IGF Options History — June 2016

In June 2016, IGF traded between $38.28 and $40.87. ATM implied volatility averaged 20.7%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 6.8% (HV 20d: 13.9%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.40.

Notable Days

2016-06-24: Highest Volume — 863 contracts
2016-06-24: Largest IV spike — 50.3% change
2016-06-22: Highest IV Rank — 23.4%
2016-06-22: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.95	$38.28	$40.87	$39.81	$40.39
Max Pain	$38.81	$38.00	$40.00	$38.00	$40.00
ATM IV	20.7%	15.0%	27.1%	15.7%	16.1%
Expected Move	5.7%	3.7%	7.8%	4.5%	4.6%
HV 20d	13.9%	9.5%	24.9%	9.5%	24.9%
HV 60d	13.0%	11.7%	16.7%	12.3%	16.7%
IV Rank	14.5%	6.7%	23.4%	7.6%	8.1%
IV Percentile	61.0%	21.8%	91.7%	27.0%	29.4%
Term Structure	15.8%	-6.4%	50.9%	-3.6%	-1.2%
VWIV	24.6%	19.5%	28.9%	19.5%	24.2%
Skew 25d	6.2%	-2.4%	11.9%	3.0%	3.6%
Skew 10d	7.4%	1.6%	16.2%	1.6%	16.2%
Call IV 25d	18.0%	10.7%	27.6%	17.4%	18.6%
Put IV 25d	24.2%	15.4%	38.4%	20.4%	22.2%
Bid-Ask Spread %	119.37	106.47	157.24	157.24	129.87
Gamma HHI	0.69	0.30	0.93	0.77	0.92
Net GEX	39.1K	-2.1K	244.1K	4.7K	244.1K
Net DEX	-207.9K	-1.1M	-3.6K	-55.7K	-1.1M
Net VEX	-1.0K	-4.6K	-158	-205	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.02	1.00	0.22	1.00
Total Volume	126.909	44	863	44	80
Total OI	219.864	33	840	37	838

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
2016-06-01	$39.81	$0.00	15.7%	4.5%	9.5%	7.6%	0.0%	3.0%	-3.6%	4.7K	-55.7K	-205	0.22	157.24	36	8	29	8
2016-06-02	$39.73	$38.00	16.6%	4.1%	9.5%	8.8%	19.5%	4.8%	50.9%	4.9K	-53.9K	-202	0.22	117.50	36	8	29	8
2016-06-03	$40.25	$38.00	17.6%	4.3%	10.6%	10.3%	21.5%	3.5%	40.0%	4.8K	-64.4K	-195	0.22	119.91	36	8	29	8
2016-06-06	$40.53	$38.00	18.3%	3.7%	10.6%	11.2%	21.0%	4.3%	4.4%	5.6K	-75.1K	-170	0.22	117.21	36	8	29	8
2016-06-07	$40.73	$38.00	18.4%	3.9%	10.5%	11.3%	20.7%	6.7%	3.0%	4.5K	-77.7K	-172	0.22	117.94	36	8	29	8
2016-06-08	$40.87	$38.00	15.0%	4.3%	10.0%	6.7%	22.8%	1.1%	38.6%	5.0K	-79.2K	-163	0.22	117.02	36	8	29	8
2016-06-09	$40.82	$38.00	16.6%	4.7%	10.0%	8.8%	21.1%	7.2%	3.8%	4.8K	-81.1K	-158	0.22	114.60	36	8	29	8
2016-06-10	$40.07	$38.00	20.3%	5.8%	12.2%	13.9%	23.1%	6.4%	39.3%	4.8K	-58.9K	-183	0.22	114.14	36	8	29	8
2016-06-13	$39.74	$38.00	22.8%	6.5%	12.3%	17.4%	25.6%	5.6%	48.5%	4.6K	-54.8K	-178	0.22	110.87	36	8	29	8
2016-06-14	$39.47	$38.00	25.0%	7.2%	12.0%	20.4%	27.5%	7.1%	37.7%	4.3K	-47.0K	-176	0.22	106.47	36	8	29	8
2016-06-15	$39.54	$38.00	22.9%	6.6%	12.0%	17.5%	28.2%	8.6%	32.5%	4.3K	-49.0K	-175	0.22	108.19	36	8	29	8
2016-06-16	$39.69	$38.00	23.9%	6.9%	10.8%	18.9%	28.9%	10.3%	44.8%	4.3K	-50.5K	-171	0.50	108.98	36	18	29	8
2016-06-17	$40.04	$39.00	23.8%	6.8%	11.1%	18.7%	28.5%	11.9%	42.3%	2.2K	-39.8K	-210	0.45	108.18	40	18	29	18
2016-06-20	$40.48	$39.00	23.1%	6.6%	11.6%	17.8%	28.5%	11.7%	-2.7%	2.7K	-58.3K	-233	0.45	118.05	40	18	33	18
2016-06-21	$40.18	$39.00	24.9%	7.1%	11.8%	20.2%	25.5%	6.3%	-6.0%	2.9K	-71.8K	-272	0.47	123.94	38	18	37	18
2016-06-22	$39.95	$40.00	27.1%	7.8%	11.8%	23.4%	28.6%	6.1%	-6.4%	-1.8K	-3.6K	-208	0.47	122.69	38	18	15	18
2016-06-23	$40.67	$40.00	16.9%	4.8%	13.3%	9.2%	24.7%	9.3%	-2.5%	-2.1K	-11.4K	-196	0.02	124.16	825	18	15	18
2016-06-24	$38.80	$40.00	25.4%	7.3%	21.6%	20.9%	24.9%	-2.4%	-3.4%	130.7K	-675.6K	-3.7K	0.05	119.77	825	38	802	18
2016-06-27	$38.28	$40.00	26.1%	7.5%	22.0%	22.0%	28.7%	10.9%	-4.4%	99.9K	-467.7K	-3.2K	1.00	120.27	40	40	802	38
2016-06-28	$39.08	$40.00	21.2%	6.1%	23.5%	15.2%	22.6%	6.9%	-3.0%	137.4K	-593.8K	-3.7K	1.00	122.53	40	40	802	36
2016-06-29	$39.70	$40.00	18.2%	5.2%	24.2%	11.0%	21.2%	3.5%	-4.9%	186.6K	-785.9K	-4.0K	1.00	126.66	40	40	802	36
2016-06-30	$40.39	$40.00	16.1%	4.6%	24.9%	8.1%	24.2%	3.6%	-1.2%	244.1K	-1.1M	-4.6K	1.00	129.87	40	40	802	36