IGF Options History — April 2015 In April 2015, IGF traded between $42.08 and $44.23. ATM implied volatility averaged 14.8%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.2% (HV 20d: 12.7%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days.
Notable Days 2015-04-01 : Highest Volume — 36 contracts2015-04-24 : Largest IV spike — 43.7% change2015-04-01 : Highest IV Rank — 8.3%2015-04-01 : Largest Expected Move — 5.5%Monthly Statistics Metric Avg Min Max Open Close Price $43.20 $42.08 $44.23 $42.08 $43.65 Max Pain $44.00 $44.00 $44.00 $44.00 $44.00 ATM IV 14.8% 10.7% 19.2% 19.2% 17.1% Expected Move 4.0% 3.1% 5.5% 5.5% 4.9% HV 20d 12.7% 8.1% 18.6% 18.5% 8.9% HV 60d 15.3% 14.8% 15.6% 15.6% 14.8% IV Rank 5.6% 3.0% 8.3% 8.3% 7.0% IV Percentile 48.7% 21.0% 69.4% 65.9% 66.3% Term Structure 2.8% -5.7% 23.8% -5.7% -3.9% VWIV 18.3% 18.3% 18.3% 18.3% 18.3% Skew 25d 3.3% 0.9% 6.7% 0.9% 3.2% Skew 10d 4.6% 0.6% 8.7% 0.6% 6.2% Call IV 25d 13.1% 6.6% 18.1% 18.1% 17.0% Put IV 25d 16.4% 12.7% 20.2% 19.0% 20.2% Bid-Ask Spread % 135.08 126.89 144.86 133.64 143.19 Gamma HHI 0.66 0.29 1.00 0.29 1.00 Net GEX -6.5K -14.4K -110 -10.4K -110 Net DEX 37.2K 526 80.6K 80.6K 968 Net VEX -35 -93 -3 -93 -6 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 19.286 0 36 36 1 Total OI 21 1 36 36 1
Daily Data (21 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 2015-04-01 $42.08 $44.00 19.2% 5.5% 18.5% 8.3% 18.3% 0.9% -5.7% -10.4K 80.6K -93 0.00 133.64 0 36 0 36 2015-04-02 $42.35 $0.00 17.8% 3.6% 18.6% 7.5% 0.0% 4.8% 23.8% -11.3K 79.5K -85 0.00 126.89 0 36 0 36 2015-04-06 $42.72 $0.00 17.6% 3.5% 16.5% 7.3% 0.0% 6.3% 6.2% -11.6K 68.9K -80 0.00 135.68 0 36 0 36 2015-04-07 $42.68 $0.00 18.0% 3.4% 16.5% 7.6% 0.0% 2.1% 6.2% -11.7K 69.8K -76 0.00 128.88 0 36 0 36 2015-04-08 $42.94 $0.00 12.3% 3.5% 15.6% 4.0% 0.0% 1.3% 2.0% -12.0K 63.0K -73 0.00 140.29 0 0 0 36 2015-04-09 $42.88 $0.00 11.0% 3.2% 15.6% 3.2% 0.0% 3.6% 8.6% -12.5K 64.9K -63 0.00 130.15 0 36 0 36 2015-04-10 $42.94 $0.00 11.6% 3.3% 15.3% 3.5% 0.0% 3.9% 9.3% -12.5K 63.2K -61 0.00 135.06 0 36 0 36 2015-04-13 $42.63 $0.00 13.4% 3.8% 15.0% 4.7% 0.0% 2.9% 8.5% -12.1K 71.7K -44 0.00 129.77 0 36 0 36 2015-04-14 $42.95 $0.00 12.0% 3.4% 14.7% 3.8% 0.0% 4.0% 7.9% -13.0K 62.7K -39 0.00 136.66 0 36 0 36 2015-04-15 $43.29 $0.00 11.8% 3.4% 14.8% 3.7% 0.0% 4.5% 6.0% -13.5K 52.7K -33 0.00 135.61 0 36 0 36 2015-04-16 $43.31 $0.00 11.5% 3.3% 12.5% 3.5% 0.0% 6.7% 8.0% -14.4K 52.1K -24 0.00 127.58 0 36 0 36 2015-04-17 $43.00 $0.00 12.5% 3.6% 11.6% 4.2% 0.0% 3.7% 7.1% -126 44.2K -7 0.00 133.41 0 36 0 36 2015-04-20 $43.06 $0.00 14.0% 4.0% 9.3% 5.1% 0.0% 3.9% -2.7% -123 1.0K -6 0.00 129.51 0 1 0 1 2015-04-21 $43.13 $0.00 17.2% 4.9% 9.3% 7.1% 0.0% 2.7% -4.3% -121 1.1K -7 0.00 137.65 0 1 0 1 2015-04-22 $43.47 $0.00 16.1% 4.6% 9.4% 6.4% 0.0% 1.1% -2.8% -124 1.1K -7 0.00 144.86 0 1 0 1 2015-04-23 $43.77 $0.00 10.7% 3.1% 9.2% 3.0% 0.0% 4.1% 1.4% -114 966 -6 0.00 139.78 0 1 0 1 2015-04-24 $44.08 $0.00 15.4% 4.4% 8.7% 5.9% 0.0% 2.7% -2.4% -167 793 -5 0.00 141.15 0 1 0 1 2015-04-27 $44.04 $0.00 17.8% 5.1% 8.8% 7.5% 0.0% 2.9% -5.2% -132 633 -5 0.00 131.70 0 1 0 1 2015-04-28 $44.23 $0.00 17.4% 5.0% 8.8% 7.3% 0.0% 2.7% -4.3% -206 526 -3 0.00 134.91 0 1 0 1 2015-04-29 $44.04 $0.00 17.5% 5.0% 8.1% 7.3% 0.0% 1.4% -4.3% -150 840 -5 0.00 140.36 0 1 0 1 2015-04-30 $43.65 $0.00 17.1% 4.9% 8.9% 7.0% 0.0% 3.2% -3.9% -110 968 -6 0.00 143.19 0 1 0 1
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