IGF Options History — January 2018

In January 2018, IGF traded between $45.11 and $46.31. ATM implied volatility averaged 19.5%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 11.0% (HV 20d: 8.5%). Max pain ranged from $45.00 to $46.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.47.

Notable Days

2018-01-31: Highest Volume — 106 contracts
2018-01-03: Largest IV spike — 508.8% change
2018-01-03: Highest IV Rank — 66.6%
2018-01-03: Largest Expected Move — 38.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.74	$45.11	$46.31	$45.48	$45.80
Max Pain	$45.25	$45.00	$46.00	$45.00	$45.00
ATM IV	19.5%	8.5%	132.4%	21.8%	15.9%
Expected Move	5.4%	2.4%	38.0%	6.2%	4.5%
HV 20d	8.5%	7.1%	9.6%	7.9%	8.8%
HV 60d	7.2%	6.7%	7.7%	6.9%	7.7%
IV Rank	6.0%	0.2%	66.6%	7.3%	4.1%
IV Percentile	43.5%	1.2%	98.8%	92.1%	70.6%
Term Structure	-5.2%	-51.2%	4.1%	-18.0%	-3.9%
VWIV	37.7%	9.8%	119.5%	18.0%	9.8%
Skew 25d	2.6%	-6.3%	26.2%	11.9%	-6.3%
Skew 10d	3.7%	-1.5%	26.2%	7.7%	9.1%
Call IV 25d	18.5%	8.7%	145.4%	10.4%	18.0%
Put IV 25d	21.1%	10.0%	171.6%	22.3%	11.7%
Bid-Ask Spread %	154.33	140.23	185.04	142.16	162.60
Gamma HHI	0.43	0.27	0.53	0.46	0.46
Net GEX	2.3K	-2.7K	9.3K	2.2K	-1.3K
Net DEX	-5.4K	-57.0K	29.8K	5.5K	15.3K
Net VEX	-423	-518	-324	-472	-518
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.47	0.81	6.57	1.89	6.57
Total Volume	52.381	30	106	52	106
Total OI	72.905	35	96	82	72

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
2018-01-02	$45.48	$45.00	21.8%	6.2%	7.9%	7.3%	18.0%	11.9%	-18.0%	2.2K	5.5K	-472	1.89	142.16	18	34	38	44
2018-01-03	$45.52	$45.00	132.4%	38.0%	7.9%	66.6%	119.5%	26.2%	-51.2%	177	-17.9K	-497	1.89	185.04	18	34	43	44
2018-01-04	$45.78	$0.00	10.7%	2.7%	8.1%	1.3%	0.0%	1.9%	-0.1%	998	-24.3K	-468	1.89	148.04	18	34	43	44
2018-01-05	$45.92	$0.00	15.3%	3.3%	8.2%	3.8%	0.0%	3.3%	-0.4%	2.0K	-32.5K	-461	1.48	141.06	23	34	43	44
2018-01-08	$45.90	$0.00	17.3%	3.3%	8.2%	4.8%	0.0%	1.8%	-1.8%	3.5K	-44.9K	-484	1.62	157.62	21	34	48	44
2018-01-09	$45.66	$0.00	10.9%	2.9%	8.3%	1.4%	0.0%	2.0%	0.2%	6.3K	-33.2K	-494	1.62	142.84	21	34	51	44
2018-01-10	$45.11	$0.00	12.0%	3.5%	9.3%	2.0%	0.0%	1.2%	0.8%	9.3K	13.3K	-476	1.62	153.04	21	34	51	44
2018-01-11	$45.27	$0.00	12.0%	3.4%	9.3%	2.0%	0.0%	0.8%	-2.3%	8.0K	4.8K	-469	1.55	145.51	22	34	51	44
2018-01-12	$45.37	$0.00	11.9%	3.4%	9.2%	2.0%	0.0%	0.4%	0.3%	8.3K	-3.7K	-473	1.55	144.99	22	34	52	44
2018-01-16	$45.58	$0.00	11.5%	3.3%	9.3%	1.8%	0.0%	3.0%	-1.6%	6.6K	-30.3K	-422	1.55	146.69	22	34	52	44
2018-01-17	$45.85	$0.00	11.2%	3.2%	9.6%	1.6%	0.0%	-1.5%	-2.7%	5.7K	-57.0K	-403	1.55	154.29	22	34	52	44
2018-01-18	$45.66	$0.00	12.6%	3.6%	9.6%	2.4%	0.0%	1.5%	-2.2%	8.1K	-43.6K	-374	1.55	154.22	22	34	52	44
2018-01-19	$45.76	$0.00	12.0%	3.4%	9.3%	2.0%	0.0%	0.0%	-1.0%	-794	-26.7K	-324	0.81	163.25	47	38	52	44
2018-01-22	$45.95	$0.00	8.5%	2.4%	9.3%	0.2%	0.0%	0.4%	0.3%	-2.7K	26.0K	-365	4.00	152.77	6	24	11	24
2018-01-23	$46.11	$0.00	13.5%	3.9%	7.1%	2.8%	0.0%	-2.5%	-4.8%	-2.0K	20.3K	-357	4.00	164.00	6	24	11	24
2018-01-24	$46.19	$0.00	9.9%	2.8%	7.1%	0.9%	0.0%	1.1%	4.1%	-2.4K	29.8K	-341	4.00	143.86	6	24	11	24
2018-01-25	$46.14	$0.00	13.9%	4.0%	7.1%	3.0%	0.0%	1.1%	-3.1%	-1.1K	22.1K	-365	4.00	163.23	6	24	11	24
2018-01-26	$46.31	$0.00	15.0%	4.3%	7.1%	3.6%	0.0%	2.9%	-4.8%	-2.4K	16.7K	-353	4.00	169.02	6	24	11	24
2018-01-29	$45.81	$0.00	17.6%	5.1%	8.2%	5.0%	17.7%	3.0%	-6.3%	-1.3K	27.6K	-358	1.75	166.56	16	28	11	24
2018-01-30	$45.46	$46.00	23.3%	6.7%	8.7%	8.1%	23.5%	2.5%	-10.9%	1.2K	20.1K	-417	3.07	140.23	14	43	21	28
2018-01-31	$45.80	$45.00	15.9%	4.5%	8.8%	4.1%	9.8%	-6.3%	-3.9%	-1.3K	15.3K	-518	6.57	162.60	14	92	29	43