IGF Options History — November 2017

In November 2017, IGF traded between $45.10 and $46.28. ATM implied volatility averaged 19.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 13.6% (HV 20d: 5.9%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.19.

Notable Days

2017-11-13: Highest Volume — 849 contracts
2017-11-02: Largest IV spike — 763.0% change
2017-11-02: Highest IV Rank — 68.9%
2017-11-02: Largest Expected Move — 24.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.65	$45.10	$46.28	$45.55	$46.28
Max Pain	$44.00	$44.00	$44.00	$44.00	$44.00
ATM IV	19.5%	10.7%	136.7%	15.8%	15.3%
Expected Move	4.6%	2.6%	24.0%	4.5%	4.4%
HV 20d	5.9%	5.2%	6.4%	6.3%	6.3%
HV 60d	6.7%	6.4%	7.1%	7.1%	6.6%
IV Rank	6.0%	1.3%	68.9%	4.1%	3.8%
IV Percentile	40.1%	8.7%	99.2%	59.5%	59.5%
Term Structure	-2.3%	-17.2%	1.4%	-2.6%	-1.9%
VWIV	15.1%	15.1%	15.1%	15.1%	15.1%
Skew 25d	-0.2%	-7.9%	4.1%	-7.9%	-3.8%
Skew 10d	0.0%	-5.8%	14.7%	-5.8%	14.7%
Call IV 25d	16.3%	8.8%	88.5%	18.2%	14.0%
Put IV 25d	16.1%	9.1%	89.2%	10.3%	10.2%
Bid-Ask Spread %	156.93	140.99	187.19	151.98	161.70
Gamma HHI	0.84	0.56	0.97	0.96	0.60
Net GEX	267.6K	5.6K	644.3K	409.1K	12.3K
Net DEX	-874.2K	-2.0M	-25.5K	-1.5M	-54.2K
Net VEX	-1.5K	-3.4K	-298	-3.4K	-493
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.19	0.01	0.56	0.01	0.56
Total Volume	543.667	36	849	848	56
Total OI	542.667	36	849	848	56

Daily Data (21 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
2017-11-01	$45.55	$44.00	15.8%	4.5%	6.3%	4.1%	15.1%	-7.9%	-2.6%	409.1K	-1.5M	-3.4K	0.01	151.98	838	10	838	10
2017-11-02	$45.55	$0.00	136.7%	24.0%	6.3%	68.9%	0.0%	0.7%	-17.2%	61.7K	-2.0M	-3.3K	0.01	187.19	838	10	838	10
2017-11-03	$45.56	$0.00	17.3%	3.2%	6.3%	4.9%	0.0%	1.8%	-1.0%	417.3K	-1.5M	-3.2K	0.01	146.29	838	10	838	10
2017-11-06	$45.74	$0.00	18.0%	2.6%	6.4%	5.3%	0.0%	2.4%	-0.2%	435.2K	-1.7M	-2.9K	0.01	148.41	838	10	838	10
2017-11-07	$45.78	$0.00	16.1%	2.7%	6.1%	4.2%	0.0%	1.9%	-1.4%	408.0K	-1.7M	-2.8K	0.01	140.99	838	10	838	10
2017-11-08	$45.89	$0.00	11.0%	3.2%	5.6%	1.5%	0.0%	1.1%	1.4%	471.8K	-1.8M	-2.7K	0.01	159.15	838	10	838	10
2017-11-09	$45.84	$0.00	12.7%	3.6%	5.5%	2.4%	0.0%	2.7%	-0.6%	462.3K	-1.8M	-2.5K	0.01	146.37	838	10	838	10
2017-11-10	$45.65	$0.00	11.9%	3.4%	5.7%	2.0%	0.0%	0.8%	-2.4%	459.0K	-1.6M	-2.3K	0.01	157.17	838	10	838	10
2017-11-13	$45.48	$0.00	13.1%	3.7%	5.8%	2.6%	0.0%	1.4%	-2.3%	606.8K	-1.2M	-1.6K	0.01	157.65	839	10	838	10
2017-11-14	$45.57	$0.00	11.2%	3.2%	5.8%	1.6%	0.0%	-0.6%	1.3%	638.9K	-1.3M	-1.5K	0.01	147.08	839	10	839	10
2017-11-15	$45.31	$0.00	13.6%	3.9%	6.1%	2.9%	0.0%	1.7%	-3.5%	525.0K	-1.0M	-1.2K	0.01	156.62	839	10	839	10
2017-11-16	$45.36	$0.00	13.2%	3.8%	5.9%	2.7%	0.0%	1.7%	-2.6%	644.3K	-701.7K	-799	0.01	161.24	839	10	839	10
2017-11-17	$45.22	$0.00	11.7%	3.4%	5.9%	1.9%	0.0%	-3.3%	0.3%	7.3K	-52.3K	-304	0.01	153.18	839	10	839	10
2017-11-20	$45.10	$0.00	10.7%	3.1%	5.6%	1.3%	0.0%	2.3%	1.1%	6.9K	-25.5K	-299	0.38	143.31	26	10	26	10
2017-11-21	$45.33	$0.00	11.2%	3.2%	5.9%	1.6%	0.0%	-2.2%	-1.2%	5.6K	-30.6K	-298	0.38	152.94	26	10	26	10
2017-11-22	$45.64	$0.00	13.7%	3.9%	5.2%	2.9%	0.0%	-5.0%	-2.4%	7.8K	-46.1K	-303	0.38	167.00	26	10	26	10
2017-11-24	$45.96	$0.00	10.7%	3.1%	5.7%	1.3%	0.0%	4.1%	-3.4%	7.4K	-49.2K	-299	0.56	151.66	36	20	26	10
2017-11-27	$45.87	$0.00	15.8%	4.5%	5.7%	4.1%	0.0%	-0.5%	-3.8%	11.2K	-46.2K	-502	0.56	167.58	36	20	36	20
2017-11-28	$46.02	$0.00	14.6%	4.2%	5.6%	3.4%	0.0%	0.2%	-2.7%	13.0K	-52.4K	-496	0.56	171.09	36	20	36	20
2017-11-29	$45.92	$0.00	14.4%	4.1%	5.7%	3.3%	0.0%	-4.2%	-3.0%	8.5K	-44.4K	-493	0.56	167.01	36	20	36	20
2017-11-30	$46.28	$0.00	15.3%	4.4%	6.3%	3.8%	0.0%	-3.8%	-1.9%	12.3K	-54.2K	-493	0.56	161.70	36	20	36	20