IGF Options History — December 2016

In December 2016, IGF traded between $38.13 and $39.89. ATM implied volatility averaged 25.5%, placing in the 14.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 11.9% (HV 20d: 13.7%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2016-12-13: Highest Volume — 59 contracts
2016-12-19: Largest IV spike — 443.2% change
2016-12-20: Highest IV Rank — 47.0%
2016-12-20: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.11	$38.13	$39.89	$38.13	$39.00
Max Pain	$37.10	$37.00	$38.00	$38.00	$37.00
ATM IV	25.5%	10.9%	62.1%	23.3%	18.7%
Expected Move	6.2%	2.5%	17.8%	6.7%	5.3%
HV 20d	13.7%	11.2%	18.0%	17.6%	12.1%
HV 60d	14.0%	13.6%	15.3%	15.3%	13.6%
IV Rank	14.5%	1.6%	47.0%	12.5%	8.4%
IV Percentile	60.1%	4.8%	96.8%	81.3%	56.7%
Term Structure	10.9%	-100.4%	51.5%	-11.3%	-2.3%
VWIV	50.5%	16.7%	75.6%	23.4%	63.7%
Skew 25d	1.5%	-5.6%	9.7%	1.3%	0.6%
Skew 10d	0.4%	-5.6%	6.1%	1.8%	0.9%
Call IV 25d	18.3%	9.1%	26.4%	23.9%	19.8%
Put IV 25d	19.8%	12.2%	25.6%	25.2%	20.4%
Bid-Ask Spread %	164.27	107.38	189.09	153.45	167.88
Gamma HHI	0.35	0.19	0.82	0.82	0.27
Net GEX	4.7K	2.1K	8.5K	6.0K	3.1K
Net DEX	-106.1K	-128.6K	-79.3K	-79.3K	-112.7K
Net VEX	-313	-443	-183	-223	-290
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.04	0.29	0.05	0.29
Total Volume	51.19	41	59	41	54
Total OI	64.905	53	73	53	72

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
2016-12-01	$38.13	$38.00	23.3%	6.7%	17.6%	12.5%	23.4%	1.3%	-11.3%	6.0K	-79.3K	-223	0.05	153.45	39	2	51	2
2016-12-02	$38.36	$38.00	23.2%	6.6%	17.8%	12.4%	23.2%	1.1%	-10.4%	7.0K	-87.4K	-245	0.05	150.72	39	2	51	2
2016-12-05	$38.57	$37.00	25.6%	3.9%	18.0%	14.6%	16.7%	4.2%	51.0%	6.3K	-81.2K	-232	0.05	126.75	41	2	51	2
2016-12-06	$38.76	$37.00	23.6%	3.8%	17.1%	12.8%	25.7%	4.8%	51.5%	6.3K	-92.4K	-266	0.05	159.68	41	2	53	2
2016-12-07	$39.20	$37.00	22.7%	3.5%	17.3%	12.0%	75.2%	-5.6%	45.4%	3.5K	-102.0K	-326	0.05	160.16	41	2	53	2
2016-12-08	$39.03	$37.00	23.3%	3.7%	16.2%	12.5%	61.9%	3.4%	49.1%	5.6K	-116.0K	-183	0.05	180.23	41	2	53	2
2016-12-09	$39.15	$37.00	24.8%	4.0%	12.3%	13.9%	75.6%	-2.8%	41.6%	3.4K	-107.6K	-319	0.05	152.91	41	2	53	2
2016-12-12	$39.32	$37.00	12.3%	2.5%	11.2%	2.8%	20.0%	2.6%	2.4%	8.5K	-112.6K	-201	0.04	107.38	46	2	53	2
2016-12-13	$39.89	$37.00	36.0%	3.8%	11.4%	23.9%	57.7%	-1.1%	46.7%	3.7K	-128.6K	-395	0.28	156.63	46	13	60	2
2016-12-14	$39.26	$37.00	15.6%	4.5%	12.3%	5.7%	57.6%	-1.5%	36.3%	2.7K	-106.2K	-443	0.28	159.13	46	13	60	13
2016-12-15	$39.27	$37.00	14.5%	4.2%	12.0%	4.8%	58.8%	-1.7%	46.4%	2.7K	-103.5K	-438	0.28	174.59	46	13	60	13
2016-12-16	$39.53	$37.00	10.9%	3.1%	12.1%	1.6%	49.1%	7.9%	7.2%	5.7K	-103.3K	-326	0.28	165.08	46	13	60	13
2016-12-19	$39.65	$37.00	59.5%	17.1%	11.9%	44.7%	49.7%	9.7%	0.7%	6.9K	-121.4K	-350	0.26	175.13	46	12	60	12
2016-12-20	$39.47	$37.00	62.1%	17.8%	11.8%	47.0%	61.7%	-2.8%	-100.4%	2.1K	-110.4K	-417	0.26	177.57	46	12	60	12
2016-12-21	$39.52	$37.00	61.2%	17.5%	11.7%	46.2%	53.3%	0.3%	-10.4%	4.9K	-126.2K	-343	0.29	179.64	42	12	60	12
2016-12-22	$38.99	$37.00	13.2%	3.8%	12.8%	3.5%	35.7%	5.0%	-3.7%	4.5K	-104.4K	-314	0.29	177.92	42	12	60	12
2016-12-23	$39.03	$37.00	15.2%	4.4%	12.6%	5.3%	53.2%	0.9%	-1.6%	3.1K	-111.5K	-307	0.29	168.13	42	12	60	12
2016-12-27	$39.18	$37.00	16.3%	4.7%	12.5%	6.3%	58.7%	1.6%	-1.1%	3.4K	-111.4K	-291	0.29	189.09	42	12	60	12
2016-12-28	$38.82	$37.00	14.3%	4.1%	13.0%	4.5%	74.2%	2.6%	-1.8%	5.6K	-102.0K	-359	0.29	187.33	42	12	60	12
2016-12-29	$39.09	$37.00	19.6%	5.6%	13.1%	9.2%	65.7%	1.3%	-6.4%	4.4K	-108.7K	-303	0.29	180.19	42	12	60	12
2016-12-30	$39.00	$37.00	18.7%	5.3%	12.1%	8.4%	63.7%	0.6%	-2.3%	3.1K	-112.7K	-290	0.29	167.88	42	12	60	12