IGF Options History — July 2015

In July 2015, IGF traded between $39.89 and $41.46. ATM implied volatility averaged 18.5%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 1.7% (HV 20d: 16.8%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 1.06.

Notable Days

2015-07-29: Highest Volume — 29 contracts
2015-07-15: Largest IV drop — 52.3% change
2015-07-13: Highest IV Rank — 35.7%
2015-07-09: Largest Expected Move — 5.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.66	$39.89	$41.46	$40.77	$40.79
Max Pain	$40.64	$39.00	$41.00	$39.00	$41.00
ATM IV	18.5%	12.8%	30.3%	18.6%	14.9%
Expected Move	4.5%	3.7%	5.6%	5.3%	4.3%
HV 20d	16.8%	14.5%	18.7%	15.3%	15.1%
HV 60d	13.7%	12.4%	14.2%	12.4%	13.9%
IV Rank	18.2%	9.6%	35.7%	18.8%	12.7%
IV Percentile	67.8%	39.7%	99.6%	80.2%	53.6%
Term Structure	4.0%	-3.9%	20.9%	-3.9%	-3.0%
VWIV	15.1%	11.0%	26.1%	23.0%	14.0%
Skew 25d	2.7%	-0.8%	5.1%	1.5%	1.9%
Skew 10d	1.6%	-2.0%	6.5%	1.5%	1.7%
Call IV 25d	15.5%	12.1%	21.0%	20.6%	15.4%
Put IV 25d	18.1%	12.6%	24.7%	22.1%	17.2%
Bid-Ask Spread %	130.72	108.64	148.02	137.19	138.33
Gamma HHI	0.81	0.64	1.00	0.78	0.69
Net GEX	1.1K	-1.1K	5.0K	1.8K	5.0K
Net DEX	-25.4K	-93.7K	6.7K	-31.9K	-93.7K
Net VEX	-34	-148	-11	-26	-144
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.09	3.00	0.10	0.50
Total Volume	9.909	4	29	11	9
Total OI	10.636	1	34	11	34

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
2015-07-01	$40.77	$39.00	18.6%	5.3%	15.3%	18.8%	23.0%	1.5%	-3.9%	1.8K	-31.9K	-26	0.10	137.19	10	1	10	1
2015-07-02	$41.07	$39.00	16.4%	4.7%	14.5%	15.6%	26.1%	3.8%	0.2%	2.1K	-33.8K	-21	0.09	138.38	11	1	10	1
2015-07-06	$40.25	$0.00	25.0%	5.1%	15.9%	28.3%	0.0%	4.0%	13.1%	2.2K	-30.3K	-37	0.09	118.52	11	1	11	1
2015-07-07	$40.55	$0.00	21.9%	4.1%	16.2%	23.7%	0.0%	4.7%	-0.0%	3.1K	-33.9K	-30	0.09	117.16	11	1	11	1
2015-07-08	$39.89	$0.00	25.9%	5.5%	17.1%	29.7%	0.0%	4.4%	2.6%	2.6K	-28.1K	-36	0.09	114.25	11	1	11	1
2015-07-09	$40.18	$0.00	21.6%	5.6%	16.5%	23.3%	0.0%	0.4%	6.7%	2.4K	-33.9K	-29	0.09	108.64	11	1	11	1
2015-07-10	$40.99	$0.00	26.2%	4.9%	18.3%	29.6%	0.0%	5.1%	-1.4%	1.8K	-37.2K	-25	0.09	115.35	11	1	11	1
2015-07-13	$41.08	$0.00	30.3%	4.5%	18.2%	35.7%	0.0%	3.9%	18.6%	1.9K	-39.8K	-18	0.09	114.80	11	1	11	1
2015-07-14	$41.22	$0.00	30.1%	4.1%	18.2%	35.5%	0.0%	5.0%	20.9%	1.1K	-40.5K	-17	0.09	122.14	11	1	11	1
2015-07-15	$41.01	$0.00	14.4%	4.1%	18.3%	12.0%	0.0%	3.7%	14.2%	1.4K	-39.4K	-17	0.09	123.38	11	1	11	1
2015-07-16	$41.46	$0.00	14.1%	4.0%	18.7%	11.5%	0.0%	4.0%	17.3%	634	-42.4K	-13	0.09	123.94	11	1	11	1
2015-07-17	$41.17	$0.00	12.8%	3.7%	18.4%	9.6%	0.0%	0.5%	18.2%	123	-43.5K	-11	0.09	134.00	11	1	11	1
2015-07-20	$40.99	$0.00	14.7%	4.2%	18.3%	12.5%	14.7%	1.3%	-2.2%	124	-2.3K	-11	3.00	141.09	1	3	1	0
2015-07-21	$40.82	$41.00	13.3%	3.8%	17.3%	10.4%	13.1%	1.6%	-1.8%	-1.1K	4.1K	-25	3.00	143.98	1	3	1	3
2015-07-22	$40.53	$41.00	14.9%	4.3%	17.4%	12.7%	13.8%	2.1%	-3.2%	-990	4.9K	-25	3.00	143.20	1	3	1	3
2015-07-23	$40.26	$41.00	14.8%	4.2%	16.6%	12.5%	13.6%	0.8%	-0.6%	-974	5.7K	-24	3.00	141.30	1	3	1	3
2015-07-24	$40.02	$41.00	17.0%	4.9%	16.6%	15.9%	14.4%	3.3%	-1.9%	-827	5.8K	-23	3.00	134.03	1	3	1	3
2015-07-27	$39.98	$41.00	17.8%	5.1%	16.6%	17.2%	14.4%	4.5%	-3.3%	-765	6.5K	-22	3.00	131.58	1	3	1	3
2015-07-28	$40.42	$41.00	14.1%	4.0%	15.2%	11.6%	11.8%	2.4%	0.9%	-1.1K	6.7K	-21	3.00	139.19	1	3	1	3
2015-07-29	$40.54	$41.00	13.8%	3.9%	15.3%	11.0%	11.7%	0.8%	-1.5%	-1.0K	5.9K	-22	0.12	147.35	26	3	1	3
2015-07-30	$40.55	$41.00	13.5%	3.9%	15.2%	10.7%	11.0%	-0.8%	-1.8%	3.8K	-66.7K	-148	0.50	148.02	6	3	26	3
2015-07-31	$40.79	$41.00	14.9%	4.3%	15.1%	12.7%	14.0%	1.9%	-3.0%	5.0K	-93.7K	-144	0.50	138.33	6	3	31	3