IGF Options History — August 2015

In August 2015, IGF traded between $37.79 and $41.13. ATM implied volatility averaged 20.4%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 7.4% (HV 20d: 13.0%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2015-08-14: Highest Volume — 54 contracts
2015-08-24: Largest IV spike — 208.1% change
2015-08-24: Highest IV Rank — 84.8%
2015-08-24: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.95	$37.79	$41.13	$40.65	$38.70
Max Pain	$39.29	$39.00	$41.00	$41.00	$39.00
ATM IV	20.4%	13.4%	63.0%	13.7%	19.0%
Expected Move	5.6%	3.0%	18.1%	3.9%	5.4%
HV 20d	13.0%	8.6%	19.5%	13.3%	19.3%
HV 60d	14.3%	13.3%	16.6%	13.9%	16.2%
IV Rank	21.0%	10.6%	84.8%	10.9%	18.7%
IV Percentile	63.5%	36.5%	99.6%	42.1%	75.8%
Term Structure	-2.3%	-25.2%	30.4%	-2.6%	-5.7%
VWIV	20.4%	12.8%	61.7%	13.5%	20.5%
Skew 25d	2.9%	-15.5%	14.5%	1.8%	10.0%
Skew 10d	2.2%	-47.3%	50.6%	0.5%	7.6%
Call IV 25d	22.3%	11.2%	82.4%	16.4%	20.6%
Put IV 25d	25.2%	12.6%	80.0%	18.2%	30.6%
Bid-Ask Spread %	133.09	109.26	166.51	147.56	129.21
Gamma HHI	0.84	0.67	0.99	0.70	0.99
Net GEX	14.7K	5.3K	30.7K	5.6K	29.8K
Net DEX	-162.9K	-309.6K	-82.5K	-98.2K	-147.1K
Net VEX	-238	-452	-40	-126	-313
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	0.50	0.50	0.00
Total Volume	13.762	0	54	0	27
Total OI	68.333	34	109	34	93

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
2015-08-03	$40.65	$41.00	13.7%	3.9%	13.3%	10.9%	0.0%	1.8%	-2.6%	5.6K	-98.2K	-126	0.00	147.56	0	0	31	3
2015-08-04	$40.62	$41.00	14.4%	4.1%	13.0%	12.0%	13.5%	1.7%	-3.2%	5.9K	-92.5K	-138	0.50	142.07	6	3	31	3
2015-08-05	$40.56	$41.00	13.9%	4.0%	11.5%	11.2%	13.4%	0.0%	-0.3%	5.3K	-95.5K	-129	0.50	136.10	6	3	31	3
2015-08-06	$40.48	$39.00	17.0%	3.6%	11.3%	15.9%	12.9%	5.2%	2.0%	5.6K	-82.5K	-160	0.50	128.46	6	3	31	3
2015-08-07	$40.59	$39.00	15.9%	3.4%	8.6%	14.2%	12.8%	4.5%	-2.2%	6.7K	-89.1K	-138	0.50	129.76	6	3	31	3
2015-08-10	$41.00	$39.00	18.9%	3.2%	9.4%	18.8%	14.5%	4.3%	-0.6%	6.3K	-101.2K	-107	0.50	133.54	6	3	31	3
2015-08-11	$40.57	$39.00	16.9%	3.0%	10.0%	15.7%	0.0%	1.0%	1.7%	7.4K	-89.9K	-127	0.00	130.94	0	0	31	3
2015-08-12	$40.99	$39.00	13.9%	4.0%	10.6%	11.2%	16.3%	4.0%	-1.5%	7.9K	-116.1K	-40	0.50	122.29	6	3	31	3
2015-08-13	$40.78	$39.00	13.7%	3.9%	9.9%	11.0%	14.7%	4.9%	-3.4%	6.6K	-101.8K	-96	0.50	127.83	6	3	31	3
2015-08-14	$41.01	$39.00	13.4%	3.9%	9.9%	10.6%	16.0%	5.7%	-1.6%	7.8K	-114.1K	-40	0.06	122.17	51	3	31	3
2015-08-17	$41.13	$39.00	14.1%	4.1%	9.8%	11.6%	17.2%	5.8%	-0.0%	19.7K	-309.6K	-105	0.23	126.52	13	3	81	3
2015-08-18	$40.78	$39.00	13.6%	3.9%	10.2%	10.8%	15.1%	3.7%	-1.3%	18.3K	-296.5K	-313	0.23	131.78	13	3	93	3
2015-08-19	$40.61	$39.00	13.5%	3.9%	9.9%	10.7%	0.0%	-0.1%	2.1%	19.1K	-288.3K	-330	0.00	134.53	0	0	93	3
2015-08-20	$39.90	$39.00	18.3%	5.2%	11.6%	17.8%	20.9%	3.9%	-1.6%	21.3K	-242.1K	-387	0.21	115.31	14	3	93	3
2015-08-21	$39.29	$39.00	20.5%	5.9%	12.6%	21.1%	21.3%	-1.2%	-1.9%	28.5K	-235.1K	-452	0.21	109.26	14	3	106	3
2015-08-24	$37.80	$39.00	63.0%	18.1%	18.4%	84.8%	61.7%	-15.5%	-20.5%	8.6K	-225.6K	-421	0.00	166.51	14	0	106	0
2015-08-25	$37.79	$39.00	49.2%	14.1%	17.7%	64.1%	30.9%	-2.4%	-25.2%	13.7K	-173.3K	-413	0.00	145.27	14	0	106	0
2015-08-26	$38.15	$39.00	27.3%	7.8%	18.2%	31.2%	23.6%	14.5%	-8.0%	25.4K	-162.2K	-400	0.00	145.68	14	0	106	0
2015-08-27	$38.82	$39.00	19.0%	5.5%	19.5%	18.8%	19.4%	-2.0%	30.4%	30.7K	-190.8K	-407	0.00	144.15	10	0	106	0
2015-08-28	$38.81	$39.00	20.0%	5.7%	19.3%	20.1%	22.1%	10.8%	-4.2%	28.2K	-170.2K	-363	0.00	126.03	27	0	97	0
2015-08-31	$38.70	$39.00	19.0%	5.4%	19.3%	18.7%	20.5%	10.0%	-5.7%	29.8K	-147.1K	-313	0.00	129.21	27	0	93	0