IGF Options History — June 2018

In June 2018, IGF traded between $42.12 and $43.05. ATM implied volatility averaged 14.7%, placing in the 3.5% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded above realized volatility by 3.9% (HV 20d: 10.8%). Max pain ranged from $43.00 to $44.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 2.15.

Notable Days

2018-06-08: Highest Volume — 138 contracts
2018-06-13: Largest IV drop — 56.4% change
2018-06-12: Highest IV Rank — 9.8%
2018-06-27: Largest Expected Move — 4.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.67	$42.12	$43.05	$42.76	$42.98
Max Pain	$43.71	$43.00	$44.00	$44.00	$43.00
ATM IV	14.7%	10.4%	26.4%	13.7%	14.7%
Expected Move	3.5%	2.7%	4.5%	3.9%	4.2%
HV 20d	10.8%	9.7%	12.5%	10.9%	10.3%
HV 60d	10.1%	9.6%	10.5%	10.5%	9.9%
IV Rank	3.5%	1.2%	9.8%	2.9%	3.5%
IV Percentile	46.1%	5.6%	95.2%	41.3%	59.5%
Term Structure	33.1%	-0.6%	72.0%	-0.0%	70.7%
VWIV	14.2%	11.2%	25.6%	18.1%	14.3%
Skew 25d	1.9%	0.3%	5.1%	1.4%	0.3%
Skew 10d	4.9%	0.7%	8.9%	4.4%	3.0%
Call IV 25d	13.2%	9.0%	16.2%	16.2%	14.8%
Put IV 25d	15.0%	12.6%	17.8%	17.6%	15.1%
Bid-Ask Spread %	134.55	121.64	157.16	143.06	132.79
Gamma HHI	0.35	0.27	0.49	0.32	0.39
Net GEX	-2.2K	-10.1K	5.8K	-4.6K	5.8K
Net DEX	104.3K	4.5K	206.2K	156.4K	4.5K
Net VEX	-672	-864	-533	-864	-585
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.15	1.49	3.06	2.18	1.49
Total Volume	112.19	95	138	108	102
Total OI	161.762	140	188	171	140

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
2018-06-01	$42.76	$44.00	13.7%	3.9%	10.9%	2.9%	18.1%	1.4%	-0.0%	-4.6K	156.4K	-864	2.18	143.06	34	74	87	84
2018-06-04	$42.92	$44.00	16.6%	3.6%	10.9%	4.5%	13.0%	1.9%	0.8%	-6.3K	150.0K	-820	2.18	136.56	34	74	87	84
2018-06-05	$42.73	$44.00	13.1%	3.1%	11.0%	2.6%	12.1%	1.1%	2.9%	-8.3K	193.2K	-718	2.18	125.32	34	74	87	84
2018-06-06	$42.63	$44.00	17.0%	2.7%	10.7%	4.7%	11.2%	3.6%	3.5%	-10.1K	206.2K	-666	2.18	127.69	34	74	87	84
2018-06-07	$42.58	$44.00	14.9%	3.3%	10.7%	3.6%	12.5%	0.3%	2.0%	-7.7K	200.9K	-686	2.18	133.27	34	74	87	84
2018-06-08	$42.41	$44.00	19.5%	4.1%	10.2%	6.0%	13.8%	3.4%	-0.6%	-3.2K	153.3K	-669	3.06	123.97	34	104	87	71
2018-06-11	$42.75	$44.00	24.3%	3.3%	10.6%	8.6%	13.5%	5.1%	1.2%	-8.4K	138.7K	-739	3.06	126.81	34	104	87	101
2018-06-12	$42.86	$44.00	26.4%	3.4%	10.7%	9.8%	13.0%	1.1%	1.9%	-9.0K	140.9K	-695	3.06	136.70	34	104	87	101
2018-06-13	$43.00	$44.00	11.5%	3.3%	10.5%	1.8%	12.7%	2.2%	2.5%	-6.8K	128.3K	-707	3.06	134.39	34	104	87	101
2018-06-14	$43.05	$44.00	11.2%	3.2%	10.1%	1.6%	12.3%	3.1%	0.7%	-4.8K	117.1K	-720	3.06	134.30	34	104	87	101
2018-06-15	$42.96	$44.00	11.4%	3.3%	10.0%	1.7%	25.6%	1.9%	-0.3%	2.2K	113.4K	-730	2.97	157.16	34	101	87	101
2018-06-18	$42.98	$44.00	11.7%	3.3%	9.9%	1.8%	13.6%	2.1%	64.4%	3.3K	74.6K	-714	1.79	134.13	34	61	87	61
2018-06-19	$42.20	$44.00	12.4%	3.6%	11.5%	2.3%	13.2%	0.9%	68.9%	-1.0K	96.6K	-583	1.79	133.29	34	61	87	61
2018-06-20	$42.33	$44.00	13.6%	3.9%	11.6%	2.9%	13.4%	1.6%	62.4%	-131	97.8K	-599	1.61	138.43	38	61	87	61
2018-06-21	$42.12	$44.00	10.4%	3.0%	11.7%	1.2%	13.8%	0.3%	67.1%	-4.5K	100.7K	-533	1.61	121.64	38	61	91	61
2018-06-22	$42.59	$43.00	11.8%	3.4%	12.5%	1.9%	13.4%	1.8%	68.8%	4.2K	26.9K	-635	1.61	140.89	38	61	91	51
2018-06-25	$42.52	$43.00	13.0%	3.7%	12.4%	2.6%	14.5%	1.6%	70.7%	2.8K	28.8K	-614	1.61	138.23	38	61	91	51
2018-06-26	$42.67	$43.00	12.8%	3.7%	11.4%	2.4%	13.8%	1.0%	70.9%	2.4K	26.0K	-596	1.61	130.41	38	61	91	51
2018-06-27	$42.42	$43.00	15.8%	4.5%	9.7%	4.1%	15.2%	2.7%	64.9%	5.3K	11.0K	-639	1.49	135.82	41	61	91	51
2018-06-28	$42.55	$43.00	13.9%	4.0%	9.8%	3.0%	15.1%	2.0%	72.0%	3.3K	24.9K	-593	1.49	140.73	41	61	89	51
2018-06-29	$42.98	$43.00	14.7%	4.2%	10.3%	3.5%	14.3%	0.3%	70.7%	5.8K	4.5K	-585	1.49	132.79	41	61	89	51