IGF Options History — January 2016

In January 2016, IGF traded between $33.12 and $35.63. ATM implied volatility averaged 23.5%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 3.6% (HV 20d: 19.8%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.20.

Notable Days

2016-01-12: Highest Volume — 25 contracts
2016-01-13: Largest IV drop — 56.7% change
2016-01-12: Highest IV Rank — 57.4%
2016-01-20: Largest Expected Move — 6.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.51	$33.12	$35.63	$35.63	$35.50
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	23.5%	17.6%	40.6%	22.5%	22.1%
Expected Move	5.6%	4.3%	6.7%	4.5%	6.3%
HV 20d	19.8%	16.4%	24.2%	17.8%	24.2%
HV 60d	16.2%	14.3%	19.0%	14.4%	19.0%
IV Rank	24.8%	13.6%	57.4%	22.9%	22.2%
IV Percentile	78.3%	51.6%	99.2%	81.3%	78.2%
Term Structure	19.5%	-7.0%	65.3%	56.6%	0.5%
VWIV	21.2%	16.6%	26.6%	16.6%	26.6%
Skew 25d	6.8%	1.7%	12.0%	5.8%	7.0%
Skew 10d	4.8%	1.5%	10.4%	6.0%	7.2%
Call IV 25d	17.1%	13.0%	22.9%	14.1%	16.0%
Put IV 25d	23.9%	19.5%	33.1%	19.9%	23.0%
Bid-Ask Spread %	122.85	111.50	138.55	116.84	138.55
Gamma HHI	0.74	0.49	1.00	0.97	0.49
Net GEX	715	0	1.3K	269	735
Net DEX	-13.4K	-37.1K	0	-401	-36.3K
Net VEX	-30	-55	0	-2	-38
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.40	0.00	0.31
Total Volume	16.158	11	25	11	17
Total OI	15.263	11	25	11	17

Daily Data (19 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
2016-01-04	$35.63	$0.00	22.5%	4.5%	17.8%	22.9%	0.0%	5.8%	56.6%	269	-401	-2	0.00	116.84	11	0	11	0
2016-01-05	$35.62	$0.00	21.4%	4.3%	17.6%	20.9%	0.0%	7.5%	56.5%	95	-102	-1	0.00	116.10	11	0	11	0
2016-01-06	$35.11	$0.00	26.0%	4.9%	17.8%	29.6%	0.0%	5.8%	3.0%	20	-19	0	0.00	114.75	11	0	11	0
2016-01-07	$34.56	$0.00	25.2%	5.1%	18.3%	28.1%	0.0%	4.7%	10.5%	8	-7	0	0.00	119.95	11	0	11	0
2016-01-08	$34.44	$0.00	28.7%	5.6%	17.8%	34.7%	0.0%	3.7%	38.6%	4	-3	0	0.00	120.90	11	0	11	0
2016-01-11	$34.36	$0.00	34.6%	5.9%	17.8%	46.0%	0.0%	4.2%	54.1%	1	0	0	0.00	117.08	11	0	11	0
2016-01-12	$34.28	$0.00	40.6%	5.1%	16.4%	57.4%	16.6%	6.0%	65.3%	0	0	0	0.19	111.50	21	4	11	0
2016-01-13	$33.84	$33.00	17.6%	5.0%	16.9%	13.6%	16.8%	2.7%	12.4%	1.3K	-16.4K	-53	0.19	120.61	21	4	21	4
2016-01-14	$34.37	$33.00	20.1%	5.8%	17.7%	18.4%	18.5%	10.3%	36.2%	1.1K	-19.6K	-49	0.19	117.60	21	4	21	4
2016-01-15	$33.45	$33.00	22.8%	6.5%	18.2%	23.6%	21.8%	7.1%	58.7%	1.1K	-11.9K	-55	0.19	113.55	21	4	21	4
2016-01-19	$33.79	$33.00	18.4%	5.3%	18.8%	15.1%	19.4%	10.2%	-1.2%	1.2K	-14.0K	-50	0.40	129.44	10	4	10	4
2016-01-20	$33.12	$33.00	23.4%	6.7%	19.6%	24.7%	21.9%	6.6%	-1.1%	1.3K	-8.8K	-50	0.40	122.92	10	4	10	4
2016-01-21	$33.72	$33.00	21.5%	6.2%	20.5%	21.0%	22.0%	12.0%	-2.3%	1.1K	-13.0K	-50	0.36	130.52	11	4	10	4
2016-01-22	$34.82	$33.00	20.5%	5.9%	23.5%	19.2%	23.7%	12.0%	-5.4%	917	-22.9K	-49	0.36	133.08	11	4	11	4
2016-01-25	$34.24	$33.00	18.9%	5.4%	22.7%	16.1%	20.5%	5.3%	-0.3%	1.0K	-23.0K	-44	0.36	115.41	11	4	11	4
2016-01-26	$34.79	$33.00	20.5%	5.9%	23.6%	19.1%	22.3%	11.6%	-4.9%	959	-22.9K	-45	0.31	125.22	13	4	11	4
2016-01-27	$34.72	$33.00	22.0%	6.3%	23.6%	22.1%	22.6%	4.5%	-7.0%	1.2K	-28.6K	-51	0.31	133.03	13	4	13	4
2016-01-28	$35.25	$33.00	19.5%	5.6%	24.1%	17.3%	22.6%	1.7%	0.0%	1.3K	-37.1K	-30	0.31	137.09	13	4	13	4
2016-01-29	$35.50	$33.00	22.1%	6.3%	24.2%	22.2%	26.6%	7.0%	0.5%	735	-36.3K	-38	0.31	138.55	13	4	13	4