IGF Options History — June 2015

In June 2015, IGF traded between $40.56 and $42.98. ATM implied volatility averaged 21.4%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 9.2% (HV 20d: 12.2%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.08.

Notable Days

2015-06-03: Highest Volume — 131 contracts
2015-06-24: Largest IV drop — 33.1% change
2015-06-23: Highest IV Rank — 30.4%
2015-06-23: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.97	$40.56	$42.98	$42.98	$40.62
Max Pain	$39.26	$39.00	$40.00	$40.00	$39.00
ATM IV	21.4%	14.9%	26.4%	19.3%	21.1%
Expected Move	6.3%	4.3%	7.6%	5.5%	6.1%
HV 20d	12.2%	10.3%	15.1%	12.3%	15.1%
HV 60d	12.2%	10.9%	13.7%	13.7%	12.3%
IV Rank	21.4%	11.7%	30.4%	16.3%	22.6%
IV Percentile	85.2%	58.3%	96.0%	81.0%	91.7%
Term Structure	4.4%	-7.2%	18.5%	5.5%	-7.2%
VWIV	33.0%	19.9%	49.1%	36.2%	22.4%
Skew 25d	5.3%	1.2%	14.8%	1.7%	3.7%
Skew 10d	4.0%	-0.5%	12.4%	1.8%	0.7%
Call IV 25d	16.1%	13.6%	19.9%	17.2%	19.9%
Put IV 25d	21.4%	16.6%	29.5%	18.9%	23.6%
Bid-Ask Spread %	155.78	127.60	174.59	142.20	131.11
Gamma HHI	0.87	0.69	1.00	1.00	0.80
Net GEX	807	-225	2.7K	-137	1.8K
Net DEX	-21.7K	-59.4K	1.5K	959	-29.9K
Net VEX	-25	-84	-4	-5	-31
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.01	0.10	0.01	0.10
Total Volume	37.318	0	131	1	11
Total OI	7.818	1	21	1	11

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
2015-06-01	$42.98	$0.00	19.3%	5.5%	12.3%	16.3%	0.0%	1.7%	5.5%	-137	959	-5	0.00	142.20	0	1	0	1
2015-06-02	$42.96	$0.00	15.5%	4.5%	12.2%	11.7%	0.0%	2.3%	2.3%	-155	1.1K	-5	0.00	152.50	0	0	0	1
2015-06-03	$42.92	$0.00	19.4%	5.6%	11.2%	16.5%	0.0%	2.1%	2.2%	-143	1.1K	-5	0.01	143.44	130	1	0	1
2015-06-04	$42.15	$40.00	18.3%	6.0%	12.6%	15.0%	36.2%	4.5%	5.7%	-175	1.3K	-5	0.01	169.92	130	1	0	1
2015-06-05	$41.84	$40.00	18.9%	6.9%	12.8%	15.8%	32.2%	14.8%	5.5%	-156	1.2K	-5	0.01	160.47	130	1	0	1
2015-06-08	$41.72	$40.00	20.0%	6.2%	11.0%	17.2%	34.8%	5.5%	0.3%	-225	1.1K	-4	0.01	157.00	130	1	0	1
2015-06-09	$41.60	$40.00	20.8%	6.7%	10.8%	18.1%	36.5%	11.3%	8.4%	-172	1.5K	-5	0.01	165.58	130	1	0	1
2015-06-10	$42.14	$40.00	25.5%	7.3%	12.0%	23.9%	32.2%	2.6%	4.8%	-156	1.3K	-5	0.10	156.42	10	1	0	1
2015-06-11	$42.14	$39.00	23.0%	6.6%	12.0%	20.8%	36.2%	8.6%	9.9%	1.2K	-31.7K	-44	0.10	160.31	10	1	10	1
2015-06-12	$41.81	$39.00	24.7%	7.1%	11.7%	27.9%	36.6%	5.5%	7.1%	1.2K	-28.8K	-47	0.10	166.86	10	1	10	1
2015-06-15	$41.71	$39.00	23.8%	6.8%	10.3%	26.6%	19.9%	6.3%	12.3%	1.3K	-29.4K	-45	0.10	166.99	10	1	10	1
2015-06-16	$41.78	$39.00	22.8%	6.5%	10.4%	25.1%	38.5%	6.3%	18.5%	2.7K	-59.4K	-84	0.10	167.46	10	1	20	1
2015-06-17	$41.94	$39.00	25.1%	7.2%	10.6%	28.4%	39.9%	6.4%	7.4%	1.5K	-31.0K	-39	0.10	174.59	10	1	10	1
2015-06-18	$42.34	$39.00	25.8%	7.4%	11.4%	29.5%	38.7%	7.3%	14.2%	1.1K	-32.4K	-38	0.10	170.35	10	1	10	1
2015-06-19	$42.02	$39.00	25.1%	7.2%	11.3%	28.4%	41.3%	7.6%	6.5%	1.2K	-33.3K	-34	0.10	161.40	10	1	10	1
2015-06-22	$42.67	$39.00	25.3%	7.3%	12.8%	28.7%	47.9%	6.0%	3.3%	1.0K	-32.9K	-34	0.10	171.44	10	1	10	1
2015-06-23	$42.54	$39.00	26.4%	7.6%	12.2%	30.4%	49.1%	6.1%	3.7%	1.1K	-33.1K	-33	0.10	169.40	10	1	10	1
2015-06-24	$41.82	$39.00	17.7%	5.1%	13.2%	17.4%	22.4%	1.2%	-5.7%	866	-39.0K	-14	0.10	137.44	10	1	10	1
2015-06-25	$41.61	$39.00	14.9%	4.3%	13.2%	13.3%	21.0%	1.5%	-0.5%	843	-39.6K	-9	0.10	134.66	10	1	10	1
2015-06-26	$41.49	$39.00	17.6%	5.0%	13.2%	17.3%	21.9%	1.8%	-2.9%	1.4K	-35.6K	-22	0.10	139.95	10	1	10	1
2015-06-29	$40.56	$39.00	19.0%	5.4%	15.1%	19.4%	20.3%	3.9%	-5.4%	1.7K	-31.3K	-27	0.10	127.60	10	1	10	1
2015-06-30	$40.62	$39.00	21.1%	6.1%	15.1%	22.6%	22.4%	3.7%	-7.2%	1.8K	-29.9K	-31	0.10	131.11	10	1	10	1