IGF Options History — March 2016

In March 2016, IGF traded between $36.59 and $39.18. ATM implied volatility averaged 16.7%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 2.2% (HV 20d: 14.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.04.

Notable Days

2016-03-30: Highest Volume — 52 contracts
2016-03-09: Largest IV drop — 34.0% change
2016-03-08: Highest IV Rank — 24.7%
2016-03-28: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.95	$36.59	$39.18	$36.59	$39.18
Max Pain	$34.82	$33.00	$35.00	$33.00	$35.00
ATM IV	16.7%	11.0%	23.4%	17.7%	18.0%
Expected Move	4.4%	3.2%	5.5%	5.1%	5.2%
HV 20d	14.5%	12.8%	18.5%	18.5%	12.8%
HV 60d	19.7%	19.0%	20.3%	20.3%	19.0%
IV Rank	12.0%	1.1%	24.7%	13.8%	14.4%
IV Percentile	36.3%	1.6%	79.4%	42.9%	45.6%
Term Structure	20.8%	-5.5%	59.1%	-2.3%	-5.5%
VWIV	16.4%	13.3%	19.8%	16.9%	19.6%
Skew 25d	3.4%	-2.7%	8.4%	0.5%	2.9%
Skew 10d	3.1%	-0.9%	11.4%	0.9%	2.5%
Call IV 25d	15.6%	12.7%	21.0%	20.4%	17.3%
Put IV 25d	19.0%	15.0%	21.9%	20.9%	20.2%
Bid-Ask Spread %	127.30	119.80	142.94	142.94	131.67
Gamma HHI	0.49	0.31	0.69	0.63	0.31
Net GEX	5.8K	3.4K	9.4K	3.9K	7.4K
Net DEX	-100.9K	-167.7K	-52.3K	-52.3K	-167.7K
Net VEX	-160	-321	-58	-78	-321
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.09	0.00	0.04
Total Volume	28.773	10	52	10	52
Total OI	37.591	20	64	20	64

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
2016-03-01	$36.59	$33.00	17.7%	5.1%	18.5%	13.8%	0.0%	0.5%	-2.3%	3.9K	-52.3K	-78	0.00	142.94	10	0	20	0
2016-03-02	$36.60	$33.00	17.3%	5.0%	17.2%	13.2%	0.0%	0.9%	-4.5%	4.1K	-53.1K	-74	0.00	140.66	10	0	20	0
2016-03-03	$36.95	$35.00	21.5%	3.9%	16.4%	21.1%	16.9%	8.4%	59.1%	3.7K	-53.9K	-75	0.00	120.61	10	0	20	0
2016-03-04	$37.33	$35.00	20.6%	3.9%	16.7%	19.4%	16.3%	6.7%	52.1%	3.4K	-59.9K	-64	0.00	122.85	10	0	20	0
2016-03-07	$37.37	$35.00	23.1%	4.0%	16.2%	24.2%	14.0%	7.4%	51.8%	3.5K	-60.4K	-58	0.00	121.29	20	0	20	0
2016-03-08	$37.09	$35.00	23.4%	4.5%	14.6%	24.7%	16.4%	4.7%	55.6%	6.2K	-69.2K	-104	0.00	122.22	20	0	29	0
2016-03-09	$37.32	$35.00	15.4%	4.4%	14.4%	9.6%	16.0%	5.4%	48.1%	6.2K	-73.0K	-96	0.00	122.15	22	0	29	0
2016-03-10	$37.41	$35.00	14.8%	4.3%	14.3%	8.4%	16.4%	6.9%	15.3%	5.9K	-74.1K	-129	0.09	120.59	23	2	31	0
2016-03-11	$38.12	$35.00	13.7%	3.9%	13.8%	6.3%	14.4%	4.9%	51.3%	5.8K	-96.8K	-135	0.06	124.46	33	2	34	2
2016-03-14	$38.06	$35.00	13.0%	3.7%	14.0%	4.9%	14.7%	4.8%	33.5%	6.9K	-111.9K	-228	0.06	125.11	33	2	44	2
2016-03-15	$37.70	$35.00	14.2%	4.1%	14.1%	7.3%	16.6%	2.9%	55.0%	6.9K	-106.4K	-241	0.06	121.92	33	2	44	2
2016-03-16	$38.23	$35.00	13.6%	3.9%	13.8%	6.1%	14.5%	7.3%	49.2%	6.7K	-119.5K	-219	0.06	122.69	33	2	44	2
2016-03-17	$38.77	$35.00	11.0%	3.2%	14.4%	1.1%	13.3%	1.3%	5.2%	5.9K	-135.5K	-181	0.06	119.80	33	2	44	2
2016-03-18	$38.69	$35.00	13.2%	3.8%	14.4%	5.3%	14.5%	3.5%	20.2%	5.7K	-127.4K	-213	0.06	122.89	33	2	44	2
2016-03-21	$38.60	$35.00	14.6%	4.2%	13.8%	8.1%	16.9%	2.6%	-3.3%	5.8K	-120.6K	-209	0.07	133.93	30	2	42	2
2016-03-22	$38.46	$35.00	16.4%	4.7%	13.3%	11.2%	16.9%	-0.2%	-2.0%	5.3K	-120.9K	-186	0.07	133.45	30	2	42	2
2016-03-23	$38.13	$35.00	18.0%	5.2%	13.9%	14.3%	19.0%	1.5%	-3.8%	6.3K	-114.7K	-209	0.07	129.18	30	2	42	2
2016-03-24	$38.27	$35.00	17.4%	5.0%	13.7%	13.1%	16.8%	1.7%	-2.6%	7.0K	-114.8K	-200	0.07	130.10	30	2	42	2
2016-03-28	$38.28	$35.00	19.3%	5.5%	13.0%	16.8%	19.8%	2.1%	-4.6%	6.3K	-118.3K	-190	0.07	129.89	30	2	42	2
2016-03-29	$38.76	$35.00	14.2%	4.1%	13.3%	7.1%	15.4%	-2.7%	-5.5%	9.4K	-131.9K	-156	0.07	131.86	30	2	42	2
2016-03-30	$39.06	$35.00	17.8%	5.1%	12.9%	13.9%	19.8%	1.6%	-5.1%	5.0K	-137.3K	-156	0.04	130.44	50	2	42	2
2016-03-31	$39.18	$35.00	18.0%	5.2%	12.8%	14.4%	19.6%	2.9%	-5.5%	7.4K	-167.7K	-321	0.04	131.67	50	2	62	2