IGF Options History — May 2015 In May 2015, IGF traded between $42.92 and $44.15. ATM implied volatility averaged 17.2%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 5.7% (HV 20d: 11.4%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days.
Notable Days 2015-05-01 : Highest Volume — 1 contracts2015-05-13 : Largest IV drop — 57.1% change2015-05-12 : Highest IV Rank — 14.4%2015-05-26 : Largest Expected Move — 5.0%Monthly Statistics Metric Avg Min Max Open Close Price $43.55 $42.92 $44.15 $43.86 $43.17 ATM IV 17.2% 10.5% 28.7% 17.3% 15.9% Expected Move 3.9% 3.0% 5.0% 5.0% 4.6% HV 20d 11.4% 8.4% 12.7% 8.8% 12.4% HV 60d 13.7% 13.5% 14.5% 14.5% 13.7% IV Rank 9.5% 4.0% 14.4% 7.2% 12.2% IV Percentile 60.0% 20.6% 85.7% 67.1% 65.1% Term Structure 4.9% -5.5% 11.0% -5.5% -2.2% Skew 25d 2.4% -5.8% 8.2% 4.9% 0.9% Skew 10d 4.6% -1.3% 10.2% 8.1% 2.2% Call IV 25d 12.9% 6.9% 17.7% 17.7% 16.2% Put IV 25d 15.3% 9.8% 22.6% 22.6% 17.1% Bid-Ask Spread % 137.77 106.42 157.29 140.82 144.62 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -130 -142 -110 -142 -141 Net DEX 960 587 1.4K 985 1.1K Net VEX -5 -7 -4 -6 -5 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.75 0 1 1 1 Total OI 1 1 1 1 1
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 2015-05-01 $43.86 $0.00 17.3% 5.0% 8.8% 7.2% 0.0% 4.9% -5.5% -142 985 -6 0.00 140.82 0 1 0 1 2015-05-04 $43.99 $0.00 17.6% 3.8% 8.4% 7.4% 0.0% 2.2% 3.6% -125 843 -5 0.00 132.77 0 0 0 1 2015-05-05 $43.38 $0.00 20.0% 4.2% 10.0% 8.9% 0.0% 5.3% 6.9% -123 1.0K -6 0.00 129.59 0 1 0 1 2015-05-06 $43.05 $0.00 24.1% 4.0% 10.2% 11.5% 0.0% 4.9% 3.8% -132 1.1K -6 0.00 106.42 0 1 0 1 2015-05-07 $42.92 $0.00 23.6% 3.9% 10.3% 11.2% 0.0% 3.9% 10.2% -128 1.4K -7 0.00 122.32 0 1 0 1 2015-05-08 $43.63 $0.00 19.4% 3.3% 11.8% 8.5% 0.0% 2.6% 4.7% -135 906 -6 0.00 136.32 0 0 0 1 2015-05-11 $43.31 $0.00 26.8% 3.6% 11.8% 13.2% 0.0% 1.8% 3.6% -140 1.0K -6 0.00 130.95 0 0 0 1 2015-05-12 $43.21 $0.00 28.7% 3.5% 11.6% 14.4% 0.0% 3.3% 11.0% -117 974 -6 0.00 131.70 0 1 0 1 2015-05-13 $43.24 $0.00 12.3% 3.5% 11.3% 4.0% 0.0% 1.1% 9.9% -110 1.0K -5 0.00 135.43 0 1 0 1 2015-05-14 $43.59 $0.00 12.3% 3.5% 11.6% 4.0% 0.0% 2.0% 7.9% -129 1.0K -6 0.00 130.91 0 1 0 1 2015-05-15 $44.15 $0.00 10.5% 3.0% 12.1% 5.5% 0.0% 8.2% 9.0% -123 587 -4 0.00 134.75 0 1 0 1 2015-05-18 $43.99 $0.00 12.3% 3.5% 12.2% 7.7% 0.0% 2.9% 4.1% -128 770 -5 0.00 154.36 0 0 0 1 2015-05-19 $43.80 $0.00 12.4% 3.6% 12.3% 7.9% 0.0% 2.8% 3.3% -132 834 -5 0.00 157.29 0 0 0 1 2015-05-20 $43.86 $0.00 14.4% 4.1% 12.1% 10.3% 0.0% 3.1% 6.4% -129 850 -5 0.00 137.99 0 1 0 1 2015-05-21 $44.05 $0.00 14.8% 4.2% 11.9% 10.7% 0.0% 1.8% 5.9% -135 739 -4 0.00 142.38 0 1 0 1 2015-05-22 $43.81 $0.00 15.0% 4.3% 11.8% 11.0% 0.0% 1.7% 4.8% -128 921 -5 0.00 144.30 0 1 0 1 2015-05-26 $43.26 $0.00 17.3% 5.0% 12.6% 13.9% 0.0% -5.8% 5.8% -135 1.2K -5 0.00 140.49 0 1 0 1 2015-05-27 $43.51 $0.00 12.5% 3.6% 12.7% 8.0% 0.0% 0.1% -0.8% -126 981 -5 0.00 152.34 0 1 0 1 2015-05-28 $43.30 $0.00 16.2% 4.6% 12.7% 12.5% 0.0% 1.0% 4.9% -142 926 -5 0.00 149.58 0 1 0 1 2015-05-29 $43.17 $0.00 15.9% 4.6% 12.4% 12.2% 0.0% 0.9% -2.2% -141 1.1K -5 0.00 144.62 0 1 0 1
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