IGF Options History — October 2016

In October 2016, IGF traded between $39.65 and $41.23. ATM implied volatility averaged 15.0%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 1.7% (HV 20d: 13.3%). 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 0.06.

Notable Days

2016-10-19: Highest Volume — 806 contracts
2016-10-06: Largest IV spike — 96.5% change
2016-10-27: Highest IV Rank — 14.7%
2016-10-27: Largest Expected Move — 5.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.28	$39.65	$41.23	$41.23	$40.27
Max Pain	$39.91	$37.00	$41.00	$37.00	$41.00
ATM IV	15.0%	9.5%	20.0%	15.0%	17.8%
Expected Move	4.1%	2.7%	5.7%	4.3%	5.1%
HV 20d	13.3%	10.2%	17.9%	17.9%	10.3%
HV 60d	12.8%	12.3%	13.2%	12.3%	12.9%
IV Rank	7.9%	0.4%	14.7%	7.9%	11.7%
IV Percentile	31.4%	0.4%	71.8%	26.6%	53.2%
Term Structure	-1.3%	-7.5%	6.5%	-1.8%	-4.3%
VWIV	13.5%	10.5%	17.6%	14.5%	10.5%
Skew 25d	3.0%	-3.5%	7.3%	2.5%	0.4%
Skew 10d	1.0%	-7.8%	5.9%	2.5%	-7.8%
Call IV 25d	13.7%	9.3%	19.2%	15.6%	15.4%
Put IV 25d	16.8%	10.9%	20.9%	18.1%	15.8%
Bid-Ask Spread %	139.76	108.37	164.18	136.07	146.16
Gamma HHI	0.78	0.61	0.99	0.64	0.99
Net GEX	123.5K	10.7K	370.1K	19.6K	328.9K
Net DEX	-432.5K	-1.3M	-22.2K	-120.1K	-1.1M
Net VEX	-1.2K	-3.4K	-128	-273	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.00	0.10	0.04	0.08
Total Volume	111	11	806	48	14
Total OI	334.095	54	812	59	774

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
2016-10-03	$41.23	$37.00	15.0%	4.3%	17.9%	7.9%	14.5%	2.5%	-1.8%	19.6K	-120.1K	-273	0.04	136.07	46	2	57	2
2016-10-04	$40.64	$37.00	11.3%	3.3%	17.7%	2.9%	11.0%	7.0%	1.1%	25.6K	-106.6K	-246	0.07	136.45	46	3	57	2
2016-10-05	$40.52	$37.00	9.5%	2.7%	17.6%	0.4%	10.6%	2.5%	6.5%	15.0K	-92.5K	-261	0.07	132.56	46	3	57	3
2016-10-06	$40.23	$0.00	18.6%	3.7%	17.5%	12.9%	0.0%	5.0%	0.5%	14.2K	-66.2K	-212	0.07	134.62	46	3	51	3
2016-10-07	$40.00	$0.00	18.4%	3.7%	14.9%	12.6%	0.0%	4.6%	-0.8%	13.9K	-54.1K	-204	0.07	129.52	46	3	55	3
2016-10-10	$40.20	$0.00	13.3%	3.5%	14.7%	5.6%	0.0%	4.2%	3.4%	18.5K	-48.1K	-187	0.07	137.66	46	3	55	3
2016-10-11	$39.65	$0.00	17.1%	4.0%	13.2%	10.8%	0.0%	3.2%	-3.2%	11.9K	-38.8K	-164	0.07	118.47	46	3	55	3
2016-10-12	$39.86	$0.00	12.7%	3.6%	13.3%	4.8%	0.0%	5.8%	-1.3%	12.8K	-53.1K	-196	0.07	137.79	46	3	55	3
2016-10-13	$40.06	$0.00	13.5%	3.9%	13.2%	5.9%	0.0%	7.3%	-1.2%	14.6K	-57.3K	-195	0.07	138.38	46	3	55	3
2016-10-14	$39.96	$0.00	12.3%	3.5%	13.2%	4.2%	0.0%	3.2%	0.4%	14.0K	-49.4K	-178	0.06	137.64	47	3	55	3
2016-10-17	$39.95	$0.00	15.3%	4.4%	12.9%	8.3%	0.0%	3.8%	-2.6%	10.7K	-22.2K	-128	0.06	108.37	47	3	53	3
2016-10-18	$40.30	$0.00	13.2%	3.8%	13.4%	5.5%	0.0%	6.4%	0.1%	18.5K	-47.6K	-148	0.06	134.35	47	3	53	3
2016-10-19	$40.62	$0.00	13.9%	4.0%	12.1%	6.5%	15.7%	2.1%	-3.0%	20.2K	-66.2K	-151	0.00	136.96	803	3	53	3
2016-10-20	$40.52	$41.00	13.2%	3.8%	11.6%	5.5%	13.7%	1.9%	0.7%	344.8K	-1.2M	-3.4K	0.00	149.60	803	3	809	3
2016-10-21	$40.41	$41.00	12.8%	3.7%	11.4%	4.9%	11.9%	1.1%	0.1%	339.9K	-839.1K	-2.9K	0.06	148.54	48	3	809	3
2016-10-24	$40.43	$41.00	18.3%	5.2%	11.2%	12.4%	17.6%	1.0%	-4.8%	268.4K	-1.2M	-3.2K	0.10	154.05	10	1	773	1
2016-10-25	$40.44	$41.00	19.4%	5.5%	11.2%	13.9%	14.6%	3.4%	-5.3%	257.1K	-1.3M	-3.2K	0.10	156.48	10	1	773	1
2016-10-26	$40.35	$41.00	10.5%	3.0%	10.7%	1.7%	10.5%	0.3%	-1.1%	370.1K	-676.8K	-2.3K	0.08	164.18	13	1	773	1
2016-10-27	$40.21	$41.00	20.0%	5.7%	10.4%	14.7%	16.8%	1.4%	-7.5%	236.2K	-1.1M	-3.0K	0.08	153.04	13	1	773	1
2016-10-28	$39.98	$41.00	18.1%	5.2%	10.2%	12.1%	14.8%	-3.5%	-2.6%	238.0K	-875.4K	-2.6K	0.08	144.06	13	1	773	1
2016-10-31	$40.27	$41.00	17.8%	5.1%	10.3%	11.7%	10.5%	0.4%	-4.3%	328.9K	-1.1M	-2.6K	0.08	146.16	13	1	773	1