IGF Options History — March 2015 In March 2015, IGF traded between $40.28 and $42.44. ATM implied volatility averaged 15.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 1.3% (HV 20d: 16.2%). 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.
Notable Days 2015-03-26 : Highest Volume — 36 contracts2015-03-23 : Largest IV spike — 34.7% change2015-03-10 : Highest IV Rank — 9.5%2015-03-31 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $41.50 $40.28 $42.44 $42.09 $41.79 Max Pain $44.00 $44.00 $44.00 $44.00 $44.00 ATM IV 15.0% 10.4% 21.0% 16.4% 19.2% Expected Move 4.0% 3.0% 5.5% 4.7% 5.5% HV 20d 16.2% 12.8% 18.7% 16.4% 18.5% HV 60d 15.8% 15.1% 16.4% 15.1% 16.2% IV Rank 5.7% 2.8% 9.5% 6.6% 8.4% IV Percentile 46.5% 19.8% 67.5% 56.3% 65.9% Term Structure 6.6% -6.4% 18.7% -6.0% -4.5% VWIV 15.5% 12.9% 18.0% 12.9% 18.0% Skew 25d 2.7% 1.3% 8.3% 2.3% 1.6% Skew 10d 2.8% 0.0% 8.1% 1.8% 1.2% Call IV 25d 13.3% 10.0% 17.7% 15.4% 17.7% Put IV 25d 16.0% 13.2% 19.8% 17.8% 19.3% Bid-Ask Spread % 134.02 125.31 152.47 143.59 135.36 Gamma HHI 0.34 0.29 0.45 0.34 0.29 Net GEX -8.8K -11.0K -5.5K -8.5K -10.1K Net DEX 92.7K 75.1K 118.6K 81.8K 87.3K Net VEX -110 -146 -85 -146 -96 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 12.182 0 36 31 36 Total OI 34.409 31 36 31 36
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 2015-03-02 $42.09 $0.00 16.4% 4.7% 16.4% 6.6% 0.0% 2.3% -6.0% -8.5K 81.8K -146 0.00 143.59 0 31 0 31 2015-03-03 $42.01 $0.00 17.6% 5.0% 15.8% 7.4% 0.0% 6.2% -6.4% -9.4K 79.1K -140 0.00 137.20 0 31 0 31 2015-03-04 $41.71 $0.00 15.6% 4.5% 15.6% 6.1% 0.0% 3.0% -0.7% -7.7K 87.1K -133 0.00 152.47 0 31 0 31 2015-03-05 $41.77 $44.00 15.8% 3.5% 14.8% 6.2% 12.9% 2.6% 13.6% -7.8K 88.0K -124 0.00 125.31 0 31 0 31 2015-03-06 $40.82 $44.00 19.3% 3.6% 16.0% 8.4% 13.0% 1.9% 18.7% -6.7K 98.9K -104 0.00 125.85 0 31 0 31 2015-03-09 $40.89 $44.00 18.5% 3.5% 14.6% 7.9% 0.0% 1.3% 15.2% -6.8K 99.3K -98 0.00 130.21 0 0 0 31 2015-03-10 $40.37 $44.00 21.0% 4.2% 14.9% 9.5% 14.7% 2.0% 12.1% -5.5K 101.9K -91 0.00 128.27 0 5 0 31 2015-03-11 $40.28 $44.00 13.8% 4.0% 13.5% 4.9% 0.0% 1.7% 11.9% -7.0K 114.0K -106 0.00 127.93 0 0 0 36 2015-03-12 $40.73 $44.00 12.3% 3.5% 13.8% 4.0% 0.0% 3.0% 15.6% -8.1K 106.7K -117 0.00 128.38 0 0 0 36 2015-03-13 $40.32 $44.00 12.6% 3.6% 12.8% 4.2% 0.0% 1.3% 14.0% -6.7K 118.6K -85 0.00 126.13 0 0 0 36 2015-03-16 $40.81 $44.00 12.3% 3.5% 13.8% 4.0% 0.0% 2.6% 15.6% -8.5K 106.5K -105 0.00 129.71 0 0 0 36 2015-03-17 $41.01 $44.00 12.9% 3.7% 14.0% 4.4% 0.0% 1.7% 13.5% -9.1K 105.0K -104 0.00 127.20 0 0 0 36 2015-03-18 $42.00 $44.00 10.4% 3.0% 16.6% 2.8% 0.0% 4.4% 14.4% -10.9K 90.1K -94 0.00 126.78 0 0 0 36 2015-03-19 $41.41 $44.00 12.0% 3.4% 17.1% 3.8% 0.0% 1.9% 14.8% -9.0K 98.2K -105 0.00 131.39 0 0 0 36 2015-03-20 $42.26 $44.00 10.4% 3.0% 18.6% 2.8% 0.0% 3.2% 17.7% -11.0K 80.8K -114 0.00 129.07 0 0 0 36 2015-03-23 $42.44 $44.00 14.0% 4.0% 18.7% 5.1% 0.0% 1.9% -2.7% -10.5K 75.1K -124 0.00 146.49 0 0 0 36 2015-03-24 $42.25 $44.00 13.6% 3.9% 18.4% 4.8% 0.0% 3.1% -1.6% -10.5K 80.2K -117 0.00 143.37 0 0 0 36 2015-03-25 $42.05 $44.00 14.0% 4.0% 18.5% 5.0% 0.0% 1.7% -1.5% -10.1K 84.1K -113 0.00 142.65 0 0 0 36 2015-03-26 $41.75 $44.00 15.4% 4.4% 18.2% 6.0% 17.9% 3.0% -3.4% -9.2K 92.1K -105 0.00 135.94 0 36 0 36 2015-03-27 $41.97 $44.00 14.3% 4.1% 18.2% 5.3% 0.0% 8.3% -0.9% -10.2K 86.5K -104 0.00 141.25 0 0 0 36 2015-03-30 $42.17 $44.00 17.8% 5.1% 18.2% 7.5% 16.5% 1.4% -4.1% -11.0K 79.2K -94 0.00 133.90 0 36 0 36 2015-03-31 $41.79 $44.00 19.2% 5.5% 18.5% 8.4% 18.0% 1.6% -4.5% -10.1K 87.3K -96 0.00 135.36 0 36 0 36
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