IGF Options History — October 2015

In October 2015, IGF traded between $37.50 and $40.43. ATM implied volatility averaged 19.5%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 2.4% (HV 20d: 17.1%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.

Notable Days

2015-10-13: Highest Volume — 250 contracts
2015-10-05: Largest IV spike — 69.1% change
2015-10-05: Highest IV Rank — 38.0%
2015-10-01: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.67	$37.50	$40.43	$37.50	$39.48
Max Pain	$36.14	$36.00	$39.00	$39.00	$36.00
ATM IV	19.5%	12.8%	32.6%	27.2%	16.5%
Expected Move	4.7%	3.5%	7.8%	7.8%	4.7%
HV 20d	17.1%	12.3%	19.1%	16.0%	12.3%
HV 60d	17.9%	17.0%	18.1%	17.0%	18.1%
IV Rank	17.8%	7.6%	38.0%	29.7%	13.3%
IV Percentile	62.8%	18.3%	98.8%	96.4%	49.6%
Term Structure	-0.4%	-7.0%	5.1%	-3.3%	-3.3%
VWIV	38.9%	18.6%	51.2%	21.9%	51.2%
Skew 25d	6.2%	-2.0%	39.3%	2.8%	1.7%
Skew 10d	7.5%	-0.4%	54.4%	-0.4%	2.8%
Call IV 25d	15.0%	9.3%	22.7%	22.7%	16.9%
Put IV 25d	21.1%	15.4%	52.6%	25.5%	18.6%
Bid-Ask Spread %	155.11	117.59	183.15	118.41	160.53
Gamma HHI	0.68	0.33	1.00	0.99	0.55
Net GEX	23.5K	214	54.7K	29.3K	8.5K
Net DEX	-467.5K	-883.3K	-97.2K	-97.2K	-312.5K
Net VEX	-195	-476	-8	-281	-93
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	129.5	0	250	125	42
Total OI	147.864	86	229	125	86

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	Spread %	Call Vol	Call OI
2015-10-01	$37.50	$39.00	27.2%	7.8%	16.0%	29.7%	21.9%	2.8%	-3.3%	29.3K	-97.2K	-281	118.41	125	125
2015-10-02	$38.50	$36.00	19.3%	5.5%	18.6%	17.5%	20.8%	4.4%	1.3%	49.8K	-328.7K	-313	127.70	220	175
2015-10-05	$39.30	$36.00	32.6%	5.0%	19.1%	38.0%	0.0%	1.9%	-0.3%	38.7K	-611.9K	-476	174.15	0	220
2015-10-06	$39.36	$36.00	21.8%	5.4%	18.2%	21.4%	18.6%	3.9%	-0.2%	54.7K	-550.7K	-436	117.59	220	199
2015-10-07	$39.67	$36.00	23.3%	4.4%	17.8%	23.6%	0.0%	5.4%	2.2%	33.4K	-639.0K	-284	136.97	220	199
2015-10-08	$39.98	$36.00	21.6%	4.1%	17.9%	21.0%	0.0%	7.2%	1.6%	26.8K	-601.3K	-314	147.16	220	199
2015-10-09	$39.89	$36.00	21.9%	4.2%	17.8%	21.5%	40.9%	5.9%	0.5%	51.9K	-667.0K	-291	153.63	220	199
2015-10-12	$39.86	$36.00	26.9%	4.0%	17.8%	29.2%	42.1%	8.6%	3.4%	44.9K	-649.4K	-203	163.57	220	199
2015-10-13	$39.56	$36.00	28.0%	3.5%	18.2%	30.8%	38.5%	11.9%	5.1%	49.4K	-598.1K	-244	148.35	250	199
2015-10-14	$39.86	$36.00	14.4%	4.1%	17.9%	10.1%	39.2%	9.2%	2.6%	52.7K	-784.1K	-176	155.74	250	229
2015-10-15	$40.30	$36.00	13.8%	4.0%	18.2%	9.1%	0.0%	7.2%	1.8%	15.2K	-702.2K	-126	164.80	250	229
2015-10-16	$40.43	$36.00	12.8%	3.7%	17.5%	7.6%	0.0%	3.2%	3.0%	214	-883.3K	-8	158.84	146	219
2015-10-19	$40.12	$36.00	16.9%	4.8%	17.9%	13.8%	33.5%	8.3%	-2.7%	5.3K	-318.5K	-134	158.34	86	86
2015-10-20	$40.24	$36.00	16.9%	4.8%	16.8%	13.9%	45.5%	5.6%	0.8%	8.9K	-315.6K	-154	162.21	86	86
2015-10-21	$40.13	$36.00	15.3%	4.4%	16.6%	11.4%	30.9%	1.7%	-0.5%	5.9K	-322.5K	-109	151.74	42	86
2015-10-22	$40.36	$36.00	14.9%	4.3%	16.6%	10.8%	0.0%	39.3%	-1.2%	2.1K	-333.7K	-81	161.40	42	87
2015-10-23	$40.21	$36.00	17.2%	4.9%	16.8%	14.4%	47.9%	3.2%	-3.6%	5.5K	-327.5K	-117	156.96	42	87
2015-10-26	$39.83	$36.00	17.3%	4.9%	16.5%	14.4%	45.9%	2.8%	-4.7%	5.5K	-316.8K	-122	172.72	42	86
2015-10-27	$39.44	$36.00	16.1%	4.6%	16.6%	12.7%	50.2%	-2.0%	-4.0%	9.3K	-309.5K	-108	173.35	42	86
2015-10-28	$39.44	$36.00	18.2%	5.2%	15.2%	15.9%	45.4%	2.3%	-7.0%	9.0K	-305.8K	-130	165.04	42	86
2015-10-29	$39.24	$36.00	15.8%	4.5%	15.1%	12.1%	49.3%	1.2%	-1.3%	9.2K	-308.7K	-98	183.15	42	86
2015-10-30	$39.48	$36.00	16.5%	4.7%	12.3%	13.3%	51.2%	1.7%	-3.3%	8.5K	-312.5K	-93	160.53	42	86