IGF Options History — July 2016

In July 2016, IGF traded between $39.95 and $41.55. ATM implied volatility averaged 18.1%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 2.5% (HV 20d: 20.6%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2016-07-01: Highest Volume — 82 contracts
2016-07-13: Largest IV drop — 56.5% change
2016-07-12: Highest IV Rank — 24.3%
2016-07-19: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.86	$39.95	$41.55	$40.47	$41.55
Max Pain	$39.05	$39.00	$40.00	$40.00	$39.00
ATM IV	18.1%	11.3%	27.8%	19.8%	11.3%
Expected Move	4.4%	3.2%	5.7%	5.7%	3.2%
HV 20d	20.6%	8.5%	24.9%	24.5%	8.5%
HV 60d	16.2%	15.8%	16.6%	16.6%	15.9%
IV Rank	10.9%	1.5%	24.3%	13.2%	1.5%
IV Percentile	43.4%	1.2%	93.3%	60.7%	1.2%
Term Structure	-2.7%	-9.9%	0.5%	-5.2%	-4.1%
VWIV	17.0%	14.4%	23.2%	23.2%	14.4%
Skew 25d	4.1%	-4.1%	7.9%	-0.2%	-4.1%
Skew 10d	5.3%	1.2%	8.3%	4.9%	5.0%
Call IV 25d	14.1%	11.7%	20.3%	20.3%	16.0%
Put IV 25d	18.2%	11.9%	21.4%	20.0%	11.9%
Bid-Ask Spread %	130.53	113.67	144.50	131.43	137.60
Gamma HHI	0.93	0.88	1.00	0.92	1.00
Net GEX	311.7K	198.4K	997.5K	248.8K	997.5K
Net DEX	-1.6M	-2.6M	-1.1M	-1.3M	-2.6M
Net VEX	-3.9K	-4.8K	-1.8K	-4.8K	-1.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.43	4.00	0.95	0.43
Total Volume	67.65	25	82	82	66
Total OI	842.25	821	863	838	863

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
2016-07-01	$40.47	$40.00	19.8%	5.7%	24.5%	13.2%	23.2%	-0.2%	-5.2%	248.8K	-1.3M	-4.8K	0.95	131.43	42	40	802	36
2016-07-05	$40.24	$39.00	22.5%	4.7%	24.5%	17.0%	17.9%	6.1%	-1.2%	201.6K	-1.2M	-4.5K	0.95	117.83	42	40	802	36
2016-07-06	$40.28	$39.00	24.8%	4.9%	24.4%	20.1%	17.3%	7.9%	-0.7%	217.9K	-1.2M	-4.4K	0.95	115.06	42	40	802	36
2016-07-07	$39.95	$39.00	24.0%	4.7%	24.5%	19.1%	17.0%	5.1%	-0.3%	198.4K	-1.1M	-4.3K	0.95	124.99	42	40	802	36
2016-07-08	$40.40	$39.00	23.4%	4.5%	24.9%	18.3%	16.9%	4.9%	-0.1%	224.7K	-1.3M	-4.5K	0.95	122.41	42	40	802	36
2016-07-11	$40.75	$39.00	22.5%	4.0%	24.1%	16.9%	19.6%	7.9%	-3.2%	229.3K	-1.4M	-4.3K	0.95	113.67	42	40	802	36
2016-07-12	$40.91	$39.00	27.8%	3.5%	23.9%	24.3%	18.6%	6.6%	0.2%	292.5K	-1.5M	-4.3K	0.95	131.23	42	40	802	36
2016-07-13	$40.91	$39.00	12.1%	3.5%	23.7%	2.6%	14.7%	4.5%	-0.3%	292.3K	-1.5M	-4.3K	0.98	129.02	41	40	802	36
2016-07-14	$41.03	$39.00	12.6%	3.6%	23.7%	3.3%	14.5%	5.3%	-0.7%	338.6K	-1.6M	-4.2K	0.98	129.67	41	40	802	36
2016-07-15	$40.93	$39.00	11.9%	3.4%	23.8%	2.3%	14.7%	3.6%	0.5%	325.2K	-1.5M	-4.1K	1.03	130.24	39	40	802	36
2016-07-18	$41.11	$39.00	13.3%	3.8%	23.6%	4.3%	17.5%	4.5%	-0.6%	260.9K	-1.6M	-4.0K	4.00	144.50	5	20	801	20
2016-07-19	$41.03	$39.00	19.8%	5.7%	23.4%	13.2%	15.2%	5.5%	-9.9%	221.5K	-1.7M	-3.9K	4.00	130.65	5	20	801	20
2016-07-20	$41.19	$39.00	18.2%	5.2%	23.2%	11.1%	18.4%	4.9%	-5.8%	253.3K	-1.7M	-3.9K	3.33	131.96	6	20	802	20
2016-07-21	$41.11	$39.00	13.4%	3.9%	23.1%	4.5%	15.4%	4.8%	-1.3%	350.9K	-1.7M	-3.8K	0.43	125.70	46	20	803	20
2016-07-22	$41.24	$39.00	15.6%	4.5%	22.3%	7.5%	18.0%	3.9%	-3.3%	326.6K	-1.8M	-3.8K	0.43	140.03	46	20	843	20
2016-07-25	$41.08	$39.00	19.0%	5.5%	13.6%	12.2%	17.1%	3.8%	-5.8%	267.6K	-1.9M	-3.7K	0.43	133.94	46	20	843	20
2016-07-26	$41.10	$39.00	19.3%	5.5%	12.2%	12.5%	16.9%	2.8%	-5.5%	271.3K	-1.9M	-3.6K	0.43	132.17	46	20	843	20
2016-07-27	$40.90	$39.00	15.7%	4.5%	10.7%	7.6%	16.6%	2.7%	-3.6%	332.3K	-1.8M	-3.5K	0.43	144.11	46	20	843	20
2016-07-28	$41.04	$39.00	14.5%	4.2%	9.5%	5.9%	16.4%	1.9%	-2.8%	383.4K	-1.8M	-3.4K	0.43	144.43	46	20	843	20
2016-07-29	$41.55	$39.00	11.3%	3.2%	8.5%	1.5%	14.4%	-4.1%	-4.1%	997.5K	-2.6M	-1.8K	0.43	137.60	46	20	843	20