IGF Options History — December 2015 In December 2015, IGF traded between $35.29 and $37.89. ATM implied volatility averaged 19.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 4.1% (HV 20d: 15.8%). 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 13 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2015-12-10 : Highest Volume — 61 contracts2015-12-10 : Largest IV spike — 42.3% change2015-12-14 : Highest IV Rank — 35.8%2015-12-14 : Largest Expected Move — 7.9%Monthly Statistics Metric Avg Min Max Open Close Price $36.29 $35.29 $37.89 $37.89 $35.98 Max Pain $38.73 $36.00 $39.00 $36.00 $39.00 ATM IV 19.9% 15.6% 27.6% 16.0% 18.4% Expected Move 5.7% 3.9% 7.9% 4.6% 5.3% HV 20d 15.8% 13.1% 19.1% 13.1% 17.7% HV 60d 15.3% 14.4% 16.5% 14.6% 14.4% IV Rank 21.0% 10.8% 35.8% 14.8% 15.3% IV Percentile 65.0% 36.5% 95.6% 42.9% 59.5% Term Structure 10.8% -5.0% 51.5% -3.4% -4.2% VWIV 21.4% 14.6% 48.0% 48.0% 23.7% Skew 25d 3.3% -3.1% 9.6% 3.4% 1.8% Skew 10d 0.5% -3.7% 6.8% -1.0% -2.2% Call IV 25d 16.3% 12.0% 20.1% 19.7% 19.2% Put IV 25d 19.6% 13.8% 23.9% 23.1% 21.1% Bid-Ask Spread % 147.12 123.33 191.79 191.79 126.47 Gamma HHI 0.85 0.50 0.98 0.50 0.97 Net GEX 6.8K 148 29.0K 5.6K 387 Net DEX -48.1K -148.5K -222 -66.9K -576 Net VEX -52 -153 -2 -84 -3 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 30.455 0 61 0 11 Total OI 37.364 11 81 31 11
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 2015-12-01 $37.89 $36.00 16.0% 4.6% 13.1% 14.8% 0.0% 3.4% -3.4% 5.6K -66.9K -84 0.00 191.79 0 0 31 0 2015-12-02 $37.07 $36.00 17.8% 5.1% 14.6% 18.0% 48.0% 1.3% -2.8% 6.7K -60.2K -62 0.00 183.32 31 0 31 0 2015-12-03 $36.75 $39.00 18.0% 5.9% 14.5% 18.4% 14.6% 1.1% 48.1% 6.2K -61.0K -96 0.00 146.92 31 0 31 0 2015-12-04 $36.90 $39.00 19.0% 6.3% 14.7% 20.2% 15.1% 0.6% 8.6% 8.3K -61.9K -80 0.00 151.63 31 0 31 0 2015-12-07 $36.42 $39.00 19.6% 3.9% 13.9% 21.4% 0.0% 3.8% 48.1% 5.5K -44.4K -59 0.00 156.76 0 0 31 0 2015-12-08 $36.15 $39.00 23.4% 6.7% 13.6% 28.2% 19.1% 1.0% 5.6% 8.7K -41.3K -67 0.00 154.00 31 0 31 0 2015-12-09 $36.50 $39.00 16.2% 4.6% 14.2% 15.1% 17.6% 6.5% 2.9% 7.5K -47.1K -57 0.00 140.19 31 0 31 0 2015-12-10 $36.40 $39.00 23.0% 6.6% 13.9% 27.5% 16.0% 9.6% 38.9% 4.8K -48.4K -75 0.00 144.99 61 0 31 0 2015-12-11 $35.64 $39.00 26.2% 7.5% 14.9% 33.3% 19.6% 7.0% 9.7% 14.9K -108.0K -153 0.00 141.56 61 0 81 0 2015-12-14 $35.63 $39.00 27.6% 7.9% 14.9% 35.8% 22.6% -3.1% 47.7% 18.5K -92.9K -99 0.00 142.95 61 0 81 0 2015-12-15 $35.91 $39.00 25.0% 7.2% 14.1% 31.1% 20.0% 4.7% 0.5% 29.0K -125.6K -110 0.00 153.39 61 0 81 0 2015-12-16 $36.55 $39.00 25.1% 7.2% 15.8% 31.4% 18.2% 9.5% 51.5% 8.8K -148.5K -86 0.00 157.92 61 0 81 0 2015-12-17 $36.21 $39.00 18.6% 5.3% 15.7% 19.4% 19.5% 7.8% 6.1% 21.8K -142.5K -59 0.00 153.35 61 0 81 0 2015-12-18 $35.88 $39.00 25.7% 7.4% 15.5% 32.3% 21.0% 3.3% 3.1% 1.0K -4.7K -22 0.00 149.23 61 0 81 0 2015-12-21 $35.29 $39.00 17.8% 5.1% 16.2% 18.0% 27.3% 1.5% 0.1% 148 -222 -2 0.00 157.20 11 0 11 0 2015-12-22 $35.64 $39.00 15.6% 4.5% 16.7% 14.0% 25.3% 3.8% -1.3% 428 -790 -5 0.00 131.25 11 0 11 0 2015-12-23 $36.38 $39.00 16.3% 4.7% 18.7% 15.2% 19.0% 1.6% -3.5% 348 -471 -3 0.00 123.33 11 0 11 0 2015-12-24 $36.35 $39.00 16.1% 4.6% 18.7% 10.8% 18.0% 1.9% -3.6% 714 -1.2K -7 0.00 133.57 11 0 11 0 2015-12-28 $36.15 $39.00 18.2% 5.2% 18.7% 14.8% 21.2% 2.1% -4.8% 268 -324 -2 0.00 131.69 11 0 11 0 2015-12-29 $36.47 $39.00 18.2% 5.2% 19.1% 14.7% 20.0% 2.6% -5.0% 713 -1.1K -5 0.00 133.33 11 0 11 0 2015-12-30 $36.21 $39.00 16.9% 4.9% 19.1% 12.4% 21.8% 1.0% -4.9% 413 -558 -3 0.00 131.71 11 0 11 0 2015-12-31 $35.98 $39.00 18.4% 5.3% 17.7% 15.3% 23.7% 1.8% -4.2% 387 -576 -3 0.00 126.47 11 0 11 0
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