IGF Options History — March 2017

In March 2017, IGF traded between $40.47 and $42.37. ATM implied volatility averaged 17.8%, 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 9.8% (HV 20d: 8.0%). Max pain ranged from $38.00 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 0.17.

Notable Days

2017-03-01: Highest Volume — 42 contracts
2017-03-08: Largest IV spike — 85.8% change
2017-03-14: Highest IV Rank — 27.6%
2017-03-02: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.37	$40.47	$42.37	$40.90	$42.37
Max Pain	$38.48	$38.00	$41.00	$41.00	$39.00
ATM IV	17.8%	10.1%	40.1%	14.9%	10.1%
Expected Move	4.1%	2.8%	5.2%	4.3%	2.9%
HV 20d	8.0%	4.8%	9.7%	6.4%	9.7%
HV 60d	8.6%	8.0%	9.1%	9.1%	8.1%
IV Rank	7.9%	1.1%	27.6%	5.4%	1.1%
IV Percentile	46.9%	1.6%	95.6%	35.7%	1.6%
Term Structure	11.5%	-5.3%	50.2%	-0.2%	4.7%
VWIV	15.6%	10.0%	20.4%	13.1%	10.0%
Skew 25d	0.8%	-5.5%	5.4%	1.2%	4.7%
Skew 10d	5.1%	-0.2%	20.1%	0.3%	20.1%
Call IV 25d	13.9%	9.1%	21.0%	14.9%	15.8%
Put IV 25d	14.7%	9.4%	23.0%	16.1%	20.5%
Bid-Ask Spread %	140.57	125.50	165.63	148.53	133.02
Gamma HHI	0.32	0.24	0.42	0.35	0.30
Net GEX	4.4K	2.1K	11.3K	5.6K	5.1K
Net DEX	-108.5K	-151.8K	-81.9K	-86.8K	-139.0K
Net VEX	-327	-390	-288	-297	-382
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.11	0.22	0.11	0.14
Total Volume	29.783	22	42	42	32
Total OI	45.043	41	54	41	52

Daily Data (23 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
2017-03-01	$40.90	$41.00	14.9%	4.3%	6.4%	5.4%	13.1%	1.2%	-0.2%	5.6K	-86.8K	-297	0.11	148.53	38	4	37	4
2017-03-02	$40.74	$41.00	18.0%	5.2%	6.2%	8.1%	17.0%	-5.5%	-4.0%	3.1K	-86.7K	-330	0.11	155.20	38	4	37	4
2017-03-03	$40.93	$41.00	17.5%	5.0%	6.3%	7.7%	16.9%	2.0%	-4.0%	3.2K	-89.2K	-324	0.11	165.63	38	4	37	4
2017-03-06	$40.91	$38.00	12.3%	3.1%	5.7%	3.1%	13.4%	2.9%	3.4%	6.1K	-86.4K	-312	0.11	135.01	38	4	37	4
2017-03-07	$40.88	$38.00	13.2%	2.8%	4.8%	3.8%	11.9%	3.5%	4.1%	6.3K	-86.4K	-312	0.11	138.44	36	4	37	4
2017-03-08	$40.47	$38.00	24.5%	3.8%	6.3%	13.8%	14.3%	1.0%	2.3%	6.3K	-81.9K	-318	0.18	138.96	22	4	37	4
2017-03-09	$40.54	$38.00	25.1%	3.9%	5.6%	14.4%	13.6%	1.0%	43.1%	3.4K	-84.4K	-335	0.18	138.59	22	4	38	4
2017-03-10	$40.74	$38.00	24.2%	3.4%	5.8%	13.6%	12.9%	3.7%	46.0%	3.4K	-87.9K	-327	0.18	137.92	22	4	38	4
2017-03-13	$40.84	$38.00	30.6%	3.8%	5.7%	19.3%	13.0%	2.2%	46.8%	2.5K	-95.7K	-305	0.18	140.90	22	4	38	4
2017-03-14	$40.51	$38.00	40.1%	3.9%	6.5%	27.6%	15.0%	2.2%	46.5%	2.8K	-90.0K	-320	0.18	134.70	22	4	38	4
2017-03-15	$41.28	$38.00	12.5%	3.6%	9.2%	3.3%	16.8%	5.4%	50.2%	2.7K	-97.0K	-304	0.22	138.03	18	4	38	4
2017-03-16	$41.30	$38.00	13.6%	3.9%	9.2%	4.2%	16.6%	0.8%	46.1%	2.6K	-105.1K	-296	0.22	135.63	18	4	39	4
2017-03-17	$41.60	$38.00	12.0%	3.4%	9.4%	2.8%	16.9%	0.8%	1.8%	5.7K	-109.6K	-295	0.22	139.83	18	4	39	4
2017-03-20	$41.44	$38.00	16.4%	4.7%	9.6%	6.7%	18.2%	1.2%	-3.5%	2.1K	-103.3K	-298	0.21	140.21	19	4	38	4
2017-03-21	$41.62	$38.00	14.4%	4.1%	9.5%	5.0%	20.4%	-4.3%	1.7%	3.0K	-106.2K	-308	0.21	139.99	19	4	40	4
2017-03-22	$41.82	$38.00	15.7%	4.5%	9.5%	6.1%	18.1%	-1.2%	-2.7%	2.8K	-110.9K	-288	0.21	139.45	19	4	40	4
2017-03-23	$41.79	$38.00	15.7%	4.5%	9.5%	6.1%	17.0%	2.7%	-1.0%	2.8K	-110.0K	-295	0.15	145.26	26	4	40	4
2017-03-24	$42.04	$38.00	13.8%	4.0%	9.6%	4.4%	13.9%	1.1%	-1.5%	7.9K	-146.3K	-383	0.15	125.50	26	4	50	4
2017-03-27	$42.15	$38.00	17.5%	5.0%	9.6%	7.7%	18.2%	-2.4%	-5.3%	5.5K	-151.8K	-377	0.15	144.77	26	4	50	4
2017-03-28	$42.25	$38.00	17.2%	4.9%	9.6%	7.4%	18.3%	-3.8%	-4.5%	3.8K	-147.8K	-390	0.15	137.52	26	4	50	4
2017-03-29	$42.31	$38.00	14.1%	4.0%	9.6%	4.6%	14.7%	2.7%	-1.5%	11.3K	-149.9K	-350	0.15	139.43	26	4	50	4
2017-03-30	$42.12	$39.00	16.2%	4.6%	9.7%	6.5%	18.0%	-4.4%	-4.5%	3.5K	-142.7K	-380	0.15	140.62	26	4	48	4
2017-03-31	$42.37	$39.00	10.1%	2.9%	9.7%	1.1%	10.0%	4.7%	4.7%	5.1K	-139.0K	-382	0.14	133.02	28	4	48	4