IGF Options History — February 2016

In February 2016, IGF traded between $34.45 and $36.43. ATM implied volatility averaged 21.8%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 1.5% (HV 20d: 23.3%). Max pain ranged from $33.00 to $33.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.22.

Notable Days

2016-02-26: Highest Volume — 18 contracts
2016-02-08: Largest IV spike — 29.5% change
2016-02-09: Highest IV Rank — 37.6%
2016-02-11: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.68	$34.45	$36.43	$36.03	$36.08
Max Pain	$33.00	$33.00	$33.00	$33.00	$33.00
ATM IV	21.8%	16.6%	30.2%	19.5%	19.8%
Expected Move	6.0%	4.8%	7.8%	5.6%	5.7%
HV 20d	23.3%	18.6%	26.2%	24.7%	18.6%
HV 60d	19.9%	19.3%	20.5%	19.3%	20.5%
IV Rank	21.6%	11.8%	37.6%	17.3%	17.9%
IV Percentile	70.7%	36.9%	97.6%	66.3%	62.7%
Term Structure	-1.9%	-8.0%	0.3%	-3.8%	-3.3%
VWIV	24.9%	20.2%	32.2%	28.7%	30.2%
Skew 25d	6.5%	-0.2%	13.1%	6.0%	6.5%
Skew 10d	8.1%	1.5%	16.2%	4.9%	7.6%
Call IV 25d	19.3%	14.5%	24.0%	20.0%	20.0%
Put IV 25d	25.8%	20.7%	31.7%	26.0%	26.5%
Bid-Ask Spread %	125.38	100.17	144.22	133.04	144.22
Gamma HHI	0.53	0.40	1.00	0.48	0.47
Net GEX	848	-188	3.8K	791	3.8K
Net DEX	-31.9K	-45.2K	-9.5K	-41.7K	-41.4K
Net VEX	-23	-75	-1	-20	-75
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	0.31	0.31	0.00
Total Volume	14.4	3	18	17	10
Total OI	13.95	3	18	17	18

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
2016-02-01	$36.03	$33.00	19.5%	5.6%	24.7%	17.3%	28.7%	6.0%	-3.8%	791	-41.7K	-20	0.31	133.04	13	4	13	4
2016-02-02	$35.40	$33.00	23.8%	6.8%	25.3%	25.5%	28.4%	0.3%	0.3%	859	-34.8K	-37	0.31	137.03	13	4	13	4
2016-02-03	$36.03	$33.00	20.6%	5.9%	26.1%	19.4%	32.2%	8.7%	-1.0%	709	-41.2K	-21	0.31	136.44	13	4	13	4
2016-02-04	$36.13	$33.00	22.8%	5.6%	25.5%	23.5%	21.0%	4.4%	-1.1%	555	-43.2K	-15	0.31	117.12	13	4	13	4
2016-02-05	$35.78	$33.00	22.4%	5.8%	25.0%	22.8%	20.2%	5.0%	-1.3%	186	-41.7K	-18	0.31	111.38	13	4	13	4
2016-02-08	$35.10	$33.00	29.0%	6.6%	26.1%	35.4%	23.2%	10.0%	-0.9%	926	-33.6K	-33	0.31	119.43	13	4	13	4
2016-02-09	$34.97	$33.00	30.2%	6.9%	26.1%	37.6%	23.0%	12.3%	-1.4%	1.1K	-31.4K	-33	0.31	103.80	13	4	13	4
2016-02-10	$34.93	$33.00	23.9%	6.9%	26.1%	25.6%	22.5%	9.5%	-1.7%	1.0K	-31.2K	-34	0.31	104.70	13	4	13	4
2016-02-11	$34.45	$33.00	27.3%	7.8%	26.2%	32.0%	28.5%	7.7%	-1.5%	1.3K	-26.8K	-35	0.31	100.17	13	4	13	4
2016-02-12	$34.70	$33.00	22.7%	6.5%	25.7%	23.3%	22.0%	7.0%	-1.6%	1.1K	-30.8K	-29	0.31	108.87	13	4	13	4
2016-02-16	$35.27	$33.00	20.9%	6.0%	24.1%	19.9%	20.9%	13.1%	0.2%	496	-38.6K	-15	0.31	113.19	13	4	13	4
2016-02-17	$35.85	$33.00	18.6%	5.3%	24.4%	15.7%	20.6%	7.6%	-1.5%	253	-42.7K	-7	0.31	125.02	13	4	13	4
2016-02-18	$35.93	$33.00	18.2%	5.2%	22.9%	14.8%	21.1%	7.4%	-1.0%	-188	-44.1K	-6	0.31	122.78	13	4	13	3
2016-02-19	$35.85	$33.00	16.6%	4.8%	22.4%	11.8%	22.8%	4.5%	-0.3%	403	-45.2K	-6	0.31	126.61	13	4	13	3
2016-02-22	$36.40	$33.00	19.1%	5.5%	20.2%	16.6%	25.9%	7.4%	-2.8%	231	-10.6K	-1	0.00	140.97	3	0	3	0
2016-02-23	$36.05	$33.00	18.9%	5.4%	19.4%	16.2%	25.0%	2.5%	-4.3%	311	-9.5K	-6	0.00	142.25	3	0	3	0
2016-02-24	$36.09	$33.00	20.8%	6.0%	18.8%	19.7%	28.0%	7.5%	-8.0%	366	-9.5K	-5	0.00	136.85	3	0	3	0
2016-02-25	$36.43	$33.00	20.2%	5.8%	18.9%	18.6%	27.1%	2.1%	-2.4%	177	-10.7K	-1	0.00	142.66	13	0	3	0
2016-02-26	$36.08	$33.00	20.0%	5.7%	18.7%	18.2%	26.0%	-0.2%	-0.8%	2.6K	-28.7K	-58	0.00	141.14	18	0	13	0
2016-02-29	$36.08	$33.00	19.8%	5.7%	18.6%	17.9%	30.2%	6.5%	-3.3%	3.8K	-41.4K	-75	0.00	144.22	10	0	18	0