IGF Options History — September 2017

In September 2017, IGF traded between $45.02 and $46.71. ATM implied volatility averaged 22.8%, placing in the 7.9% IV rank vs the trailing year. The 30-day expected move averaged 3.7%. IV traded above realized volatility by 14.9% (HV 20d: 7.9%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.01.

Notable Days

2017-09-13: Highest Volume — 22 contracts
2017-09-08: Largest IV spike — 1712.3% change
2017-09-08: Highest IV Rank — 100.0%
2017-09-08: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.88	$45.02	$46.71	$46.15	$45.25
Max Pain	$40.15	$40.00	$43.00	$43.00	$40.00
ATM IV	22.8%	9.2%	194.8%	13.3%	15.1%
Expected Move	3.7%	2.2%	12.7%	3.8%	4.3%
HV 20d	7.9%	7.4%	8.8%	7.8%	7.4%
HV 60d	8.5%	7.5%	9.7%	9.5%	7.5%
IV Rank	7.9%	0.5%	100.0%	3.4%	3.7%
IV Percentile	32.0%	2.0%	100.0%	29.0%	50.8%
Term Structure	3.9%	-5.2%	40.7%	-4.0%	-5.2%
VWIV	23.5%	9.7%	73.2%	16.1%	14.9%
Skew 25d	4.9%	-6.0%	74.4%	1.8%	-2.4%
Skew 10d	4.7%	-44.5%	113.1%	-0.3%	-0.4%
Call IV 25d	11.2%	5.8%	16.1%	13.0%	16.1%
Put IV 25d	16.1%	8.3%	86.3%	14.8%	13.7%
Bid-Ask Spread %	141.16	124.01	177.40	156.83	144.87
Gamma HHI	0.68	0.30	1.00	0.56	0.45
Net GEX	-121	-2.1K	1.7K	1.5K	-1.5K
Net DEX	-20.3K	-40.3K	-3.5K	-38.2K	-8.5K
Net VEX	-86	-142	-4	-9	-142
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.01	0.20	1.86	0.20	1.86
Total Volume	16.3	12	22	12	20
Total OI	15.65	12	22	12	20

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
2017-09-01	$46.15	$43.00	13.3%	3.8%	7.8%	3.4%	16.1%	1.8%	-4.0%	1.5K	-38.2K	-9	0.20	156.83	10	2	10	2
2017-09-05	$45.91	$40.00	14.4%	2.6%	8.1%	4.1%	18.1%	1.8%	2.0%	1.3K	-36.8K	-8	0.20	130.27	10	2	10	2
2017-09-06	$46.02	$40.00	10.8%	3.3%	7.8%	1.7%	0.0%	5.3%	-0.7%	1.5K	-37.2K	-6	0.20	130.26	10	2	10	2
2017-09-07	$46.30	$40.00	10.8%	2.2%	8.0%	1.7%	0.0%	4.5%	3.6%	1.7K	-38.6K	-6	0.20	124.01	10	2	10	2
2017-09-08	$46.34	$40.00	194.8%	12.7%	7.4%	100.0%	73.2%	13.0%	38.4%	883	-29.9K	-44	0.20	173.35	10	2	10	2
2017-09-11	$46.71	$40.00	27.3%	2.2%	7.6%	10.2%	20.8%	8.2%	5.0%	1.6K	-40.3K	-6	0.20	133.00	10	2	10	2
2017-09-12	$46.33	$40.00	28.9%	2.7%	8.3%	11.1%	19.3%	2.4%	7.0%	1.6K	-38.6K	-5	0.20	131.81	10	2	10	2
2017-09-13	$46.02	$40.00	11.6%	3.3%	8.8%	1.8%	19.3%	0.7%	2.1%	1.4K	-37.0K	-4	1.20	132.38	10	12	10	2
2017-09-14	$46.08	$40.00	10.6%	3.0%	8.5%	1.3%	0.0%	74.4%	40.7%	753	-16.7K	-140	1.20	177.40	10	12	10	12
2017-09-15	$46.10	$40.00	9.2%	2.6%	7.8%	0.5%	21.3%	0.0%	2.9%	-1.9K	-13.3K	-141	1.20	136.38	10	12	10	12
2017-09-18	$46.06	$40.00	10.6%	3.0%	7.6%	1.3%	0.0%	0.8%	-2.2%	-560	-11.9K	-138	1.43	142.81	7	10	7	10
2017-09-19	$46.15	$40.00	12.0%	3.5%	7.6%	2.1%	0.0%	-4.5%	-3.4%	-2.0K	-9.2K	-139	1.43	141.02	7	10	7	10
2017-09-20	$45.86	$40.00	12.1%	3.5%	7.8%	2.1%	22.5%	0.9%	0.3%	-486	-11.4K	-138	1.43	142.44	7	10	7	10
2017-09-21	$45.60	$40.00	12.3%	3.5%	8.0%	2.2%	24.4%	-0.3%	0.5%	-518	-7.9K	-137	1.43	139.45	7	10	7	10
2017-09-22	$45.57	$40.00	10.8%	3.1%	8.0%	1.4%	20.3%	1.1%	-0.2%	-2.0K	-6.2K	-137	1.43	135.77	7	10	7	10
2017-09-25	$45.57	$40.00	9.3%	2.7%	7.9%	0.6%	23.3%	1.8%	1.5%	-2.1K	-4.8K	-130	1.43	129.62	7	10	7	10
2017-09-26	$45.40	$40.00	15.7%	4.5%	7.9%	4.0%	25.7%	-2.4%	-4.5%	-349	-11.0K	-137	1.43	141.22	7	10	7	10
2017-09-27	$45.02	$40.00	12.7%	3.6%	8.4%	2.4%	23.2%	-3.6%	-3.1%	-1.9K	-3.5K	-131	1.43	139.32	7	10	7	10
2017-09-28	$45.15	$40.00	14.4%	4.1%	8.4%	3.3%	9.7%	-6.0%	-3.6%	-1.4K	-4.2K	-130	1.86	140.98	7	13	7	10
2017-09-29	$45.25	$40.00	15.1%	4.3%	7.4%	3.7%	14.9%	-2.4%	-5.2%	-1.5K	-8.5K	-142	1.86	144.87	7	13	7	13