IGF Options History — May 2017 In May 2017, IGF traded between $43.00 and $44.67. ATM implied volatility averaged 13.7%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 4.2% (HV 20d: 9.5%). Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2017-05-23 : Highest Volume — 24 contracts2017-05-17 : Largest IV spike — 51.7% change2017-05-02 : Highest IV Rank — 8.9%2017-05-02 : Largest Expected Move — 5.4%Monthly Statistics Metric Avg Min Max Open Close Price $43.73 $43.00 $44.67 $43.00 $44.67 ATM IV 13.7% 9.3% 18.9% 13.5% 14.9% Expected Move 3.8% 2.7% 5.4% 3.9% 4.3% HV 20d 9.5% 8.1% 10.5% 8.1% 9.1% HV 60d 8.5% 7.9% 9.0% 8.0% 8.9% IV Rank 4.3% 0.4% 8.9% 4.1% 5.4% IV Percentile 29.3% 1.2% 67.1% 26.6% 39.7% Term Structure -1.1% -7.4% 4.7% 1.7% -2.6% Skew 25d 1.1% -7.1% 11.4% -7.1% -1.3% Skew 10d 2.4% -6.2% 8.4% -5.7% 6.2% Call IV 25d 12.6% 5.7% 18.1% 17.0% 17.7% Put IV 25d 13.7% 9.5% 21.2% 9.9% 16.4% Bid-Ask Spread % 144.42 133.75 155.17 153.94 154.83 Gamma HHI 0.42 0.38 0.47 0.44 0.38 Net GEX 5.5K 3.9K 6.9K 5.6K 3.9K Net DEX -141.8K -160.3K -124.7K -126.8K -156.2K Net VEX -227 -291 -106 -289 -195 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 21.136 20 24 20 24 Total OI 40.5 40 42 40 42
Daily Data (22 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 2017-05-01 $43.00 $0.00 13.5% 3.9% 8.1% 4.1% 0.0% -7.1% 1.7% 5.6K -126.8K -289 0.00 153.94 20 0 40 0 2017-05-02 $43.33 $0.00 18.9% 5.4% 8.3% 8.9% 0.0% 4.3% -7.1% 5.5K -140.5K -229 0.00 133.75 20 0 40 0 2017-05-03 $43.13 $0.00 18.7% 5.4% 8.5% 8.7% 0.0% 3.0% -7.4% 5.9K -140.9K -218 0.00 148.57 20 0 40 0 2017-05-04 $43.12 $0.00 10.8% 4.0% 8.5% 1.7% 0.0% 3.4% 0.0% 6.3K -124.7K -291 0.00 145.27 20 0 40 0 2017-05-05 $43.62 $0.00 13.0% 3.1% 9.3% 3.6% 0.0% 6.0% -0.5% 6.9K -134.0K -252 0.00 150.05 20 0 40 0 2017-05-08 $43.44 $0.00 15.5% 3.9% 9.3% 5.9% 0.0% 1.4% -2.3% 5.5K -136.0K -254 0.00 134.95 20 0 40 0 2017-05-09 $43.14 $0.00 15.0% 2.9% 9.8% 5.5% 0.0% 2.8% 4.7% 5.8K -131.5K -269 0.00 140.98 20 0 40 0 2017-05-10 $43.41 $0.00 10.5% 3.0% 10.0% 1.5% 0.0% 0.3% 0.8% 5.5K -129.1K -277 0.00 143.02 20 0 40 0 2017-05-11 $43.15 $0.00 10.2% 2.9% 10.2% 1.2% 0.0% -2.0% 3.5% 6.4K -130.9K -260 0.00 154.79 20 0 40 0 2017-05-12 $43.39 $0.00 13.0% 3.7% 10.3% 3.7% 0.0% -0.4% 1.0% 6.9K -134.9K -244 0.00 135.20 20 0 40 0 2017-05-15 $43.60 $0.00 12.8% 3.7% 10.3% 3.5% 0.0% 1.2% -2.7% 5.3K -143.2K -216 0.00 136.55 20 0 40 0 2017-05-16 $43.77 $0.00 9.3% 2.7% 10.2% 0.4% 0.0% 0.3% 0.7% 6.1K -152.0K -162 0.00 147.52 20 0 40 0 2017-05-17 $43.35 $0.00 14.1% 4.0% 10.2% 4.6% 0.0% 1.3% -0.6% 5.3K -134.6K -252 0.00 143.27 20 0 40 0 2017-05-18 $43.44 $0.00 10.6% 3.0% 10.2% 1.6% 0.0% 1.5% 1.7% 5.7K -143.5K -204 0.00 155.17 20 0 40 0 2017-05-19 $43.85 $0.00 13.9% 4.0% 10.5% 4.5% 0.0% -0.0% -4.8% 4.5K -160.3K -106 0.00 141.14 20 0 40 0 2017-05-22 $44.23 $0.00 14.8% 4.3% 9.4% 5.3% 0.0% -2.3% 0.9% 5.9K -139.3K -219 0.00 143.20 21 0 40 0 2017-05-23 $44.30 $0.00 14.9% 4.3% 9.4% 5.3% 0.0% 11.4% -2.2% 5.5K -151.5K -212 0.00 146.43 24 0 41 0 2017-05-24 $44.50 $0.00 15.7% 4.5% 9.2% 6.1% 0.0% 3.2% 0.3% 5.1K -152.8K -200 0.00 135.04 24 0 42 0 2017-05-25 $44.54 $0.00 14.7% 4.2% 9.2% 5.1% 0.0% -1.8% -6.7% 4.0K -155.8K -209 0.00 146.82 24 0 42 0 2017-05-26 $44.53 $0.00 14.1% 4.0% 9.2% 4.7% 0.0% -4.7% -1.6% 4.7K -150.4K -217 0.00 138.39 24 0 42 0 2017-05-30 $44.48 $0.00 12.2% 3.5% 9.3% 2.9% 0.0% 3.5% -0.3% 4.9K -149.7K -216 0.00 148.46 24 0 42 0 2017-05-31 $44.67 $0.00 14.9% 4.3% 9.1% 5.4% 0.0% -1.3% -2.6% 3.9K -156.2K -195 0.00 154.83 24 0 42 0
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