IGF Options History — May 2016

In May 2016, IGF traded between $39.24 and $40.22. ATM implied volatility averaged 19.0%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 7.9% (HV 20d: 11.1%). Max pain ranged from $40.00 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 0.15.

Notable Days

2016-05-02: Highest Volume — 644 contracts
2016-05-03: Largest IV spike — 360.1% change
2016-05-03: Highest IV Rank — 100.0%
2016-05-03: Largest Expected Move — 23.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.69	$39.24	$40.22	$40.22	$39.76
Max Pain	$40.00	$40.00	$40.00	$40.00	$40.00
ATM IV	19.0%	12.8%	82.6%	18.0%	15.6%
Expected Move	5.2%	3.7%	23.7%	5.1%	4.5%
HV 20d	11.1%	10.0%	13.4%	13.4%	10.0%
HV 60d	13.1%	12.3%	14.3%	14.3%	12.3%
IV Rank	12.3%	3.6%	100.0%	14.7%	7.4%
IV Percentile	30.7%	5.6%	100.0%	42.5%	26.2%
Term Structure	-2.4%	-48.7%	2.2%	-3.0%	-4.1%
VWIV	34.4%	17.7%	64.6%	17.7%	21.0%
Skew 25d	3.2%	0.3%	12.0%	0.8%	1.5%
Skew 10d	2.7%	-1.7%	12.0%	3.7%	0.9%
Call IV 25d	22.0%	12.1%	166.1%	17.3%	17.9%
Put IV 25d	25.2%	14.6%	178.1%	18.1%	19.4%
Bid-Ask Spread %	139.62	124.11	157.05	138.61	156.97
Gamma HHI	0.87	0.56	0.97	0.96	0.56
Net GEX	182.9K	4.7K	331.8K	270.8K	6.2K
Net DEX	-707.3K	-1.4M	-46.6K	-1.4M	-60.2K
Net VEX	-1.2K	-2.4K	-189	-2.4K	-189
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.01	0.22	0.01	0.22
Total Volume	158.333	43	644	644	44
Total OI	465.333	37	647	647	37

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
2016-05-02	$40.22	$40.00	18.0%	5.1%	13.4%	14.7%	17.7%	0.8%	-3.0%	270.8K	-1.4M	-2.4K	0.01	138.61	638	6	641	6
2016-05-03	$39.85	$40.00	82.6%	23.7%	12.6%	100.0%	64.6%	12.0%	-48.7%	79.2K	-1.2M	-2.2K	0.01	145.23	638	6	641	6
2016-05-04	$39.77	$40.00	21.0%	6.0%	12.3%	14.9%	21.0%	1.6%	-5.5%	221.6K	-1.2M	-2.3K	0.01	139.68	638	6	641	6
2016-05-05	$39.78	$0.00	19.7%	4.4%	11.7%	13.1%	0.0%	7.2%	1.1%	236.6K	-1.2M	-2.2K	0.01	124.11	638	6	631	6
2016-05-06	$39.59	$0.00	17.7%	4.1%	11.0%	10.4%	0.0%	7.1%	1.2%	241.4K	-962.9K	-2.0K	0.16	128.24	38	6	631	6
2016-05-09	$39.44	$0.00	15.2%	4.3%	11.0%	6.9%	0.0%	5.3%	1.8%	331.8K	-496.0K	-1.4K	0.16	127.31	38	6	629	6
2016-05-10	$39.86	$0.00	19.9%	3.8%	10.8%	13.3%	0.0%	4.6%	1.3%	277.6K	-1.2M	-1.8K	0.16	131.42	38	6	629	6
2016-05-11	$39.83	$0.00	13.5%	3.9%	10.7%	4.5%	0.0%	4.7%	0.5%	313.8K	-1.1M	-1.7K	0.16	131.05	38	6	629	6
2016-05-12	$39.87	$0.00	12.8%	3.7%	10.6%	3.6%	0.0%	3.5%	0.4%	300.0K	-1.2M	-1.6K	0.16	136.38	38	6	627	6
2016-05-13	$39.57	$0.00	13.1%	3.8%	11.0%	4.0%	0.0%	1.2%	0.5%	286.1K	-945.1K	-1.5K	0.16	129.29	38	6	627	6
2016-05-16	$39.95	$0.00	13.6%	3.9%	11.1%	4.7%	0.0%	3.0%	0.1%	316.9K	-1.2M	-1.2K	0.16	136.56	38	6	627	6
2016-05-17	$39.95	$0.00	14.0%	4.0%	10.7%	5.2%	0.0%	4.1%	2.1%	322.4K	-1.2M	-1.1K	0.16	139.35	38	6	627	6
2016-05-18	$39.35	$0.00	15.6%	4.5%	11.8%	7.5%	0.0%	0.9%	2.0%	310.0K	-668.0K	-790	0.16	129.11	37	6	626	6
2016-05-19	$39.24	$0.00	16.2%	4.6%	10.9%	8.2%	0.0%	0.8%	-0.3%	297.6K	-516.3K	-560	0.22	125.89	37	8	626	6
2016-05-20	$39.44	$0.00	14.9%	4.3%	11.0%	6.5%	0.0%	2.3%	2.2%	5.0K	-48.9K	-224	0.22	136.57	37	8	626	8
2016-05-23	$39.24	$0.00	16.8%	4.8%	11.0%	9.1%	0.0%	1.2%	-0.3%	5.0K	-46.6K	-219	0.22	154.34	36	8	29	8
2016-05-24	$39.53	$0.00	14.3%	4.1%	10.9%	5.7%	0.0%	1.4%	0.9%	4.7K	-48.6K	-219	0.22	157.05	36	8	29	8
2016-05-25	$39.64	$0.00	14.2%	4.1%	10.3%	5.6%	0.0%	0.3%	-2.0%	5.3K	-52.4K	-215	0.22	156.47	36	8	29	8
2016-05-26	$39.82	$0.00	14.3%	4.1%	10.4%	5.7%	0.0%	2.8%	0.6%	4.7K	-54.8K	-216	0.22	156.00	36	8	29	8
2016-05-27	$39.82	$0.00	15.4%	4.4%	10.2%	7.1%	0.0%	1.7%	-0.9%	4.9K	-55.2K	-214	0.22	152.31	36	8	29	8
2016-05-31	$39.76	$0.00	15.6%	4.5%	10.0%	7.4%	0.0%	1.5%	-4.1%	6.2K	-60.2K	-189	0.22	156.97	36	8	29	8