IGF Options History — February 2018

In February 2018, IGF traded between $42.34 and $45.53. ATM implied volatility averaged 24.5%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 7.6% (HV 20d: 17.0%). Max pain ranged from $46.00 to $46.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 3.00.

Notable Days

2018-02-12: Highest Volume — 171 contracts
2018-02-05: Largest IV spike — 860.4% change
2018-02-05: Highest IV Rank — 86.0%
2018-02-05: Largest Expected Move — 25.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.52	$42.34	$45.53	$45.53	$42.70
Max Pain	$46.00	$46.00	$46.00	$46.00	$46.00
ATM IV	24.5%	10.2%	168.8%	10.2%	17.5%
Expected Move	5.7%	3.8%	25.6%	3.8%	5.0%
HV 20d	17.0%	9.1%	19.8%	9.1%	19.8%
HV 60d	11.7%	7.8%	13.2%	7.8%	13.2%
IV Rank	8.7%	1.0%	86.0%	1.0%	5.0%
IV Percentile	69.2%	6.7%	99.6%	6.7%	79.0%
Term Structure	-4.3%	-26.8%	3.2%	-1.4%	-7.1%
VWIV	20.0%	13.3%	85.5%	15.2%	23.3%
Skew 25d	4.5%	-12.6%	15.0%	0.4%	11.2%
Skew 10d	5.2%	-12.6%	15.2%	5.0%	9.8%
Call IV 25d	20.4%	11.3%	102.1%	15.3%	18.3%
Put IV 25d	24.9%	15.7%	89.4%	15.7%	29.5%
Bid-Ask Spread %	129.09	109.78	197.25	112.34	115.51
Gamma HHI	0.35	0.21	0.51	0.44	0.22
Net GEX	-15.3K	-24.0K	-3.8K	-19.5K	-21.5K
Net DEX	219.9K	98.2K	284.3K	98.2K	284.3K
Net VEX	-804	-961	-554	-775	-821
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.00	1.11	6.57	6.57	2.79
Total Volume	139.737	94	171	106	163
Total OI	172.737	121	214	121	214

Daily Data (19 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
2018-02-01	$45.53	$46.00	10.2%	3.8%	9.1%	1.0%	15.2%	0.4%	-1.4%	-19.5K	98.2K	-775	6.57	112.34	14	92	29	92
2018-02-02	$44.62	$46.00	17.6%	3.9%	11.3%	5.0%	14.7%	5.3%	-4.4%	-18.2K	137.1K	-778	5.71	133.11	14	80	29	92
2018-02-05	$43.32	$46.00	168.8%	25.6%	15.0%	86.0%	85.5%	-12.6%	-26.8%	-3.8K	124.3K	-760	5.33	197.25	15	80	29	95
2018-02-06	$43.66	$46.00	24.3%	4.4%	15.5%	8.6%	13.3%	2.9%	-5.0%	-16.1K	249.0K	-644	5.33	123.79	15	80	30	95
2018-02-07	$43.28	$46.00	17.0%	4.9%	15.6%	4.7%	14.4%	5.6%	-5.3%	-20.0K	254.3K	-635	5.33	122.19	15	80	30	95
2018-02-08	$42.34	$46.00	18.9%	5.4%	16.7%	5.7%	19.8%	-1.0%	-7.0%	-13.1K	281.3K	-554	1.67	124.39	48	80	30	95
2018-02-09	$42.62	$46.00	18.9%	5.4%	16.9%	5.7%	15.9%	1.1%	-0.6%	-9.0K	269.6K	-642	1.55	118.76	58	90	67	95
2018-02-12	$43.11	$46.00	16.1%	4.6%	17.6%	4.2%	16.9%	4.7%	0.2%	-13.9K	259.4K	-846	1.11	109.78	81	90	77	105
2018-02-13	$43.15	$46.00	14.8%	4.2%	17.5%	3.5%	16.3%	1.9%	1.2%	-13.4K	269.4K	-814	1.11	140.89	81	90	100	105
2018-02-14	$43.58	$46.00	14.4%	4.1%	17.8%	3.3%	13.4%	9.7%	-5.0%	-14.8K	266.3K	-851	1.79	127.81	57	102	100	105
2018-02-15	$43.92	$46.00	13.7%	3.9%	18.1%	2.9%	15.7%	4.7%	-2.6%	-16.5K	209.3K	-918	1.79	136.32	57	102	108	105
2018-02-16	$44.08	$46.00	16.1%	4.6%	18.2%	4.2%	15.5%	3.6%	-3.0%	-10.4K	216.5K	-937	1.79	131.04	57	102	108	105
2018-02-20	$43.80	$46.00	13.8%	4.0%	18.1%	3.0%	14.6%	9.9%	3.2%	-11.2K	153.0K	-878	2.02	147.32	43	87	84	87
2018-02-21	$43.27	$46.00	15.9%	4.6%	18.3%	4.1%	17.2%	0.7%	2.8%	-11.8K	181.3K	-855	2.02	119.13	43	87	85	87
2018-02-22	$43.08	$46.00	18.9%	5.4%	18.2%	5.7%	17.4%	10.7%	-6.9%	-11.7K	216.9K	-756	2.79	116.23	43	120	85	87
2018-02-23	$43.74	$46.00	16.1%	4.6%	19.4%	4.2%	15.8%	15.0%	-5.8%	-22.0K	243.1K	-961	2.79	118.49	43	120	85	119
2018-02-26	$43.86	$46.00	15.3%	4.4%	19.3%	3.8%	16.0%	5.0%	-4.6%	-24.0K	225.2K	-911	2.79	133.95	43	120	95	119
2018-02-27	$43.15	$46.00	17.6%	5.1%	19.7%	5.1%	18.8%	6.0%	-3.6%	-20.2K	240.1K	-936	2.79	124.41	43	120	95	119
2018-02-28	$42.70	$46.00	17.5%	5.0%	19.8%	5.0%	23.3%	11.2%	-7.1%	-21.5K	284.3K	-821	2.79	115.51	43	120	95	119