IGF Options History — August 2017

In August 2017, IGF traded between $44.89 and $46.04. ATM implied volatility averaged 22.8%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 16.0% (HV 20d: 6.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.20.

Notable Days

2017-08-16: Highest Volume — 13 contracts
2017-08-07: Largest IV spike — 1057.0% change
2017-08-07: Highest IV Rank — 100.0%
2017-08-14: Largest Expected Move — 28.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.48	$44.89	$46.04	$45.47	$46.04
Max Pain	$43.84	$43.00	$45.00	$45.00	$43.00
ATM IV	22.8%	8.2%	159.4%	16.8%	14.9%
Expected Move	4.5%	2.4%	28.0%	4.8%	4.3%
HV 20d	6.8%	6.2%	7.8%	7.3%	7.8%
HV 60d	9.4%	9.2%	9.8%	9.8%	9.6%
IV Rank	9.7%	0.0%	100.0%	7.0%	4.4%
IV Percentile	34.6%	0.0%	100.0%	62.7%	46.0%
Term Structure	-1.9%	-29.5%	2.5%	-4.9%	-2.7%
VWIV	17.1%	8.9%	100.8%	11.1%	13.8%
Skew 25d	1.3%	-2.1%	7.2%	-2.1%	-0.9%
Skew 10d	4.2%	-2.8%	15.4%	11.6%	11.2%
Call IV 25d	15.1%	8.2%	102.4%	13.4%	11.1%
Put IV 25d	16.4%	8.8%	107.3%	11.3%	10.3%
Bid-Ask Spread %	155.11	130.91	194.58	157.23	170.22
Gamma HHI	0.47	0.27	1.00	0.50	0.45
Net GEX	982	-980	1.7K	399	1.2K
Net DEX	-34.4K	-37.4K	-30.8K	-30.8K	-37.4K
Net VEX	-16	-52	-4	-8	-11
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	0.86	0.00	0.20
Total Volume	8.826	4	13	4	12
Total OI	10.783	7	16	7	12

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
2017-08-01	$45.47	$0.00	16.8%	4.8%	7.3%	7.0%	0.0%	-2.1%	-4.9%	399	-30.8K	-8	0.00	157.23	4	0	7	0
2017-08-02	$45.62	$0.00	14.6%	4.2%	6.7%	5.1%	0.0%	0.9%	0.2%	224	-31.4K	-4	0.00	159.37	4	0	7	0
2017-08-03	$45.67	$0.00	16.1%	2.8%	6.5%	6.4%	0.0%	2.0%	0.0%	218	-31.3K	-4	0.00	150.59	4	0	7	0
2017-08-04	$45.60	$0.00	13.8%	2.8%	6.6%	4.4%	11.1%	2.2%	-0.0%	274	-31.3K	-5	0.00	148.88	7	0	7	0
2017-08-07	$45.63	$45.00	159.4%	3.4%	6.5%	100.0%	11.6%	2.6%	-1.2%	1.3K	-36.3K	-17	0.00	161.46	7	0	10	0
2017-08-08	$45.39	$45.00	14.4%	3.3%	7.0%	3.7%	9.0%	3.3%	0.6%	1.4K	-35.9K	-19	0.00	130.91	7	0	10	0
2017-08-09	$45.28	$45.00	12.1%	3.5%	6.5%	2.1%	11.5%	0.5%	2.1%	1.2K	-35.1K	-18	0.00	155.04	7	0	10	0
2017-08-10	$44.97	$45.00	13.4%	3.8%	7.1%	3.0%	13.2%	0.6%	0.3%	1.5K	-34.0K	-25	0.00	148.53	7	0	10	0
2017-08-11	$44.89	$45.00	13.9%	4.0%	6.2%	3.4%	13.9%	0.4%	-2.8%	1.3K	-34.0K	-19	0.00	142.47	7	0	10	0
2017-08-14	$45.12	$45.00	97.6%	28.0%	6.4%	58.9%	100.8%	4.9%	-29.5%	939	-32.0K	-52	0.00	194.58	7	0	10	0
2017-08-15	$45.08	$45.00	13.3%	3.8%	6.2%	3.0%	13.9%	0.1%	0.4%	1.6K	-34.0K	-20	0.00	154.15	7	0	10	0
2017-08-16	$45.41	$45.00	12.7%	3.6%	6.3%	2.5%	18.9%	4.0%	-2.9%	1.5K	-34.3K	-26	0.86	137.81	7	6	10	0
2017-08-17	$45.05	$43.00	10.1%	2.9%	6.8%	0.8%	11.3%	-0.6%	-3.0%	-980	-31.6K	-21	0.86	143.12	7	6	10	6
2017-08-18	$45.35	$43.00	14.5%	4.1%	7.2%	3.7%	14.8%	0.4%	-0.1%	774	-34.8K	-17	0.86	149.69	7	6	10	6
2017-08-21	$45.37	$43.00	8.6%	2.5%	7.2%	0.0%	9.7%	1.3%	2.5%	1.0K	-34.1K	-14	0.29	138.40	7	2	10	2
2017-08-22	$45.59	$43.00	10.0%	2.9%	7.3%	0.9%	10.5%	2.6%	1.0%	1.2K	-35.0K	-16	0.29	163.06	7	2	10	2
2017-08-23	$45.75	$43.00	13.8%	4.0%	7.1%	3.5%	11.6%	7.2%	-0.7%	781	-35.6K	-22	0.29	182.75	7	2	10	2
2017-08-24	$45.77	$43.00	14.5%	4.1%	7.0%	3.9%	16.7%	-0.3%	-3.1%	1.1K	-36.3K	-16	0.29	159.80	7	2	10	2
2017-08-25	$45.94	$43.00	8.2%	2.4%	7.0%	0.0%	12.1%	-0.8%	-0.2%	1.7K	-37.4K	-4	0.20	147.32	10	2	10	2
2017-08-28	$45.81	$43.00	8.2%	2.4%	6.8%	0.0%	8.9%	0.3%	0.9%	1.6K	-36.7K	-8	0.20	153.19	10	2	10	2
2017-08-29	$45.71	$43.00	8.4%	2.4%	6.8%	0.1%	11.4%	1.4%	1.5%	1.3K	-35.6K	-11	0.20	157.99	10	2	10	2
2017-08-30	$45.55	$43.00	15.8%	4.5%	6.8%	5.0%	18.1%	-0.8%	-2.7%	1.1K	-35.2K	-14	0.20	160.95	10	2	10	2
2017-08-31	$46.04	$43.00	14.9%	4.3%	7.8%	4.4%	13.8%	-0.9%	-2.7%	1.2K	-37.4K	-11	0.20	170.22	10	2	10	2