IGF Options History — February 2015 In February 2015, IGF traded between $41.68 and $43.11. ATM implied volatility averaged 15.1%, placing in the 5.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.1% (HV 20d: 16.2%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 8 of 19 days.
Notable Days 2015-02-03 : Highest Volume — 31 contracts2015-02-23 : Largest IV spike — 55.1% change2015-02-09 : Highest IV Rank — 9.5%2015-02-23 : Largest Expected Move — 5.1%Monthly Statistics Metric Avg Min Max Open Close Price $42.35 $41.68 $43.11 $42.76 $42.27 ATM IV 15.1% 11.5% 20.9% 15.7% 14.7% Expected Move 4.0% 3.3% 5.1% 4.5% 4.2% HV 20d 16.2% 12.1% 17.7% 15.0% 17.0% HV 60d 14.5% 13.2% 15.1% 13.2% 15.1% IV Rank 5.8% 3.5% 9.5% 6.2% 5.5% IV Percentile 48.8% 25.0% 67.1% 55.6% 49.6% Term Structure -1.1% -5.9% 2.2% -0.9% -3.3% Skew 25d 4.7% -3.6% 9.6% 4.0% 6.3% Skew 10d 5.3% 2.1% 11.4% 7.6% 3.4% Call IV 25d 12.7% 8.6% 16.1% 16.1% 10.7% Put IV 25d 17.4% 11.0% 20.1% 20.1% 17.0% Bid-Ask Spread % 133.76 111.98 153.41 149.95 145.50 Gamma HHI 0.33 0.32 0.34 0.33 0.34 Net GEX -8.5K -10.0K -7.0K -8.0K -9.2K Net DEX 72.4K 59.4K 80.2K 68.4K 79.7K Net VEX -186 -217 -146 -211 -146 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 26.105 0 31 0 31 Total OI 31 31 31 31 31
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 2015-02-02 $42.76 $0.00 15.7% 4.5% 15.0% 6.2% 0.0% 4.0% -0.9% -8.0K 68.4K -211 0.00 149.95 0 0 0 31 2015-02-03 $43.11 $0.00 15.8% 4.5% 12.1% 6.2% 0.0% 5.8% -1.2% -8.1K 62.6K -217 0.00 133.06 0 31 0 31 2015-02-04 $42.48 $0.00 17.5% 5.0% 13.2% 7.3% 0.0% 5.3% -5.4% -7.9K 70.9K -212 0.00 153.41 0 31 0 31 2015-02-05 $42.97 $0.00 17.0% 3.6% 13.4% 7.0% 0.0% 5.2% -0.4% -9.3K 59.4K -195 0.00 111.98 0 31 0 31 2015-02-06 $42.09 $0.00 17.5% 4.1% 15.3% 7.3% 0.0% 3.1% 0.0% -7.5K 73.6K -203 0.00 127.99 0 31 0 31 2015-02-09 $41.68 $0.00 20.9% 4.0% 15.7% 9.5% 0.0% 7.2% -0.3% -7.0K 80.1K -189 0.00 125.49 0 31 0 31 2015-02-10 $42.32 $0.00 20.5% 3.7% 16.4% 9.2% 0.0% 7.7% 0.5% -7.8K 75.7K -199 0.00 120.35 0 31 0 31 2015-02-11 $41.82 $0.00 14.4% 4.1% 17.0% 5.3% 0.0% 3.9% -0.7% -7.6K 78.7K -192 0.00 123.34 0 31 0 31 2015-02-12 $42.43 $0.00 12.6% 3.6% 17.7% 4.2% 0.0% 6.3% 2.2% -8.0K 72.2K -197 0.00 126.73 0 31 0 31 2015-02-13 $42.31 $0.00 13.3% 3.8% 17.7% 4.6% 0.0% 3.6% 0.3% -8.3K 74.9K -190 0.00 126.16 0 31 0 31 2015-02-17 $42.30 $0.00 13.1% 3.7% 17.2% 4.5% 0.0% 6.5% 1.1% -8.4K 71.9K -184 0.00 128.96 0 31 0 31 2015-02-18 $42.46 $0.00 12.5% 3.6% 17.2% 4.1% 0.0% 9.6% 0.7% -9.1K 67.7K -184 0.00 130.32 0 31 0 31 2015-02-19 $42.14 $0.00 12.2% 3.5% 17.2% 3.9% 0.0% 4.9% 0.1% -8.5K 74.2K -175 0.00 134.66 0 0 0 31 2015-02-20 $42.30 $0.00 11.5% 3.3% 17.2% 3.5% 0.0% 1.9% 0.8% -9.0K 72.4K -172 0.00 136.10 0 0 0 31 2015-02-23 $42.20 $0.00 17.8% 5.1% 17.1% 7.5% 0.0% 1.5% -5.9% -10.0K 73.4K -160 0.00 138.11 0 31 0 31 2015-02-24 $42.59 $0.00 11.6% 3.3% 17.1% 3.5% 0.0% 6.0% -0.2% -9.6K 67.7K -175 0.00 138.69 0 31 0 31 2015-02-25 $42.46 $0.00 13.7% 3.9% 17.1% 4.9% 0.0% 4.9% -3.6% -9.0K 72.5K -170 0.00 151.56 0 31 0 31 2015-02-26 $41.99 $0.00 15.4% 4.4% 17.1% 6.0% 0.0% -3.6% -5.4% -8.6K 80.2K -154 0.00 139.09 0 31 0 31 2015-02-27 $42.27 $0.00 14.7% 4.2% 17.0% 5.5% 0.0% 6.3% -3.3% -9.2K 79.7K -146 0.00 145.50 0 31 0 31
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