IGF Options History — March 2018

In March 2018, IGF traded between $41.96 and $43.70. ATM implied volatility averaged 22.0%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 8.3% (HV 20d: 13.7%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 2.34.

Notable Days

2018-03-16: Highest Volume — 204 contracts
2018-03-15: Largest IV spike — 663.5% change
2018-03-15: Highest IV Rank — 47.1%
2018-03-15: Largest Expected Move — 27.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.90	$41.96	$43.70	$42.52	$42.88
Max Pain	$45.29	$43.00	$46.00	$46.00	$43.00
ATM IV	22.0%	12.6%	96.0%	17.9%	22.2%
Expected Move	5.5%	3.4%	27.5%	5.1%	6.4%
HV 20d	13.7%	10.8%	19.5%	19.4%	11.0%
HV 60d	13.6%	13.2%	14.0%	13.2%	14.0%
IV Rank	7.4%	2.3%	47.1%	5.2%	7.5%
IV Percentile	74.9%	29.4%	97.2%	82.1%	93.3%
Term Structure	-3.2%	-43.3%	3.2%	-2.1%	-3.8%
VWIV	19.6%	12.6%	94.4%	20.6%	21.9%
Skew 25d	3.7%	-3.9%	8.5%	3.9%	2.3%
Skew 10d	2.1%	-4.8%	8.6%	8.6%	-2.2%
Call IV 25d	19.4%	9.2%	110.3%	18.7%	21.2%
Put IV 25d	23.1%	13.1%	106.4%	22.6%	23.5%
Bid-Ask Spread %	133.88	115.10	193.48	134.66	143.95
Gamma HHI	0.44	0.21	0.69	0.21	0.53
Net GEX	-15.3K	-27.7K	-1.3K	-19.8K	-7.8K
Net DEX	215.7K	127.4K	326.7K	326.7K	127.4K
Net VEX	-774	-898	-578	-749	-849
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.34	2.18	2.79	2.79	2.40
Total Volume	151.524	119	204	163	119
Total OI	192.571	150	224	214	150

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
2018-03-01	$42.52	$46.00	17.9%	5.1%	19.4%	5.2%	20.6%	3.9%	-2.1%	-19.8K	326.7K	-749	2.79	134.66	43	120	95	119
2018-03-02	$42.59	$46.00	20.2%	5.8%	19.5%	6.4%	21.8%	8.5%	-5.9%	-18.6K	323.4K	-756	2.26	125.39	53	120	95	119
2018-03-05	$42.92	$46.00	19.0%	3.9%	18.8%	5.8%	14.3%	3.5%	-0.3%	-18.5K	300.8K	-728	2.26	128.91	53	120	105	119
2018-03-06	$42.97	$46.00	20.9%	3.7%	15.7%	6.8%	13.9%	5.1%	0.4%	-17.9K	284.8K	-755	2.26	132.14	53	120	105	119
2018-03-07	$42.98	$46.00	21.5%	3.8%	15.4%	7.1%	14.0%	6.0%	-0.3%	-18.5K	289.9K	-722	2.18	129.12	55	120	105	119
2018-03-08	$43.09	$46.00	21.5%	3.9%	15.2%	7.1%	14.8%	6.4%	0.5%	-18.9K	257.6K	-753	2.18	131.61	55	120	107	115
2018-03-09	$43.46	$46.00	20.8%	4.2%	13.1%	6.7%	15.5%	8.3%	1.0%	-21.9K	237.2K	-750	2.18	131.75	55	120	107	115
2018-03-12	$43.60	$46.00	21.4%	3.4%	13.0%	7.1%	14.7%	7.5%	0.3%	-25.5K	219.1K	-721	2.18	115.89	55	120	107	115
2018-03-13	$43.53	$46.00	25.4%	3.6%	12.4%	9.2%	15.1%	6.6%	-2.2%	-24.9K	221.8K	-674	2.18	137.77	55	120	107	115
2018-03-14	$43.70	$46.00	12.6%	3.6%	12.5%	2.3%	16.2%	3.2%	-0.8%	-27.7K	209.7K	-664	2.18	137.49	55	120	107	115
2018-03-15	$43.22	$46.00	96.0%	27.5%	12.6%	47.1%	94.4%	-3.9%	-43.3%	-1.3K	147.0K	-898	2.18	193.48	55	120	107	115
2018-03-16	$43.27	$46.00	13.4%	3.8%	12.3%	2.8%	15.0%	4.3%	0.4%	-5.6K	257.7K	-578	2.71	137.69	55	149	107	115
2018-03-19	$42.92	$46.00	14.3%	4.1%	12.4%	3.3%	14.7%	2.4%	-2.7%	-12.6K	168.9K	-883	2.40	126.58	35	84	77	83
2018-03-20	$42.61	$46.00	13.6%	3.9%	12.5%	2.9%	13.5%	-1.0%	-3.0%	-12.1K	176.0K	-882	2.40	130.70	35	84	77	83
2018-03-21	$42.87	$46.00	14.2%	4.1%	12.1%	3.2%	14.7%	4.1%	-0.5%	-12.8K	179.4K	-866	2.40	137.65	35	84	77	83
2018-03-22	$42.32	$46.00	15.4%	4.4%	12.8%	3.8%	12.6%	3.2%	3.2%	-13.3K	193.2K	-821	2.40	121.18	35	84	77	83
2018-03-23	$41.96	$43.00	15.5%	4.4%	11.5%	3.9%	14.4%	1.1%	-0.5%	-11.1K	145.6K	-816	2.40	115.10	35	84	77	73
2018-03-26	$42.50	$43.00	17.5%	5.0%	12.6%	5.0%	14.0%	5.4%	-0.5%	-12.3K	166.6K	-776	2.40	122.85	35	84	77	73
2018-03-27	$42.45	$43.00	21.4%	6.1%	11.3%	7.1%	18.9%	-3.2%	-3.8%	-9.8K	153.3K	-804	2.40	136.28	35	84	77	73
2018-03-28	$42.59	$43.00	17.7%	5.1%	10.8%	5.1%	17.6%	3.1%	-3.2%	-10.3K	143.6K	-816	2.40	141.37	35	84	77	73
2018-03-29	$42.88	$43.00	22.2%	6.4%	11.0%	7.5%	21.9%	2.3%	-3.8%	-7.8K	127.4K	-849	2.40	143.95	35	84	77	73