IGF Options History — July 2017

In July 2017, IGF traded between $43.40 and $45.35. ATM implied volatility averaged 14.5%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 3.6% (HV 20d: 10.9%). Max pain ranged from $38.00 to $38.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.07.

Notable Days

2017-07-03: Highest Volume — 25 contracts
2017-07-12: Largest IV drop — 43.3% change
2017-07-11: Highest IV Rank — 10.3%
2017-07-05: Largest Expected Move — 5.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$44.47	$43.40	$45.35	$43.77	$45.35
Max Pain	$38.00	$38.00	$38.00	$38.00	$38.00
ATM IV	14.5%	10.2%	20.5%	16.1%	13.8%
Expected Move	3.8%	2.9%	5.5%	4.6%	4.0%
HV 20d	10.9%	7.5%	13.6%	12.3%	7.8%
HV 60d	10.2%	10.0%	10.5%	10.3%	10.0%
IV Rank	5.0%	1.2%	10.3%	6.4%	4.4%
IV Percentile	38.1%	4.0%	81.3%	54.8%	36.1%
Term Structure	11.9%	-5.0%	54.4%	-3.2%	-0.9%
VWIV	22.6%	22.2%	23.1%	23.1%	22.2%
Skew 25d	0.8%	-6.5%	5.9%	1.2%	0.7%
Skew 10d	1.6%	-5.3%	7.4%	1.2%	6.5%
Call IV 25d	12.4%	7.6%	17.8%	17.8%	11.1%
Put IV 25d	13.2%	8.9%	19.1%	19.1%	11.8%
Bid-Ask Spread %	151.96	140.01	160.39	140.01	143.99
Gamma HHI	0.39	0.25	0.57	0.25	0.57
Net GEX	998	-1.2K	3.5K	2.0K	446
Net DEX	-76.2K	-110.5K	-29.4K	-96.9K	-30.9K
Net VEX	-44	-87	-7	-63	-7
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.07	0.00	0.19	0.19	0.00
Total Volume	17.4	4	25	25	4
Total OI	24.5	7	32	32	7

Daily Data (20 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
2017-07-03	$43.77	$38.00	16.1%	4.6%	12.3%	6.4%	23.1%	1.2%	-3.2%	2.0K	-96.9K	-63	0.19	140.01	21	4	28	4
2017-07-05	$43.52	$38.00	19.0%	5.5%	12.4%	9.0%	22.2%	4.6%	-3.9%	1.6K	-89.8K	-83	0.10	142.64	21	2	28	4
2017-07-06	$43.40	$0.00	18.8%	3.8%	12.4%	8.8%	0.0%	4.2%	2.5%	3.5K	-86.4K	-84	0.10	150.42	21	2	28	4
2017-07-07	$43.60	$0.00	18.8%	3.3%	12.6%	8.8%	0.0%	5.9%	4.8%	2.8K	-84.4K	-87	0.10	145.84	21	2	28	4
2017-07-10	$43.56	$0.00	20.0%	3.7%	12.6%	9.8%	0.0%	1.8%	54.4%	2.6K	-85.8K	-84	0.10	142.51	21	2	28	4
2017-07-11	$43.56	$0.00	20.5%	3.6%	12.5%	10.3%	0.0%	1.3%	47.7%	2.6K	-86.1K	-81	0.10	148.74	21	2	28	4
2017-07-12	$44.00	$0.00	11.6%	3.3%	13.0%	2.5%	0.0%	4.4%	50.9%	1.4K	-90.8K	-74	0.10	152.73	21	2	28	4
2017-07-13	$44.07	$0.00	10.8%	3.1%	13.0%	1.8%	0.0%	1.1%	45.8%	1.2K	-92.1K	-73	0.10	158.61	21	2	28	4
2017-07-14	$44.55	$0.00	10.2%	2.9%	13.6%	1.2%	0.0%	1.1%	49.1%	86	-96.1K	-67	0.10	153.75	21	2	28	4
2017-07-17	$44.49	$0.00	12.9%	3.7%	13.0%	3.6%	0.0%	0.8%	0.5%	610	-103.2K	-30	0.10	146.78	21	2	28	4
2017-07-18	$44.71	$0.00	11.9%	3.4%	13.2%	2.7%	0.0%	0.8%	0.3%	-149	-105.6K	-23	0.10	156.92	21	2	28	4
2017-07-19	$44.98	$0.00	11.1%	3.2%	9.0%	2.0%	0.0%	0.9%	5.0%	-190	-107.4K	-23	0.10	160.39	21	2	28	4
2017-07-20	$45.18	$0.00	12.1%	3.5%	8.9%	2.9%	0.0%	1.3%	1.1%	-1.2K	-110.5K	-18	0.10	153.22	21	2	28	4
2017-07-21	$45.17	$0.00	11.9%	3.4%	8.9%	2.7%	0.0%	0.4%	1.5%	442	-106.8K	-15	0.10	155.11	21	2	28	4
2017-07-24	$45.11	$0.00	14.5%	4.2%	9.0%	5.0%	0.0%	0.3%	-3.4%	417	-30.2K	-12	0.00	157.38	4	0	7	0
2017-07-25	$44.97	$0.00	13.6%	3.9%	9.0%	4.2%	0.0%	1.7%	-2.9%	540	-29.4K	-18	0.00	158.65	4	0	7	0
2017-07-26	$45.22	$0.00	13.2%	3.8%	8.8%	3.8%	0.0%	-5.4%	-1.5%	620	-30.4K	-11	0.00	157.49	4	0	7	0
2017-07-27	$45.10	$0.00	13.7%	3.9%	8.7%	4.3%	0.0%	-4.0%	-5.0%	371	-30.4K	-9	0.00	154.07	4	0	7	0
2017-07-28	$45.03	$0.00	15.6%	4.5%	7.5%	6.0%	0.0%	-6.5%	-4.2%	387	-30.4K	-9	0.00	160.04	4	0	7	0
2017-07-31	$45.35	$0.00	13.8%	4.0%	7.8%	4.4%	0.0%	0.7%	-0.9%	446	-30.9K	-7	0.00	143.99	4	0	7	0