IGF Options History — June 2017

In June 2017, IGF traded between $43.87 and $45.33. ATM implied volatility averaged 16.8%, placing in the 7.1% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 7.3% (HV 20d: 9.5%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.15.

Notable Days

2017-06-05: Highest Volume — 31 contracts
2017-06-12: Largest IV spike — 81.7% change
2017-06-12: Highest IV Rank — 18.0%
2017-06-02: Largest Expected Move — 5.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.66	$43.87	$45.33	$44.99	$44.02
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	16.8%	11.8%	29.2%	15.5%	15.9%
Expected Move	4.0%	3.2%	5.1%	4.4%	4.6%
HV 20d	9.5%	6.5%	12.4%	9.0%	12.2%
HV 60d	9.0%	7.8%	10.2%	9.0%	10.2%
IV Rank	7.1%	2.6%	18.0%	5.9%	6.3%
IV Percentile	50.8%	13.5%	93.7%	44.4%	52.8%
Term Structure	14.9%	-5.6%	42.6%	-2.0%	-4.7%
VWIV	19.0%	16.5%	22.6%	16.5%	20.0%
Skew 25d	1.7%	-4.3%	9.6%	-4.3%	0.9%
Skew 10d	4.6%	1.1%	8.8%	8.8%	1.1%
Call IV 25d	13.7%	11.0%	18.2%	18.2%	17.2%
Put IV 25d	15.4%	10.9%	20.9%	13.9%	18.1%
Bid-Ask Spread %	137.37	126.92	148.84	148.84	144.64
Gamma HHI	0.34	0.24	0.58	0.38	0.28
Net GEX	3.7K	-75	9.4K	3.7K	973
Net DEX	-119.7K	-166.1K	-91.3K	-132.9K	-95.2K
Net VEX	-145	-218	-76	-157	-76
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.15	0.00	0.24	0.00	0.19
Total Volume	28.409	17	31	17	25
Total OI	39.909	32	49	36	32

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
2017-06-01	$44.99	$0.00	15.5%	4.4%	9.0%	5.9%	0.0%	-4.3%	-2.0%	3.7K	-132.9K	-157	0.00	148.84	17	0	36	0
2017-06-02	$45.28	$0.00	17.6%	5.1%	9.1%	7.8%	0.0%	9.6%	-5.3%	2.6K	-133.5K	-166	0.24	143.51	17	4	35	0
2017-06-05	$45.23	$38.00	22.1%	4.0%	8.5%	11.7%	16.5%	2.3%	36.5%	1.0K	-119.4K	-172	0.15	128.00	27	4	35	4
2017-06-06	$45.16	$38.00	18.8%	3.6%	8.3%	8.8%	18.1%	2.8%	19.1%	6.7K	-141.6K	-218	0.15	132.08	27	4	45	4
2017-06-07	$45.13	$38.00	18.5%	3.5%	7.7%	8.6%	17.1%	2.5%	35.6%	6.8K	-143.3K	-212	0.15	134.28	27	4	45	4
2017-06-08	$44.92	$38.00	19.7%	3.6%	7.9%	9.6%	18.0%	1.4%	38.1%	7.6K	-142.2K	-202	0.15	133.92	27	4	45	4
2017-06-09	$44.88	$38.00	16.1%	3.2%	7.4%	6.4%	18.0%	4.3%	38.4%	8.0K	-134.2K	-206	0.15	134.34	27	4	45	4
2017-06-12	$44.71	$38.00	29.2%	3.6%	7.6%	18.0%	18.1%	2.4%	37.9%	6.9K	-133.5K	-191	0.15	130.60	27	4	45	4
2017-06-13	$44.89	$38.00	24.5%	3.4%	7.5%	13.9%	18.5%	1.3%	40.3%	9.1K	-137.1K	-193	0.15	133.59	27	4	45	4
2017-06-14	$45.04	$38.00	12.3%	3.5%	7.5%	3.0%	17.0%	1.4%	37.1%	9.4K	-145.3K	-172	0.15	131.89	27	4	45	4
2017-06-15	$44.88	$38.00	11.8%	3.4%	6.5%	2.6%	18.5%	1.6%	41.6%	8.1K	-137.2K	-186	0.15	132.49	27	4	45	4
2017-06-16	$45.33	$38.00	13.3%	3.8%	7.2%	4.0%	18.5%	-0.1%	42.6%	1.0K	-166.1K	-172	0.15	126.92	27	4	45	4
2017-06-19	$45.29	$38.00	13.2%	3.8%	6.7%	3.9%	19.4%	2.1%	-4.3%	-75	-127.9K	-142	0.17	139.46	24	4	35	4
2017-06-20	$44.08	$38.00	16.1%	4.6%	11.8%	6.5%	18.2%	0.8%	-2.6%	1.1K	-93.5K	-97	0.17	133.76	24	4	28	4
2017-06-21	$43.95	$38.00	15.6%	4.5%	11.8%	6.0%	19.5%	1.0%	-2.5%	1.3K	-92.9K	-102	0.17	141.03	24	4	28	4
2017-06-22	$43.99	$38.00	15.7%	4.5%	11.7%	6.0%	20.7%	1.0%	-1.5%	1.4K	-91.3K	-96	0.17	139.08	24	4	28	4
2017-06-23	$44.06	$38.00	14.8%	4.3%	11.7%	5.3%	18.9%	1.0%	-1.2%	1.4K	-93.2K	-83	0.17	136.63	24	4	28	4
2017-06-26	$44.30	$38.00	15.8%	4.5%	11.9%	6.2%	21.1%	1.0%	-5.6%	1.1K	-94.5K	-88	0.17	145.27	24	4	28	4
2017-06-27	$44.08	$38.00	14.5%	4.1%	12.0%	5.0%	20.9%	1.3%	-4.4%	1.5K	-92.1K	-87	0.17	143.14	24	4	28	4
2017-06-28	$44.37	$38.00	14.3%	4.1%	12.2%	4.8%	22.6%	1.9%	-3.6%	1.0K	-93.7K	-97	0.17	143.45	24	4	28	4
2017-06-29	$43.87	$38.00	14.7%	4.2%	12.4%	5.2%	20.4%	0.6%	-1.5%	1.1K	-93.1K	-85	0.17	145.35	24	4	28	4
2017-06-30	$44.02	$38.00	15.9%	4.6%	12.2%	6.3%	20.0%	0.9%	-4.7%	973	-95.2K	-76	0.19	144.64	21	4	28	4