IGF Options History — December 2014

In December 2014, IGF traded between $41.20 and $43.53. ATM implied volatility averaged 17.1%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 5.6% (HV 20d: 11.6%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.35.

Notable Days

2014-12-15: Highest Volume — 69 contracts
2014-12-18: Largest IV spike — 60.5% change
2014-12-10: Highest IV Rank — 15.1%
2014-12-15: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.59	$41.20	$43.53	$43.11	$42.15
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	17.1%	7.8%	29.8%	19.1%	16.9%
Expected Move	6.9%	3.2%	9.4%	8.3%	4.0%
HV 20d	11.6%	8.0%	15.2%	9.5%	15.2%
HV 60d	14.2%	13.6%	15.0%	13.8%	15.0%
IV Rank	7.1%	1.2%	15.1%	8.3%	6.9%
IV Percentile	59.4%	9.5%	70.2%	68.3%	63.5%
Term Structure	6.3%	-10.1%	19.2%	-8.2%	-3.9%
VWIV	27.6%	22.6%	31.1%	31.1%	26.0%
Skew 25d	3.9%	-0.4%	9.4%	1.6%	0.9%
Skew 10d	3.8%	-0.1%	14.5%	3.9%	0.9%
Call IV 25d	12.5%	7.6%	17.8%	14.4%	17.8%
Put IV 25d	16.4%	12.6%	21.0%	16.0%	18.7%
Bid-Ask Spread %	142.28	114.58	185.22	144.26	131.13
Gamma HHI	0.40	0.29	0.57	0.33	0.29
Net GEX	-4.6K	-13.1K	-2.9K	-2.9K	-3.7K
Net DEX	73.3K	54.4K	114.0K	54.4K	64.5K
Net VEX	-295	-328	-254	-313	-269
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	1.15	1.56	1.15	1.19
Total Volume	51.955	0	69	58	0
Total OI	36.5	32	43	32	32

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
2014-12-01	$43.11	$44.00	19.1%	8.3%	9.5%	8.3%	31.1%	1.6%	-8.2%	-2.9K	54.4K	-313	1.15	144.26	27	31	1	31
2014-12-02	$43.20	$44.00	20.3%	8.4%	9.1%	9.1%	29.9%	7.4%	-7.8%	-2.9K	57.9K	-314	1.15	144.90	27	31	1	31
2014-12-03	$43.40	$44.00	21.8%	8.3%	9.1%	10.0%	28.9%	1.8%	-10.1%	-2.9K	58.5K	-308	1.15	141.73	27	31	1	31
2014-12-04	$43.53	$44.00	16.6%	6.8%	8.8%	6.8%	0.0%	-0.4%	-7.2%	-3.6K	55.9K	-307	0.00	185.22	0	0	1	31
2014-12-05	$43.35	$44.00	20.8%	8.3%	8.0%	9.4%	28.6%	5.0%	19.2%	-2.9K	58.0K	-307	1.15	152.44	27	31	1	31
2014-12-08	$42.86	$44.00	22.6%	8.0%	8.9%	10.5%	26.4%	5.7%	16.7%	-3.0K	59.5K	-304	1.52	145.32	27	41	1	31
2014-12-09	$42.73	$44.00	21.1%	8.5%	8.9%	9.6%	28.2%	4.9%	18.5%	-7.1K	90.7K	-328	1.52	153.76	27	41	1	41
2014-12-10	$42.15	$44.00	29.8%	8.8%	9.7%	15.1%	27.7%	3.7%	17.1%	-5.4K	89.2K	-324	1.52	151.44	27	41	1	41
2014-12-11	$42.21	$44.00	13.3%	8.5%	9.1%	4.6%	27.7%	8.3%	15.5%	-6.6K	91.5K	-320	1.52	150.06	27	41	1	41
2014-12-12	$41.83	$44.00	12.5%	8.9%	9.4%	4.2%	28.2%	5.4%	15.9%	-6.6K	94.6K	-314	1.52	146.05	27	41	1	41
2014-12-15	$41.20	$44.00	15.0%	9.4%	10.6%	5.7%	26.9%	0.6%	15.6%	-4.6K	100.9K	-295	1.56	144.02	27	42	1	41
2014-12-16	$41.50	$44.00	15.7%	8.7%	11.0%	6.1%	22.6%	9.4%	17.7%	-5.8K	114.0K	-278	1.56	145.22	27	42	1	42
2014-12-17	$42.09	$44.00	13.6%	9.2%	12.1%	4.8%	26.0%	8.4%	18.1%	-6.3K	93.5K	-303	1.56	144.71	27	42	1	42
2014-12-18	$42.84	$44.00	21.8%	8.2%	13.8%	10.0%	26.0%	7.0%	18.8%	-5.2K	85.7K	-304	1.56	150.20	27	42	1	42
2014-12-19	$42.31	$44.00	12.7%	7.0%	14.4%	4.3%	0.0%	4.5%	13.7%	-13.1K	102.1K	-254	0.00	156.44	0	0	1	42
2014-12-22	$42.47	$0.00	15.0%	3.4%	14.3%	5.7%	0.0%	2.3%	-4.1%	-2.9K	56.1K	-281	1.19	114.58	27	32	1	32
2014-12-23	$42.53	$0.00	7.8%	3.7%	14.3%	1.2%	0.0%	5.1%	4.9%	-3.3K	56.3K	-278	1.19	119.29	27	32	1	32
2014-12-24	$42.85	$0.00	12.6%	3.2%	14.6%	4.2%	0.0%	1.4%	-2.8%	-3.0K	55.8K	-279	1.19	129.75	27	32	1	32
2014-12-26	$43.08	$0.00	15.7%	3.5%	14.5%	6.1%	0.0%	0.9%	-2.5%	-3.1K	54.9K	-276	1.19	123.65	27	32	1	32
2014-12-29	$43.09	$0.00	15.3%	3.7%	14.2%	5.9%	0.0%	1.5%	-2.5%	-3.3K	56.4K	-271	1.19	120.88	27	32	1	32
2014-12-30	$42.49	$0.00	16.8%	4.0%	15.0%	6.9%	0.0%	1.5%	-3.3%	-3.7K	62.1K	-273	0.00	135.12	0	0	0	32
2014-12-31	$42.15	$0.00	16.9%	4.0%	15.2%	6.9%	0.0%	0.9%	-3.9%	-3.7K	64.5K	-269	0.00	131.13	0	0	0	32