IGF Options History — August 2016

In August 2016, IGF traded between $40.72 and $42.03. ATM implied volatility averaged 13.3%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 5.2% (HV 20d: 8.1%). Max pain ranged from $39.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.24.

Notable Days

  • 2016-08-19: Highest Volume — 102 contracts
  • 2016-08-03: Largest IV spike — 46.0% change
  • 2016-08-03: Highest IV Rank — 11.8%
  • 2016-08-03: Largest Expected Move — 5.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.37$40.72$42.03$41.14$40.72
Max Pain$40.74$39.00$41.00$39.00$41.00
ATM IV13.3%10.1%18.8%16.0%16.1%
Expected Move3.5%2.9%5.4%4.6%4.6%
HV 20d8.1%7.1%9.4%9.4%8.2%
HV 60d15.7%15.4%16.1%16.1%15.6%
IV Rank4.3%0.0%11.8%7.9%8.2%
IV Percentile14.6%0.0%52.0%27.8%31.3%
Term Structure-0.3%-5.4%2.6%-5.4%-0.1%
VWIV13.0%10.0%19.5%19.4%15.1%
Skew 25d1.7%-1.3%4.8%2.1%1.6%
Skew 10d3.0%-2.6%5.9%5.9%0.7%
Call IV 25d12.7%9.4%17.7%15.4%17.7%
Put IV 25d14.5%11.8%19.3%17.6%19.3%
Bid-Ask Spread %140.26127.67156.98144.56156.98
Gamma HHI0.840.670.990.910.69
Net GEX243.9K11.8K473.4K378.0K13.1K
Net DEX-1.6M-3.6M-93.7K-1.9M-93.7K
Net VEX-1.4K-3.1K-330-3.1K-330
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.000.430.430.05
Total Volume55.95701026642
Total OI584.135189786351

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$41.14$39.0016.0%4.6%9.4%7.9%19.4%2.1%-5.4%378.0K-1.9M-3.1K0.43144.56462084320
2016-08-02$41.11$39.0012.9%3.7%9.1%3.7%19.5%-0.3%0.6%473.4K-1.8M-2.9K0.43140.91462084320
2016-08-03$41.11$39.0018.8%5.4%9.1%11.8%18.2%1.9%-4.6%353.4K-1.8M-2.9K0.43135.69462084320
2016-08-04$41.24$41.0016.7%3.5%8.5%8.9%11.8%4.8%1.7%405.5K-1.9M-2.8K0.43131.51462084320
2016-08-05$41.24$41.0018.2%3.7%7.7%11.1%11.2%2.6%1.0%376.3K-2.0M-2.7K0.43127.67462084320
2016-08-08$41.35$41.0016.4%3.6%7.2%8.6%12.1%3.8%0.1%390.8K-2.2M-2.4K0.43133.54462084320
2016-08-09$41.37$41.0017.2%3.1%7.1%9.7%10.7%0.7%0.8%403.6K-2.2M-2.3K0.43145.15472084320
2016-08-10$41.34$41.0011.0%3.2%7.1%1.1%10.0%0.6%1.7%408.4K-2.2M-2.2K0.43138.63472084220
2016-08-11$41.61$41.0010.8%3.1%7.4%0.8%10.3%2.0%-1.0%391.6K-2.5M-1.9K0.43138.56472084220
2016-08-12$41.71$41.0010.5%3.0%7.3%0.4%10.8%3.6%-0.2%361.5K-2.5M-1.7K0.43137.85472084220
2016-08-15$41.65$41.0010.8%3.1%7.2%0.9%10.8%2.7%0.6%377.5K-2.5M-1.3K0.26139.08772084220
2016-08-16$41.47$41.0011.9%3.4%7.4%2.4%11.6%1.3%-0.9%418.5K-2.4M-1.5K0.26141.98772087220
2016-08-17$41.56$41.0010.8%3.1%7.3%0.9%0.0%2.1%-0.9%417.4K-2.5M-1.2K0.00145.9745087220
2016-08-18$42.03$41.0010.1%2.9%8.2%0.0%0.0%2.8%2.1%333.4K-3.0M-7330.00140.290083720
2016-08-19$41.67$41.0011.2%3.2%8.8%1.4%10.5%1.6%1.3%12.6K-3.6M-3680.24142.63822087720
2016-08-22$41.60$41.0010.4%3.0%8.7%0.4%13.2%1.4%2.0%11.8K-124.1K-3660.00143.07400510
2016-08-23$41.67$41.0010.5%3.0%8.7%0.5%11.7%0.8%2.6%12.4K-130.4K-3570.00134.29400510
2016-08-24$41.55$41.0011.2%3.2%8.6%1.4%0.0%0.9%-1.6%13.1K-128.6K-3560.00143.3200510
2016-08-25$41.42$41.0013.2%3.8%8.6%4.2%12.9%1.6%-0.1%13.3K-123.4K-3490.00139.65400510
2016-08-26$40.97$41.0011.5%3.3%8.3%1.9%11.6%1.6%0.4%13.9K-115.1K-3490.00140.72400510
2016-08-29$41.15$41.0014.2%4.1%7.8%5.6%14.0%0.8%-3.2%14.5K-108.4K-3330.00139.78400510
2016-08-30$40.88$41.0014.5%4.2%8.1%6.0%14.6%-1.3%-3.8%15.5K-104.8K-3320.00144.14400510
2016-08-31$40.72$41.0016.1%4.6%8.2%8.2%15.1%1.6%-0.1%13.1K-93.7K-3300.05156.98402510