IGF Options History — September 2016

In September 2016, IGF traded between $40.51 and $42.36. ATM implied volatility averaged 17.3%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 1.9% (HV 20d: 15.4%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.05.

Notable Days

2016-09-15: Highest Volume — 49 contracts
2016-09-29: Largest IV spike — 197.4% change
2016-09-29: Highest IV Rank — 33.0%
2016-09-29: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.38	$40.51	$42.36	$40.86	$41.63
Max Pain	$37.38	$37.00	$41.00	$41.00	$37.00
ATM IV	17.3%	9.2%	33.4%	16.6%	16.1%
Expected Move	4.0%	2.6%	9.6%	4.8%	4.6%
HV 20d	15.4%	8.2%	18.1%	8.2%	18.0%
HV 60d	14.7%	12.2%	17.1%	15.6%	12.3%
IV Rank	10.3%	0.0%	33.0%	8.9%	9.4%
IV Percentile	36.8%	0.0%	98.8%	36.1%	35.3%
Term Structure	-0.4%	-7.6%	5.5%	-4.3%	-3.2%
VWIV	14.9%	9.5%	32.5%	16.8%	17.0%
Skew 25d	3.8%	0.5%	7.9%	0.9%	1.9%
Skew 10d	6.0%	1.2%	20.1%	1.2%	5.6%
Call IV 25d	14.0%	7.3%	33.5%	17.5%	17.1%
Put IV 25d	17.8%	12.2%	40.9%	18.3%	19.0%
Bid-Ask Spread %	135.66	117.91	164.13	162.49	137.06
Gamma HHI	0.62	0.53	0.76	0.67	0.59
Net GEX	15.7K	9.0K	36.9K	13.5K	15.6K
Net DEX	-124.8K	-173.7K	-90.0K	-96.6K	-136.8K
Net VEX	-310	-341	-262	-341	-287
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.04	0.05	0.05	0.04
Total Volume	46.476	42	49	42	48
Total OI	57.143	53	60	53	59

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
2016-09-01	$40.86	$41.00	16.6%	4.8%	8.2%	8.9%	16.8%	0.9%	-4.3%	13.5K	-96.6K	-341	0.05	162.49	40	2	51	2
2016-09-02	$41.35	$41.00	15.0%	4.3%	9.3%	6.7%	13.4%	2.0%	-3.1%	13.3K	-113.5K	-335	0.05	164.13	40	2	51	2
2016-09-06	$41.94	$37.00	15.8%	3.0%	10.6%	7.7%	12.3%	4.2%	1.1%	12.6K	-138.4K	-318	0.05	127.71	40	2	51	2
2016-09-07	$42.12	$37.00	16.6%	2.8%	10.6%	8.8%	12.9%	3.6%	3.1%	12.2K	-141.5K	-308	0.05	131.03	40	2	51	2
2016-09-08	$42.36	$37.00	20.8%	3.2%	10.7%	14.8%	13.3%	7.9%	2.1%	12.3K	-152.9K	-294	0.05	128.69	40	2	51	2
2016-09-09	$41.21	$37.00	21.4%	3.5%	14.6%	15.5%	11.8%	1.7%	3.1%	13.0K	-116.4K	-321	0.04	128.50	45	2	51	2
2016-09-12	$41.49	$37.00	29.6%	3.2%	14.8%	26.9%	10.7%	4.2%	3.7%	15.7K	-124.7K	-328	0.04	123.83	45	2	56	2
2016-09-13	$40.53	$37.00	32.4%	3.8%	16.9%	30.7%	14.2%	6.1%	-0.7%	15.0K	-90.0K	-321	0.04	128.32	45	2	56	2
2016-09-14	$40.51	$37.00	13.7%	3.9%	16.9%	4.9%	15.8%	6.8%	0.0%	14.4K	-96.0K	-330	0.04	117.91	45	2	56	2
2016-09-15	$40.79	$37.00	13.4%	3.9%	17.1%	4.6%	14.6%	5.7%	-0.8%	15.9K	-97.4K	-306	0.04	122.94	47	2	56	2
2016-09-16	$40.70	$37.00	12.8%	3.7%	16.5%	3.7%	14.3%	6.8%	-1.5%	15.2K	-95.9K	-323	0.04	122.71	47	2	58	2
2016-09-19	$40.98	$37.00	14.6%	4.2%	16.5%	6.2%	15.7%	4.9%	-2.9%	15.2K	-110.7K	-328	0.04	139.31	46	2	57	2
2016-09-20	$41.00	$37.00	13.0%	3.7%	16.5%	3.9%	13.6%	3.8%	-0.1%	16.8K	-111.7K	-322	0.04	139.18	46	2	57	2
2016-09-21	$41.70	$37.00	9.2%	2.6%	17.7%	0.0%	13.4%	1.9%	5.2%	36.9K	-153.8K	-262	0.04	135.53	46	2	57	2
2016-09-22	$42.03	$37.00	11.1%	3.2%	17.9%	2.6%	13.9%	2.0%	-0.2%	17.0K	-173.7K	-273	0.04	133.15	46	2	57	2
2016-09-23	$41.71	$37.00	13.8%	4.0%	18.1%	6.3%	15.7%	1.6%	-3.1%	15.0K	-140.7K	-316	0.04	134.80	46	2	57	2
2016-09-26	$41.40	$37.00	17.2%	4.9%	17.8%	11.0%	16.8%	2.0%	-3.0%	15.9K	-129.7K	-304	0.04	137.34	46	2	57	2
2016-09-27	$41.43	$37.00	15.2%	4.4%	17.8%	8.2%	15.6%	0.5%	-2.0%	19.7K	-128.5K	-296	0.04	140.29	46	2	57	2
2016-09-28	$41.77	$37.00	11.2%	3.2%	17.8%	2.8%	9.5%	4.5%	5.5%	16.1K	-144.0K	-289	0.04	130.12	46	2	57	2
2016-09-29	$41.43	$37.00	33.4%	9.6%	18.0%	33.0%	32.5%	7.4%	-7.6%	9.0K	-127.7K	-311	0.04	163.92	46	2	57	2
2016-09-30	$41.63	$37.00	16.1%	4.6%	18.0%	9.4%	17.0%	1.9%	-3.2%	15.6K	-136.8K	-287	0.04	137.06	46	2	57	2