K	9.4K	-410	0.91	139.58	33	30	17	30
2014-11-12	$42.87	$44.00	11.7%	8.0%	12.7%	3.6%	29.5%	5.7%	-1.6%	3.6K	11.2K	-414	0.94	138.34	33	31	17	30
2014-11-13	$42.63	$44.00	13.7%	7.8%	13.0%	4.9%	26.6%	1.3%	-2.9%	3.9K	21.6K	-418	0.94	138.80	33	31	17	31
2014-11-14	$42.69	$44.00	11.9%	6.5%	12.0%	3.7%	0.0%	2.4%	-1.7%	274	44.5K	-343	0.00	184.10	0	0	7	31
2014-11-17	$42.81	$44.00	12.3%	7.6%	11.9%	4.0%	25.5%	8.6%	0.7%	3.7K	16.8K	-408	0.94	157.33	33	31	17	31
2014-11-18	$43.05	$44.00	14.4%	7.5%	11.6%	5.3%	25.8%	5.4%	-3.7%	3.0K	11.7K	-402	0.94	141.85	33	31	17	31
2014-11-19	$43.11	$44.00	12.8%	6.2%	11.5%	4.3%	0.0%	1.4%	-2.0%	-2.6K	57.1K	-328	0.00	185.35	0	0	2	31
2014-11-20	$43.01	$44.00	13.4%	7.7%	11.3%	4.7%	26.4%	7.5%	-1.5%	-113	36.7K	-332	0.94	145.28	33	31	7	31
2014-11-21	$43.28	$44.00	12.0%	8.1%	11.3%	3.8%	29.8%	4.1%	-1.0%	-1.0K	31.1K	-326	0.94	132.43	33	31	7	31
2014-11-24	$43.18	$44.00	13.9%	6.7%	11.3%	5.0%	0.0%	0.3%	-4.3%	-3.4K	58.5K	-320	0.00	184.97	0	0	1	31
2014-11-25	$43.28	$44.00	18.2%	6.3%	10.3%	7.7%	23.7%	2.6%	-7.6%	-2.8K	55.7K	-320	1.15	174.57	27	31	1	31
2014-11-26	$43.59	$44.00	14.5%	6.6%	10.2%	5.4%	0.0%	0.6%	-6.6%	-3.5K	55.7K	-317	0.00	184.62	0	0	1	31
2014-11-28	$43.25	$44.00	15.5%	6.4%	10.1%	6.0%	0.0%	2.1%	-6.8%	-3.9K	58.6K	-316	0.00	175.77	0	0	1	31