IGF Options History — September 2015 In September 2015, IGF traded between $36.99 and $38.51. ATM implied volatility averaged 21.5%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 0.6% (HV 20d: 20.9%). Max pain ranged from $39.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2015-09-16 : Highest Volume — 151 contracts2015-09-18 : Largest IV spike — 26.8% change2015-09-04 : Highest IV Rank — 30.6%2015-09-02 : Largest Expected Move — 7.7%Monthly Statistics Metric Avg Min Max Open Close Price $37.80 $36.99 $38.51 $37.55 $37.76 Max Pain $39.00 $39.00 $39.00 $39.00 $39.00 ATM IV 21.5% 15.3% 27.9% 22.7% 22.4% Expected Move 6.0% 4.4% 7.7% 6.5% 6.4% HV 20d 20.9% 16.1% 23.3% 21.7% 16.1% HV 60d 17.4% 16.8% 17.8% 17.2% 17.3% IV Rank 21.0% 11.5% 30.6% 24.0% 22.3% IV Percentile 81.9% 47.6% 97.2% 90.1% 86.5% Term Structure -0.0% -11.6% 6.7% -2.1% -7.0% VWIV 17.7% 12.4% 22.5% 22.5% 14.3% Skew 25d 7.3% 1.4% 16.4% 7.5% 16.4% Skew 10d 5.6% -1.0% 14.5% 4.2% 8.0% Call IV 25d 18.7% 12.9% 23.8% 22.7% 16.2% Put IV 25d 26.0% 20.1% 33.1% 30.1% 32.6% Bid-Ask Spread % 118.09 104.52 145.12 145.12 117.78 Gamma HHI 0.99 0.99 1.00 0.99 0.99 Net GEX 32.6K 19.6K 86.6K 21.3K 29.5K Net DEX -118.8K -316.6K -59.4K -90.1K -101.6K Net VEX -302 -601 -89 -244 -294 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 85.381 0 151 27 125 Total OI 122.905 93 217 93 125
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 2015-09-01 $37.55 $39.00 22.7% 6.5% 21.7% 24.0% 22.5% 7.5% -2.1% 21.3K -90.1K -244 0.00 145.12 27 0 93 0 2015-09-02 $37.86 $39.00 26.9% 7.7% 22.1% 29.1% 18.0% 13.8% -11.6% 24.4K -99.1K -249 0.00 122.91 27 0 93 0 2015-09-03 $37.91 $0.00 24.5% 5.6% 22.1% 25.5% 0.0% 5.7% 4.9% 24.9K -107.6K -260 0.00 109.69 27 0 93 0 2015-09-04 $37.43 $0.00 27.9% 6.5% 22.3% 30.6% 0.0% 1.4% -2.1% 19.6K -73.1K -196 0.00 108.29 27 0 93 0 2015-09-08 $38.11 $0.00 24.3% 5.8% 23.1% 25.2% 0.0% 4.9% -2.3% 32.7K -92.7K -198 0.00 115.39 0 0 93 0 2015-09-09 $37.72 $0.00 20.8% 6.0% 23.1% 19.8% 0.0% 1.9% 4.6% 29.0K -106.3K -206 0.00 104.52 27 0 93 0 2015-09-10 $37.89 $0.00 20.5% 5.9% 22.7% 19.3% 0.0% 8.3% 4.6% 25.6K -86.1K -171 0.00 108.07 27 0 93 0 2015-09-11 $37.77 $0.00 18.4% 5.3% 22.7% 16.2% 0.0% 6.8% 6.7% 25.1K -75.4K -153 0.00 113.81 27 0 93 0 2015-09-14 $37.71 $0.00 19.2% 5.5% 22.4% 17.4% 0.0% 6.2% 5.4% 28.4K -70.9K -113 0.00 115.09 27 0 93 0 2015-09-15 $37.90 $0.00 18.6% 5.3% 22.5% 16.5% 15.5% 6.7% -1.0% 30.0K -61.9K -89 0.00 113.30 124 0 93 0 2015-09-16 $38.37 $39.00 18.1% 5.2% 23.2% 15.7% 17.8% 7.7% 5.0% 74.9K -226.6K -569 0.00 113.93 151 0 217 0 2015-09-17 $38.51 $39.00 15.3% 4.4% 23.3% 11.5% 16.6% 7.2% 3.8% 86.6K -316.6K -601 0.00 132.91 151 0 217 0 2015-09-18 $38.10 $39.00 19.5% 5.6% 22.8% 17.8% 17.1% 6.5% 4.8% 32.9K -169.9K -493 0.00 115.47 151 0 217 0 2015-09-21 $38.27 $39.00 20.4% 5.8% 22.4% 19.2% 19.7% 6.2% 0.8% 33.8K -173.2K -475 0.00 124.24 125 0 125 0 2015-09-22 $37.73 $39.00 19.3% 5.5% 18.3% 17.6% 12.4% 10.6% -2.1% 29.6K -122.0K -394 0.00 125.30 125 0 125 0 2015-09-23 $37.48 $39.00 21.0% 6.0% 18.5% 20.1% 21.0% 7.9% 0.3% 27.4K -109.9K -369 0.00 115.41 125 0 125 0 2015-09-24 $37.59 $39.00 20.3% 5.8% 18.2% 19.1% 19.5% 9.6% -3.6% 27.3K -102.1K -335 0.00 123.38 125 0 125 0 2015-09-25 $37.78 $39.00 24.0% 6.9% 17.0% 24.7% 18.5% 4.8% -7.4% 30.3K -136.8K -403 0.00 117.50 125 0 125 0 2015-09-28 $37.34 $39.00 23.7% 6.8% 17.4% 24.2% 20.8% 3.6% 1.0% 27.6K -114.5K -324 0.00 118.07 125 0 125 0 2015-09-29 $36.99 $39.00 24.1% 6.9% 17.6% 24.9% 13.7% 8.7% -3.6% 22.5K -59.4K -210 0.00 119.71 125 0 125 0 2015-09-30 $37.76 $39.00 22.4% 6.4% 16.1% 22.3% 14.3% 16.4% -7.0% 29.5K -101.6K -294 0.00 117.78 125 0 125 0
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