IGF Options History — October 2017

In October 2017, IGF traded between $45.05 and $45.98. ATM implied volatility averaged 18.7%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 12.5% (HV 20d: 6.2%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2017-10-18: Highest Volume — 900 contracts
2017-10-03: Largest IV spike — 784.5% change
2017-10-03: Highest IV Rank — 66.4%
2017-10-03: Largest Expected Move — 37.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.48	$45.05	$45.98	$45.14	$45.56
Max Pain	$43.68	$40.00	$45.00	$40.00	$44.00
ATM IV	18.7%	8.8%	132.1%	14.9%	15.0%
Expected Move	5.2%	2.5%	37.9%	4.3%	4.3%
HV 20d	6.2%	5.5%	7.3%	7.3%	6.4%
HV 60d	7.1%	6.8%	7.5%	7.5%	7.2%
IV Rank	5.6%	0.3%	66.4%	3.6%	3.7%
IV Percentile	36.0%	1.6%	99.2%	48.8%	51.2%
Term Structure	-3.3%	-45.1%	3.4%	-5.0%	-1.7%
VWIV	18.7%	9.3%	121.7%	18.2%	14.6%
Skew 25d	7.8%	-8.3%	178.3%	-1.4%	-7.6%
Skew 10d	7.6%	-6.3%	178.3%	6.4%	-5.5%
Call IV 25d	12.3%	5.5%	17.7%	17.7%	17.6%
Put IV 25d	20.1%	8.5%	190.8%	16.2%	10.0%
Bid-Ask Spread %	153.92	134.98	181.50	137.40	162.44
Gamma HHI	0.82	0.46	0.98	0.46	0.95
Net GEX	159.3K	-19.5K	464.9K	-2.6K	409.7K
Net DEX	-645.6K	-1.9M	24.2K	1.0K	-1.6M
Net VEX	-1.9K	-4.6K	-139	-139	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.01	1.86	1.86	0.01
Total Volume	439.455	20	900	20	848
Total OI	399.455	20	900	20	848

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
2017-10-02	$45.14	$40.00	14.9%	4.3%	7.3%	3.6%	18.2%	-1.4%	-5.0%	-2.6K	1.0K	-139	1.86	137.40	7	13	7	13
2017-10-03	$45.14	$40.00	132.1%	37.9%	7.2%	66.4%	121.7%	178.3%	-45.1%	-1.2K	9.8K	-165	1.49	181.50	37	55	7	13
2017-10-04	$45.05	$45.00	16.6%	4.7%	7.1%	4.5%	16.7%	1.3%	-5.3%	-15.2K	20.3K	-564	1.49	143.20	37	55	37	55
2017-10-05	$45.11	$44.00	17.4%	3.8%	6.6%	4.9%	13.8%	3.5%	-0.6%	-15.2K	10.1K	-562	1.49	146.24	37	55	37	55
2017-10-06	$45.07	$44.00	15.5%	3.1%	6.6%	3.9%	11.9%	3.1%	0.9%	-19.5K	24.2K	-540	1.49	143.37	37	55	37	55
2017-10-09	$45.12	$44.00	17.7%	3.3%	5.7%	5.1%	14.1%	0.3%	-1.2%	-17.1K	10.3K	-526	1.49	153.56	37	55	37	55
2017-10-10	$45.38	$44.00	12.7%	3.3%	5.7%	2.4%	10.8%	1.6%	-0.4%	-19.1K	-8.0K	-511	1.49	134.98	37	55	37	55
2017-10-11	$45.71	$44.00	8.8%	2.5%	6.0%	0.3%	16.7%	0.6%	1.6%	-9.0K	-25.3K	-495	1.49	155.25	37	55	37	55
2017-10-12	$45.85	$44.00	11.0%	3.2%	6.1%	1.5%	14.8%	3.2%	-0.2%	-12.5K	-40.1K	-476	1.49	140.64	37	55	37	55
2017-10-13	$45.81	$44.00	11.1%	3.2%	6.1%	1.5%	15.3%	1.2%	1.5%	-12.0K	-35.9K	-475	1.49	157.79	37	55	37	55
2017-10-16	$45.70	$44.00	11.5%	3.3%	6.2%	1.8%	13.9%	2.1%	-1.1%	-17.0K	-32.7K	-446	1.49	141.97	37	55	37	55
2017-10-17	$45.81	$44.00	10.0%	2.9%	6.2%	1.0%	14.4%	1.9%	2.3%	-12.9K	-36.1K	-436	1.49	164.99	37	55	37	55
2017-10-18	$45.82	$44.00	11.1%	3.2%	5.8%	1.5%	11.5%	4.2%	-0.4%	-18.1K	-50.4K	-407	0.07	154.29	845	55	37	55
2017-10-19	$45.98	$44.00	11.1%	3.2%	5.5%	1.5%	11.1%	1.4%	-0.6%	464.9K	-1.9M	-4.6K	0.07	163.54	845	55	845	55
2017-10-20	$45.81	$44.00	12.4%	3.6%	5.7%	2.3%	12.5%	0.9%	-2.1%	437.2K	-1.9M	-4.4K	0.07	157.55	845	55	845	55
2017-10-23	$45.55	$44.00	14.6%	4.2%	6.1%	3.4%	14.4%	-0.7%	-5.2%	398.6K	-1.8M	-4.2K	0.01	163.31	838	10	838	10
2017-10-24	$45.65	$44.00	12.6%	3.6%	5.9%	2.3%	13.5%	-2.2%	-4.6%	449.9K	-1.5M	-4.0K	0.01	153.67	838	10	838	10
2017-10-25	$45.19	$44.00	15.1%	4.3%	6.3%	3.7%	14.8%	-8.1%	-5.5%	324.5K	-1.3M	-3.7K	0.01	180.60	838	10	838	10
2017-10-26	$45.20	$44.00	13.7%	3.9%	6.2%	2.9%	12.8%	-4.7%	-4.2%	427.7K	-1.1M	-3.5K	0.01	158.27	838	10	838	10
2017-10-27	$45.33	$44.00	15.1%	4.3%	6.3%	3.7%	13.7%	-8.3%	0.3%	325.3K	-1.4M	-3.7K	0.01	149.11	838	10	838	10
2017-10-30	$45.53	$44.00	12.0%	3.5%	6.4%	2.0%	9.3%	0.7%	3.4%	437.5K	-1.5M	-3.4K	0.01	142.53	838	10	838	10
2017-10-31	$45.56	$44.00	15.0%	4.3%	6.4%	3.7%	14.6%	-7.6%	-1.7%	409.7K	-1.6M	-3.4K	0.01	162.44	838	10	838	10