IGF Options History — November 2016

In November 2016, IGF traded between $37.58 and $40.22. ATM implied volatility averaged 53.3%, placing in the 42.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 38.5% (HV 20d: 14.8%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.06.

Notable Days

2016-11-21: Highest Volume — 43 contracts
2016-11-14: Largest IV spike — 613.9% change
2016-11-09: Highest IV Rank — 100.0%
2016-11-18: Largest Expected Move — 34.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.75	$37.58	$40.22	$39.99	$38.63
Max Pain	$39.50	$38.00	$41.00	$41.00	$38.00
ATM IV	53.3%	16.6%	121.7%	22.4%	20.8%
Expected Move	14.8%	4.3%	34.9%	6.4%	6.0%
HV 20d	14.8%	9.3%	17.9%	9.3%	17.5%
HV 60d	14.8%	12.9%	15.7%	12.9%	15.1%
IV Rank	42.8%	7.1%	100.0%	18.0%	10.3%
IV Percentile	82.3%	42.9%	100.0%	79.8%	71.8%
Term Structure	-14.6%	-41.6%	1.8%	-11.5%	-4.8%
VWIV	23.6%	20.2%	26.4%	20.2%	23.0%
Skew 25d	-4.2%	-97.7%	8.9%	-0.4%	1.7%
Skew 10d	-5.7%	-102.4%	6.3%	-5.6%	1.2%
Call IV 25d	61.3%	14.6%	141.6%	22.1%	22.6%
Put IV 25d	57.1%	16.8%	137.4%	21.7%	24.3%
Bid-Ask Spread %	157.25	136.26	177.69	154.18	153.17
Gamma HHI	0.68	0.21	0.99	0.98	0.53
Net GEX	75.6K	620	274.6K	230.3K	6.3K
Net DEX	-272.4K	-1.0M	-14.2K	-1.0M	-87.1K
Net VEX	-735	-2.4K	-111	-2.4K	-258
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.02	0.08	0.08	0.05
Total Volume	24.333	14	43	14	41
Total OI	532.19	26	778	774	53

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
2016-11-01	$39.99	$41.00	22.4%	6.4%	9.3%	18.0%	20.2%	-0.4%	-11.5%	230.3K	-1.0M	-2.4K	0.08	154.18	13	1	773	1
2016-11-02	$39.53	$41.00	24.1%	6.9%	10.1%	20.3%	22.5%	0.4%	-7.0%	190.1K	-742.8K	-2.0K	0.08	154.85	13	1	773	1
2016-11-03	$39.35	$0.00	27.1%	5.1%	9.9%	24.4%	0.0%	5.8%	-0.5%	193.7K	-668.4K	-1.9K	0.08	137.79	13	1	773	1
2016-11-04	$39.26	$0.00	24.9%	4.6%	9.8%	21.4%	0.0%	7.4%	-0.0%	170.9K	-492.6K	-1.5K	0.08	141.69	13	1	773	1
2016-11-07	$39.85	$0.00	25.5%	4.4%	11.1%	22.3%	0.0%	8.9%	-1.6%	221.5K	-700.3K	-1.7K	0.08	136.26	13	1	773	1
2016-11-08	$40.22	$0.00	24.6%	4.3%	10.4%	21.0%	0.0%	6.4%	1.8%	274.6K	-830.5K	-1.7K	0.08	137.85	13	1	773	1
2016-11-09	$39.50	$0.00	107.5%	30.8%	12.2%	100.0%	0.0%	-0.5%	-28.7%	146.8K	-307.9K	-891	0.07	170.45	14	1	773	1
2016-11-10	$38.37	$0.00	112.3%	32.2%	15.7%	100.0%	0.0%	-6.2%	-28.2%	42.8K	-86.9K	-339	0.07	169.08	14	1	773	1
2016-11-11	$37.88	$0.00	16.6%	4.7%	16.1%	7.2%	0.0%	-97.7%	1.3%	69.7K	-188.4K	-599	0.07	177.69	14	1	773	1
2016-11-14	$37.58	$0.00	118.2%	33.9%	16.2%	100.0%	0.0%	-7.1%	-40.7%	620	-31.2K	-114	0.07	171.30	14	1	773	1
2016-11-15	$38.14	$0.00	118.2%	33.9%	16.9%	100.0%	0.0%	-8.7%	-36.8%	676	-30.6K	-116	0.07	171.72	14	1	773	1
2016-11-16	$37.91	$0.00	117.7%	33.7%	16.5%	99.5%	0.0%	-3.9%	-38.3%	678	-29.6K	-114	0.07	174.24	14	1	773	1
2016-11-17	$38.11	$0.00	120.2%	34.4%	16.8%	100.0%	0.0%	-4.8%	-40.7%	883	-28.9K	-112	0.06	172.14	18	1	773	1
2016-11-18	$37.96	$0.00	121.7%	34.9%	16.8%	100.0%	0.0%	-4.2%	-41.6%	992	-37.4K	-151	0.05	170.04	22	1	777	1
2016-11-21	$38.32	$0.00	17.2%	4.9%	17.3%	7.1%	0.0%	-0.1%	-2.9%	2.4K	-14.2K	-111	0.02	154.59	42	1	25	1
2016-11-22	$38.50	$0.00	20.4%	5.8%	17.5%	9.9%	0.0%	2.8%	-2.3%	6.6K	-85.9K	-278	0.02	147.24	42	1	50	1
2016-11-23	$38.36	$0.00	19.3%	5.5%	17.5%	9.0%	0.0%	1.1%	-3.8%	6.9K	-82.1K	-265	0.02	151.31	42	1	50	1
2016-11-25	$38.62	$0.00	20.0%	5.7%	17.8%	9.6%	0.0%	2.0%	-6.2%	7.2K	-86.2K	-271	0.02	147.74	42	1	50	1
2016-11-28	$38.80	$0.00	20.1%	5.7%	17.9%	9.7%	25.9%	5.0%	-6.1%	7.4K	-87.0K	-236	0.05	150.66	39	2	50	1
2016-11-29	$38.81	$38.00	20.7%	5.9%	17.6%	10.2%	26.4%	4.1%	-7.2%	6.6K	-89.9K	-254	0.05	158.21	39	2	51	2
2016-11-30	$38.63	$38.00	20.8%	6.0%	17.5%	10.3%	23.0%	1.7%	-4.8%	6.3K	-87.1K	-258	0.05	153.17	39	2	51	2