IGF Options History — November 2015 In November 2015, IGF traded between $37.39 and $39.69. ATM implied volatility averaged 18.2%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded above realized volatility by 6.0% (HV 20d: 12.3%). Max pain ranged from $36.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2015-11-10 : Highest Volume — 49 contracts2015-11-27 : Largest IV spike — 65.6% change2015-11-27 : Highest IV Rank — 36.4%2015-11-03 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.20 $37.39 $39.69 $39.51 $37.72 Max Pain $36.00 $36.00 $36.00 $36.00 $36.00 ATM IV 18.2% 12.4% 28.0% 25.8% 16.3% Expected Move 4.7% 3.5% 8.0% 7.4% 4.7% HV 20d 12.3% 10.0% 13.5% 10.0% 12.9% HV 60d 17.1% 14.8% 18.5% 18.1% 14.8% IV Rank 17.5% 8.3% 36.4% 27.4% 15.3% IV Percentile 51.5% 9.5% 96.8% 92.1% 45.2% Term Structure -1.5% -9.0% 3.5% 3.5% -4.4% VWIV 40.8% 14.8% 58.0% 49.5% 58.0% Skew 25d 3.0% -4.2% 10.2% 7.8% 2.7% Skew 10d 1.2% -15.7% 16.2% 10.0% -2.4% Call IV 25d 15.4% 12.4% 25.5% 16.0% 20.0% Put IV 25d 18.4% 12.3% 26.4% 23.7% 22.7% Bid-Ask Spread % 172.61 149.82 192.90 167.73 191.98 Gamma HHI 0.46 0.33 0.91 0.33 0.51 Net GEX 11.9K 2.3K 20.2K 7.7K 5.5K Net DEX -195.7K -302.5K -7.1K -302.5K -63.9K Net VEX -143 -248 -39 -150 -86 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 32.5 0 49 42 0 Total OI 69.4 11 93 86 31
Daily Data (20 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 2015-11-02 $39.51 $36.00 25.8% 7.4% 10.0% 27.4% 49.5% 7.8% 3.5% 7.7K -302.5K -150 0.00 167.73 42 0 86 0 2015-11-03 $39.69 $36.00 28.0% 8.0% 10.1% 30.8% 50.3% 10.2% -0.2% 9.4K -267.0K -248 0.00 166.44 42 0 86 0 2015-11-04 $39.25 $36.00 19.9% 5.7% 10.4% 18.5% 56.2% 1.9% -9.0% 9.6K -296.7K -137 0.00 155.26 42 0 86 0 2015-11-05 $39.12 $0.00 18.8% 3.6% 10.0% 16.8% 0.0% 3.8% 1.2% 11.7K -283.6K -174 0.00 149.82 42 0 86 0 2015-11-06 $38.36 $0.00 27.9% 3.5% 12.0% 30.8% 0.0% -0.7% 2.2% 14.0K -232.9K -236 0.00 185.49 0 0 86 0 2015-11-09 $37.91 $0.00 18.5% 3.6% 12.5% 16.3% 0.0% 0.7% -1.5% 17.3K -228.1K -208 0.00 184.57 8 0 86 0 2015-11-10 $37.92 $0.00 19.9% 3.8% 12.4% 21.9% 0.0% 5.3% 0.6% 18.2K -248.1K -214 0.00 174.86 49 0 93 0 2015-11-11 $38.13 $0.00 19.1% 5.5% 12.2% 20.5% 0.0% 4.2% -3.4% 17.5K -266.4K -193 0.00 150.97 49 0 93 0 2015-11-12 $37.59 $0.00 15.2% 4.3% 11.8% 13.3% 0.0% 2.2% -1.5% 17.6K -209.0K -200 0.00 167.75 49 0 86 0 2015-11-13 $37.39 $0.00 15.8% 4.5% 11.6% 14.5% 0.0% 0.2% -0.6% 16.5K -193.3K -187 0.00 172.69 49 0 86 0 2015-11-16 $37.92 $0.00 12.8% 3.7% 13.1% 9.0% 0.0% 4.5% -1.0% 18.7K -243.4K -112 0.00 179.76 0 0 86 0 2015-11-17 $37.78 $0.00 12.4% 3.6% 12.9% 8.3% 0.0% 5.1% 0.6% 20.2K -240.3K -120 0.00 165.09 49 0 86 0 2015-11-18 $38.04 $0.00 13.3% 3.8% 13.4% 10.0% 0.0% 5.1% 1.6% 17.2K -265.9K -89 0.00 175.83 49 0 86 0 2015-11-19 $38.31 $0.00 14.1% 4.0% 13.5% 11.3% 0.0% 1.9% -0.2% 15.7K -245.7K -96 0.00 179.62 49 0 86 0 2015-11-20 $38.22 $0.00 12.4% 3.6% 13.5% 8.3% 0.0% 1.9% 0.5% 2.7K -104.5K -56 0.00 184.62 49 0 35 0 2015-11-23 $37.85 $0.00 14.8% 4.2% 13.5% 12.6% 14.8% 2.4% -4.1% 2.3K -7.1K -39 0.00 192.90 20 0 11 0 2015-11-24 $37.85 $36.00 14.8% 4.2% 13.3% 12.6% 0.0% 3.4% -3.0% 5.5K -65.9K -104 0.00 181.42 0 0 31 0 2015-11-25 $37.74 $36.00 16.9% 4.8% 13.3% 16.4% 16.2% 1.4% -3.1% 5.6K -78.8K -93 0.00 157.77 31 0 31 0 2015-11-27 $37.68 $36.00 28.0% 8.0% 13.2% 36.4% 58.0% -4.2% -7.4% 4.5K -70.5K -116 0.00 167.56 31 0 31 0 2015-11-30 $37.72 $36.00 16.3% 4.7% 12.9% 15.3% 0.0% 2.7% -4.4% 5.5K -63.9K -86 0.00 191.98 0 0 31 0
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