IGF Options History — January 2015

Name: IGF Options Analytics - January 2015
Creator: Options Analysis Suite

In January 2015, IGF traded between $40.98 and $43.00. ATM implied volatility averaged 17.2%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 1.8% (HV 20d: 15.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.19.

Notable Days

2015-01-02: Highest Volume — 59 contracts
2015-01-30: Largest IV spike — 60.9% change
2015-01-13: Highest IV Rank — 13.4%
2015-01-30: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.07	$40.98	$43.00	$42.27	$42.29
ATM IV	17.2%	10.8%	27.2%	19.3%	18.5%
Expected Move	4.3%	3.1%	5.3%	4.3%	5.3%
HV 20d	15.4%	13.8%	17.6%	15.1%	14.5%
HV 60d	13.4%	12.8%	15.0%	14.6%	13.0%
IV Rank	7.1%	3.1%	13.4%	8.4%	7.9%
IV Percentile	56.3%	23.4%	69.8%	65.9%	61.5%
Term Structure	5.7%	-6.8%	20.6%	-4.1%	-1.3%
Skew 25d	4.3%	1.0%	9.3%	1.0%	2.0%
Skew 10d	5.1%	0.5%	8.5%	2.3%	5.6%
Call IV 25d	13.8%	10.2%	18.6%	18.6%	17.7%
Put IV 25d	18.1%	14.8%	21.8%	19.6%	19.7%
Bid-Ask Spread %	131.93	94.36	154.34	121.82	149.44
Gamma HHI	0.32	0.26	0.34	0.33	0.33
Net GEX	-5.2K	-8.3K	-2.9K	-2.9K	-7.1K
Net DEX	66.4K	58.2K	75.6K	60.6K	74.0K
Net VEX	-238	-268	-211	-268	-219
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.19	1.19	1.19	1.19	1.19
Total Volume	28.35	0	59	59	31
Total OI	31.65	30	33	33	31

Daily Data (20 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
2015-01-02	$42.27	$0.00	19.3%	4.3%	15.1%	8.4%	0.0%	1.0%	-4.1%	-2.9K	60.6K	-268	1.19	121.82	27	32	1	32
2015-01-05	$41.28	$0.00	20.5%	4.7%	17.0%	9.2%	0.0%	4.1%	11.6%	-3.6K	70.3K	-257	0.00	124.81	0	0	0	32
2015-01-06	$40.98	$0.00	19.4%	4.9%	17.0%	8.5%	0.0%	4.3%	10.6%	-3.9K	73.7K	-249	0.00	117.38	0	0	0	32
2015-01-07	$41.34	$0.00	20.5%	4.6%	17.2%	9.2%	0.0%	2.2%	10.2%	-3.7K	70.3K	-255	0.00	132.11	0	0	0	32
2015-01-08	$41.71	$0.00	19.4%	4.0%	17.6%	8.5%	0.0%	8.0%	13.6%	-3.0K	59.6K	-260	1.19	125.42	27	32	1	32
2015-01-09	$41.61	$0.00	20.0%	3.1%	17.0%	8.9%	0.0%	6.1%	20.6%	-3.4K	66.6K	-253	1.19	125.98	27	32	1	32
2015-01-12	$41.34	$0.00	20.2%	4.7%	17.1%	9.0%	0.0%	5.9%	-6.8%	-4.7K	75.6K	-226	1.19	94.36	27	32	1	32
2015-01-13	$41.40	$0.00	27.2%	4.6%	16.8%	13.4%	0.0%	9.3%	11.0%	-3.0K	65.3K	-248	1.19	120.22	27	32	1	32
2015-01-14	$41.58	$0.00	15.3%	4.4%	16.0%	5.9%	0.0%	8.3%	19.8%	-2.9K	62.1K	-249	1.19	117.02	27	32	1	32
2015-01-15	$41.74	$0.00	15.9%	4.6%	15.8%	6.3%	0.0%	3.8%	17.1%	-3.0K	58.2K	-249	1.19	126.08	27	32	1	32
2015-01-16	$42.25	$0.00	16.2%	4.6%	15.6%	6.4%	0.0%	4.8%	13.0%	-3.4K	63.2K	-249	0.00	131.60	0	0	0	32
2015-01-20	$42.35	$0.00	14.7%	4.2%	14.2%	5.5%	0.0%	3.2%	1.4%	-6.8K	71.8K	-220	0.00	148.28	0	0	0	30
2015-01-21	$42.70	$0.00	15.0%	4.3%	13.8%	5.7%	0.0%	3.3%	0.8%	-6.9K	66.0K	-223	0.00	144.01	0	0	0	30
2015-01-22	$42.77	$0.00	14.6%	4.2%	13.8%	5.4%	0.0%	3.4%	-3.0%	-7.3K	65.0K	-227	0.00	141.21	0	30	0	30
2015-01-23	$42.51	$0.00	15.0%	4.3%	14.0%	5.7%	0.0%	2.3%	-3.9%	-7.1K	65.8K	-227	0.00	139.04	0	30	0	30
2015-01-26	$42.89	$0.00	10.8%	3.1%	14.1%	3.1%	0.0%	2.9%	5.3%	-7.8K	60.8K	-211	0.00	151.18	0	1	0	30
2015-01-27	$43.00	$0.00	14.2%	4.1%	14.0%	5.2%	0.0%	2.3%	-1.5%	-7.8K	60.7K	-226	0.00	154.34	0	0	0	31
2015-01-28	$42.52	$0.00	16.1%	4.6%	14.5%	6.4%	0.0%	2.9%	-2.9%	-7.7K	70.9K	-223	0.00	145.72	0	31	0	31
2015-01-29	$42.87	$0.00	11.5%	3.3%	13.9%	3.5%	0.0%	5.6%	2.5%	-8.3K	68.6K	-220	0.00	128.52	0	31	0	31
2015-01-30	$42.29	$0.00	18.5%	5.3%	14.5%	7.9%	0.0%	2.0%	-1.3%	-7.1K	74.0K	-219	0.00	149.44	0	31	0	31