IGF Options History — April 2016

In April 2016, IGF traded between $38.03 and $39.99. ATM implied volatility averaged 17.2%, placing in the 13.1% IV rank vs the trailing year. The 30-day expected move averaged 4.3%. IV traded above realized volatility by 3.2% (HV 20d: 14.0%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.05.

Notable Days

2016-04-13: Highest Volume — 654 contracts
2016-04-11: Largest IV spike — 79.7% change
2016-04-12: Highest IV Rank — 42.3%
2016-04-29: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.19	$38.03	$39.99	$38.87	$39.99
Max Pain	$39.62	$35.00	$40.00	$35.00	$40.00
ATM IV	17.2%	10.2%	32.6%	17.2%	18.8%
Expected Move	4.3%	3.1%	5.4%	4.9%	5.4%
HV 20d	14.0%	13.0%	15.7%	13.2%	13.7%
HV 60d	17.1%	14.3%	19.2%	19.1%	14.3%
IV Rank	13.1%	0.0%	42.3%	12.8%	16.3%
IV Percentile	36.1%	0.0%	98.0%	36.5%	50.8%
Term Structure	12.3%	-4.9%	75.7%	-3.9%	-4.9%
VWIV	16.3%	12.0%	21.9%	21.9%	18.8%
Skew 25d	3.9%	-1.0%	8.0%	2.6%	2.1%
Skew 10d	4.9%	0.7%	9.6%	5.3%	5.2%
Call IV 25d	14.5%	10.6%	18.8%	18.8%	16.5%
Put IV 25d	18.4%	14.9%	21.5%	21.5%	18.6%
Bid-Ask Spread %	131.57	111.84	148.82	134.04	135.85
Gamma HHI	0.72	0.30	0.96	0.32	0.95
Net GEX	130.6K	5.9K	274.3K	6.3K	223.0K
Net DEX	-659.2K	-1.3M	-139.9K	-159.1K	-1.3M
Net VEX	-1.7K	-3.2K	-334	-339	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.01	0.13	0.04	0.01
Total Volume	421.857	52	654	52	644
Total OI	400.952	63	665	64	647

Daily Data (21 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
2016-04-01	$38.87	$35.00	17.2%	4.9%	13.2%	12.8%	21.9%	2.6%	-3.9%	6.3K	-159.1K	-339	0.04	134.04	50	2	62	2
2016-04-04	$38.59	$0.00	18.3%	3.6%	13.3%	14.9%	0.0%	6.2%	7.4%	8.3K	-158.5K	-334	0.11	132.61	54	6	62	2
2016-04-05	$38.03	$0.00	22.2%	4.3%	14.5%	22.3%	0.0%	1.8%	56.0%	7.5K	-144.8K	-399	0.11	135.79	54	6	66	6
2016-04-06	$38.42	$0.00	20.7%	3.8%	14.5%	19.4%	0.0%	8.0%	5.0%	10.9K	-148.5K	-363	0.11	122.46	54	6	66	6
2016-04-07	$38.09	$0.00	23.5%	4.4%	14.9%	24.7%	0.0%	6.9%	9.5%	9.6K	-139.9K	-378	0.11	122.56	54	6	66	6
2016-04-08	$38.66	$0.00	10.2%	3.7%	15.7%	0.0%	0.0%	6.9%	68.5%	14.5K	-162.9K	-356	0.11	130.07	54	6	66	6
2016-04-11	$38.88	$0.00	18.4%	4.1%	14.4%	15.4%	0.0%	7.6%	15.6%	7.2K	-163.8K	-364	0.13	126.05	46	6	64	6
2016-04-12	$39.35	$0.00	32.6%	4.4%	14.9%	42.3%	0.0%	7.7%	0.7%	8.8K	-178.6K	-351	0.13	123.27	47	6	66	6
2016-04-13	$39.49	$0.00	15.3%	4.4%	14.3%	9.6%	16.8%	1.9%	4.7%	5.9K	-152.7K	-340	0.01	119.40	648	6	57	6
2016-04-14	$39.31	$40.00	16.8%	4.8%	13.8%	12.5%	13.7%	1.8%	2.7%	177.4K	-1.1M	-3.2K	0.01	111.84	648	6	659	6
2016-04-15	$39.27	$40.00	15.5%	4.4%	13.0%	10.0%	16.6%	2.3%	3.1%	188.1K	-970.0K	-3.1K	0.01	121.70	648	6	658	6
2016-04-18	$39.58	$40.00	10.8%	3.1%	13.2%	1.2%	12.0%	5.5%	75.7%	244.2K	-898.7K	-2.9K	0.01	131.29	638	6	641	6
2016-04-19	$39.93	$40.00	12.2%	3.5%	13.4%	3.7%	12.8%	4.6%	7.8%	274.3K	-1.2M	-3.1K	0.01	131.52	638	6	641	6
2016-04-20	$39.70	$40.00	12.6%	3.6%	13.5%	4.4%	13.4%	3.5%	22.9%	252.7K	-1.2M	-3.1K	0.01	131.81	638	6	641	6
2016-04-21	$39.19	$40.00	15.3%	4.4%	14.0%	9.6%	18.0%	-1.0%	-0.8%	179.9K	-915.8K	-2.8K	0.01	145.13	638	6	641	6
2016-04-22	$39.33	$40.00	17.5%	5.0%	14.0%	13.8%	16.1%	3.3%	-1.8%	204.0K	-778.7K	-2.6K	0.01	139.52	638	6	641	6
2016-04-25	$39.17	$40.00	16.1%	4.6%	14.1%	11.1%	15.9%	1.9%	-0.8%	214.3K	-737.2K	-2.4K	0.01	148.82	638	6	641	6
2016-04-26	$39.51	$40.00	14.2%	4.1%	13.8%	7.6%	16.9%	2.5%	-1.8%	230.7K	-908.1K	-2.5K	0.01	142.31	638	6	641	6
2016-04-27	$39.90	$40.00	16.6%	4.8%	13.9%	12.2%	18.0%	4.2%	-3.9%	240.9K	-1.2M	-2.7K	0.01	138.74	638	6	641	6
2016-04-28	$39.78	$40.00	16.3%	4.7%	14.0%	11.6%	17.1%	2.5%	-3.1%	234.0K	-1.3M	-2.6K	0.01	138.23	638	6	641	6
2016-04-29	$39.99	$40.00	18.8%	5.4%	13.7%	16.3%	18.8%	2.1%	-4.9%	223.0K	-1.3M	-2.6K	0.01	135.85	638	6	641	6